新偿付能力监管下保险公司信息系统操作风险量化管理研究  

A Research on Quantitative Management of Operational Risks of Insurance Company Information System under the New solvency Regulation

作　　者：赵蕾[1,2] ZHAO Lei

机构地区：[1]上海对外经贸大学保险与风险管理研究所 [2]上海对外经贸大学金融管理学院

出　　处：《保险研究》2023年第10期67-81,共15页Insurance Studies

摘　　要：被《保险公司偿付能力监管规则(II)》纳入风险综合评级的操作风险,包括信息系统相关的操作风险等六类风险。近年来,我国保险公司信息化建设呈现加速态势,在提高运营效率的同时,也给操作风险管理带来了挑战。保险公司信息系统操作风险不仅具有复杂性、动态性等特点,而且历史数据不足。本文构造了基于模糊认知图和贝叶斯网络的保险公司操作风险量化管理模型,并以国内某家大型保险公司信息系统操作风险为算例,进行评估和分析。研究发现,本文模型不仅可以对保险公司信息系统操作风险进行总体评估,而且可以评估各个风险点的状态,找到需要关注的主要风险点。在此基础上,本文模型还可以用于操作风险的敏感性分析,从而提高信息系统操作风险管理效率,降低风险管理成本。The Regulation II on Solvency of Insurance Companies includes 6 types of operational risks,including information system risks,in the integrated risk rating for evaluation.In recent years,the accelerated development of information technology of insurance companies in China has brings challenges to operational risk management while improving operational fficiency.The operational risk of insurance company information system has the characteristics of complexity,dynamics and insufficient historical data.This paper constructs the quantitative management model for insurer's operational risks on the basis of the Fuzzy Cognitive Map and Bayesian network,and makes evaluation and analysis by employing the IT system operational risks data of a large domestic insurance company.The research indicates that the model can not only assess insurance company's IT system-related operational risks comprehensively,but also ascertain the state of each point of risk,and track the major risks worth of attention.The model can also be used for conducting sensitivity analysis on operational risks,improve the management efficiency for IT systemrelated operational risks,and reduce cost of risk management.

关 键 词：保险公司 操作风险 信息系统 贝叶斯网络 模糊认知图 

分 类 号：F840.32[经济管理—保险]