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- W2966070752 abstract "Fue en los noventas cuando se definio el concepto de Riesgo Operacional, desde entonces las instituciones, sobre todo del sector financiero, estan preocupadas en este tipo de riesgo dado que su exposicion podria tener consecuencias fatales. En el caso del sector asegurador su estudio se origina debido al nuevo marco regulatorio Europeo de Solvencia II. El proposito de esta investigacion es el desarrollo de una metodologia basada en redes bayesianas que permita identificar y medir el riesgo operacional para poder determinar el requerimiento de capital de solvencia en el proceso de cotizacion de polizas en linea de una aseguradora que incursiono recientemente en esta forma de operar. Para lo cual se diseno un modelo de red bayesiana con distribuciones a priori y a posteriori que permitieran estimar la frecuencia y la severidad de las perdidas, con las distribuciones a posteriori se realizo una estimacion de la perdida esperada para un periodo de un ano, utilizando simulacion Montecarlo. || It was in the 1990’s when the concept of Operational Risk was defined, since then the institutions, especially those in the financial sector, are worried about this type of risk since their exposure could have fatal consequences. In case of the insurance sector its study originates due to the new European regulatory framework of Solvency II. The purpose of this research is the development of a methodology based on Bayesian networks to identify and measure operational risk in order to determine the solvency capital requirement in the online policy quotation process of an insurance company that recently entered into this way of operating. For this, a Bayesian network model was designed with a priori and a posteriori distributions that allowed estimating the frequency and severity of the losses, with the posteriori distributions, an estimate of the expected loss for a period of one year was made using Monte Carlo simulation." @default.
- W2966070752 created "2019-08-13" @default.
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- W2966070752 date "2019-07-17" @default.
- W2966070752 modified "2023-09-26" @default.
- W2966070752 title "Cálculo del Valor en Riesgo Operacional de una Empresa Aseguradora Mediante Redes Bayesianas // Calculation of Operational Value at Risk of an Insurance Company through Bayesian Networks" @default.
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