Research On Bühlmann Credibility Measurement Model Of Operational Risk Of China’s Insurance Companies

With the steady development of China’s insurance industry,operational risks have increasingly drawn the attention of whole industry.However,because of lack of data,non-financial nature and difficulty to quantify,China’s current supervision for insurance industry’s operational risk is still stuck in the qualitative management stage.As an insurance company that absorbs risks,insurance companies are ubiquitous with operational risks.An effective and applicable model for the operational risk measurement of China’s insurance companies needs to be proposed.This article is based on the China’s insurance companies,after combing the history,definition and characteristics of operational risk,and the current status of operational risks in China’s insurance industry,it systematically sorts out the current operational risk measurement methods commonly used by domestic and foreign academics and regulators.The Bühlmann Credibility model was selected to construct the measurement of China’s insurance company operating risk,and the non-life insurance actuarial pricing principle was applied to the data integration process of operational risk.Using the principle of insurance companies dealing with policy data,a database of operational risk loss events was proposed.By means of an example,Bühlmann’s models for measuring the operational risk loss frequency and loss severity are constructed separately.The operational risk is divided into different types of losses.The calculation process and formula of the Bühlmann reliability estimate are given,and Bühlmann’s estimates the operation risk are proved to be unbiased,and when the loss data is subject to a particular distribution,it is equivalent to a Bayesian Credibility estimate which is widely considered as accurate,but the calculation process is obviously simpler to the latter.The credibility estimating result of the loss amount of various operating risks of the insurance company is the product of the loss frequency and the loss degree,and the relativity of each category level is determined based on the first type of risk.According to the capital requirements of operational risks in the reference to Basel Ⅱ,this paper combines the operational risk data of various insurance companies in the industry and proposes to use Monte Carlo simulation to determine the Value at Risk of loss frequency associated with external data and finally gives the capital requirement formula of the insurance company’s operational risk.