基于拓扑数据模型的车险操作风险度量
    点此下载全文
引用本文:陈迪红,桂芬.基于拓扑数据模型的车险操作风险度量[J].财经理论与实践,2012,(4):17-21
摘要点击次数: 678
全文下载次数: 70
作者单位
陈迪红,桂芬 (湖南大学 金融与统计学院湖南 长沙410079) 
中文摘要: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。
中文关键词:操作风险  拓扑数据模型  总损失额分布
 
The Operational Risk Measurement of Auto Insurance Based on Topological Data Model
Abstract: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.
keywords:Operational risk  Topological data model  The total loss distribution
查看全文   查看/发表评论   下载pdf阅读器