基于拓扑数据模型的车险操作风险度量

陈迪红; 桂芬

基于拓扑数据模型的车险操作风险度量

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

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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

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