Journal of Operational Risk

Modeling insurance mitigation on operational risk capital

Davide Bazzarello, Bert Crielaard, Fabio Piacenza, Aldo Soprano


In this paper a model considering insurance hedging when measuring operational risk is presented. The residual risk inherent in insurance contracts is considered, including haircuts due to the residual term of the policy, payment uncertainty and the default risk of a counterparty (see Brandts (2004)).

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