基于拓扑数据模型的车险操作风险度量  

The Operational Risk Measurement of Auto Insurance Based on Topological Data Model

作　　者：陈迪红[1] 桂芬[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《财经理论与实践》2012年第4期17-21,共5页The Theory and Practice of Finance and Economics

基　　金：国家社科基金项目(08BJY159)

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。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.

关 键 词：操作风险 拓扑数据模型 总损失额分布 

分 类 号：F840[经济管理—保险]