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Quantifizierung operationeller Risiken: Der Loss Distribution Approach

Author

Listed:
  • Albrecht, Peter
  • Schwake, Edmund
  • Winter, Peter

Abstract

Im Rahmen der aktuellen Diskussion über die effektive Messung operationeller Risiken auf der Basis interner Modelle hat vor allem der Loss Distribution Approach in der Literatur besondere Beachtung gefunden. Dieser Ansatz hat seine Wurzeln in einem traditionellen Ansatz der Versicherungsmathematik, der kollektiven Risikotheorie. Die vorliegende Ausarbeitung stellt daher die kollektive Risikotheorie in ihren Grundelementen dar, stellt die Verbindung zur Modellierung operationeller Risiken her und gibt einen Überblick über aktuelle Entwicklungen im Rahmen des Loss Distribution Approach.

Suggested Citation

  • Albrecht, Peter & Schwake, Edmund & Winter, Peter, 2007. "Quantifizierung operationeller Risiken: Der Loss Distribution Approach," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 3(1), pages 1-45.
  • Handle: RePEc:zbw:grirej:68733
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    References listed on IDEAS

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