Capital assessment of operational risk for the solvency of health insurance companies

Rafael Hernández Barros and María Isabel Martínez Torre-Enciso

Abstract

ABSTRACT

Solvency II rules are expected to generate a system in which improved risk management, including management of operational risk, is provided to insurers through a lower charge of solvency capital. Based on a series of insured operational risk external data losses of health insurers in Spain, an actuarial model is derived in this paper from an operational value-at-risk analysis of the data. The results show that the model is consistent with the overall performance of operational risk and that the severity and frequency distributions adjust well to the data and ranges used in the research.