Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?

DOI10.1016/J.INSMATHECO.2010.12.001zbMath1218.91091arXiv1010.4406OpenAlexW1971232254MaRDI QIDQ2276234

Aaron D. Byrnes, Pavel V. Shevchenko, Gareth W. Peters

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4406

zbMATH Keywords

Solvency IIoperational riskBasel IIloss distributional approach\(\alpha \)-stablecapital reductioninsurance mitigation

Mathematics Subject Classification ID

Related Items (6)

RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ Optimal exercise strategies for operational risk insurance via multiple stopping times ⋮ Cyber risk frequency, severity and insurance viability ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation

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