Sieci Bayesowskie w zarządzaniu ryzykiem operacyjnym w świetle regulacji Solvency II

• Autorzy: Maciej Zabój

Warianty tytułu

Implementing Bayesian Networks for Operational Risk Measurement in Insurance Companies

• Języki publikacji: PL

Abstrakty

Zdefiniowano pojęcie ryzyka operacyjnego. Wyjaśniono istotę i znaczeni sieci Bayesowskich. Przedstawiono także wykorzystanie sieci Bayesowskich do modelowania ryzyka i niepewności. Wskazano wady i zalety omawianych sieci w kontekście ryzyka operacyjnego.

EN

International Association of Insurance Supervisors has focused on operational risk in the Solvency II due to "unexpected" losses caused at financial market. These losses, if not controlled, may end up with indirect costs such as compensation payments to counterparties. Bayesian networks have been explored lately as a potential tool for combining subjective opinions with observed data and modeling the cause of the loss and analyzing its effects. The crucial objective of my article is to present how Bayesian Network can be implemented as a model for managing operational risk in a particular business unit. (original abstract)

Słowa kluczowe

PL

Ubezpieczenia; Ryzyko operacyjne; Sieci bayesowskie; Podejmowanie decyzji w warunkach niepewności

EN

Insurances; Operational risk; Bayesian network; Decision making under uncertainty

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Poznaniu
• Rocznik: 2009
• Numer: nr 127
• Strony: 153--160

Twórcy

autor

Maciej Zabój

• Szkoła Główna Handlowa w Warszawie

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