Journal of Operational Risk

Risk.net

Modeling insurance mitigation on operational risk capital

Davide Bazzarello, Bert Crielaard, Fabio Piacenza, Aldo Soprano

ABSTRACT

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)).

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: