财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2012年
4期
17~21
,共null页
操作风险 拓扑数据模型 总损失额分布
操作風險 拓撲數據模型 總損失額分佈
조작풍험 탁복수거모형 총손실액분포
Operational risk;Topological data model;The total loss distribution
以机动车辆保险为研究对象,分析车险核心业务流程中操作风险的表现形式,借助拓扑数据模型及Monte Carlo模拟对其风险进行度量。结果显示：损失强度表现出较强的厚尾性,事件频率具有高频性,但总损失额分布的厚尾特征不明显,这些结果为操作风险进行经济资本配置及管理提供了依据。
以機動車輛保險為研究對象,分析車險覈心業務流程中操作風險的錶現形式,藉助拓撲數據模型及Monte Carlo模擬對其風險進行度量。結果顯示：損失彊度錶現齣較彊的厚尾性,事件頻率具有高頻性,但總損失額分佈的厚尾特徵不明顯,這些結果為操作風險進行經濟資本配置及管理提供瞭依據。
이궤동차량보험위연구대상,분석차험핵심업무류정중조작풍험적표현형식,차조탁복수거모형급Monte Carlo모의대기풍험진행도량。결과현시：손실강도표현출교강적후미성,사건빈솔구유고빈성,단총손실액분포적후미특정불명현,저사결과위조작풍험진행경제자본배치급관리제공료의거。
The form of the operational risk in the core business processes of auto insurance has been analyzed,and the topological data model and Monte Carlo has been used to measures this risk.The results show the loss severity distribution has fat tail characteristics,and operational risk events have the characteristic of high frequency,however,the fat tail characteristics of total losses distribution is not obvious.The results may mean something in the economic capital allocation and management of operational risk.
