IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-55277-0_13.html
   My bibliography  Save this book chapter

Scenario Analysis Approach for Operational Risk in Insurance Companies

In: Digitalization in Finance and Accounting

Author

Listed:
  • Michal Vyskočil

    (University of Economics, Prague)

Abstract

This chapter deals with the possibility of calculating the required capital in insurance companies allocated to operational risk under Solvency II regulation and compares the possible statistical distributions for the frequency and the severity followed by an aggregate distribution. For the calculation, was used only the illustrative dataset to see the effect of the three main parameters (typical impact, worst case impact, and frequency) which are needed for building the model for calculation 99.5% VaR by using Monte Carlo simulation. This chapter discusses parameter sensitivity and/or ratio sensitivity on calculating capital. From analysis came up the first conclusion that the impact of frequency is much higher in the interval (0;1) than above the interval to calculated capital. The second conclusion is the Worst case and Typical Case ratio, where we saw that if the ratio is around 150 or higher, the calculated capital increased faster.

Suggested Citation

  • Michal Vyskočil, 2021. "Scenario Analysis Approach for Operational Risk in Insurance Companies," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Digitalization in Finance and Accounting, pages 147-155, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-55277-0_13
    DOI: 10.1007/978-3-030-55277-0_13
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-030-55277-0_13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.