Quantification of Operational Risk of Health Insurance Companies in Spain Using External Data

摘要

The new solvency requirements (Solvency Ⅱ) intend to generate a system in which the improvement in operational risk management is rewarded for insurers. Based on an external pool of operational risk losses, is developed an actuarial financial analysis to estimate the operational risk capital reserves for the solvency of health insurance companies. An external database of operational risk losses as well as their statistical treatment and the identification of their severity and frequency distributions are presented. An Operational Value at Risk (OpVaR) analysis of the data provides a more in depth-study.