赔偿限额和操作风险的最优保险分析

Compensation Limit and the Operational Risk Optimal Insurance

在巴塞尔新资本协议下,对于使用高级计量法的银行,保险被认可使用作为资本金的缓释手段。要计提资本金,则必须先计算在险价值(VaR)。在保费固定的情况下,随着赔偿限额的上升,在险价值先下降之后震荡,然后继续上升,并存在一最小值;在险价值和银行的期望损失存在一定程度的替代关系,且二者之间有一个最优保险点,即低在险价值和低成本的组合点。

The Basel II Framework allows banks using AMA to recognize the risk mitigating impact of insurance in calculating operational risk regulatory capital.Calculating the VaR is a prerequisite for regulatory capital.The authors first consider the relationship between VaR and compensation limit.It shows that VaRs,as the premiums are fixed,decrease in the beginning and fluctuate later and then increase.To some extent,in this article there is a trade-off between VaR and the expected loss of banks.The authors try to calibrate the optimal insurance point as the VaR and the expected loss are both considered.The data are from retail banking operational risk loss of the major four banks in China.