ANALISIS RISIKO OPERASIONAL MENGGUNAKAN PENDEKATAN DISTRIBUSI KERUGIAN DENGAN METODE AGREGAT

Y. ARBI, R. BUDIARTI, I G. P. PURNABA

Abstract


Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes or external problems. Insurance companies as financial institution that also faced at risk. Recording of operating losses in insurance companies, were not properly conducted so that the impact on the limited data for operational losses. In this work, the data of operational loss observed from the payment of the claim. In general, the number of insurance claims can be modelled using the Poisson distribution, where the expected value of the claims is similar with variance, while the negative binomial distribution, the expected value was bound to be less than the variance.Analysis tools are used in the measurement of the potential loss is the loss distribution approach with the aggregate method. In the aggregate method, loss data grouped in a frequency distribution and severity distribution. After doing 10.000 times simulation are resulted total loss of claim value, which is total from individual claim every simulation. Then from the result was set the value of potential loss (OpVar) at a certain level confidence.

Full Text:

PDF


DOI: https://doi.org/10.29244/jmap.10.2.1-10

ISSN: 1412-677X