Precificação de riscos operacionais através do método da abordagem de distribuição das perdas (LDA)

Abstract

Risk is an essential variable of social relations and its management is fundamental for organizations. Operational risk insurance covers all threats that can impact the operation of a company. The objective of this study is to analyze the viability of a specific portfolio for this type of risk in relation to the loss ratio and the required premium. Using the Loss Distribution Approach (LDA), we sought to estimate the behavior of operational risk, establish parameters, average values and costs. This study aims to fill the research gap on operational risk analysis using the LDA, in addition to contributing to the understanding of the insurance market in this context. Fitting the Double Poisson distribution for frequency and fitting the Log Normal distribution for severity yielded a pure premium estimate of $43,783.32 (in millions) monthly. According to the calculations, the premium can be expensive, which can generate disinterest on the part of both parties, insurers in accepting such a risk and policyholders due to the high cost. The results obtained will be a basis for future research and improvement in the calculation of insurance estimates for operational risk.