Operational risk modeling for general insurance companies in Kenya

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dc.contributor.authorMwangi, Michael Maina
dc.date.accessioned2019-05-09T08:31:39Z
dc.date.available2019-05-09T08:31:39Z
dc.date.issued2018
dc.descriptionA Research project submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Actuarial Science at Strathmore Universityen_US
dc.description.abstractThis study looked at the quantification of operational risk based capital for general insurance companies in Kenya. It is important to note that the regulator requires all insurance companies to compute risk based capital annually. The study pointed out the various operational risk categories and analyzed the operational risk modeling approaches that have been developed in the insurance sector globally. In Kenya, the model used by the regulator to quantify operational risk capital is that recommended by the actuarial profession in the United Kingdom (Solvency II). The main shortcomings of the model used by the regulator were cited as lack of prudence in the estimation of capital requirements and the failure to truly indicate how insurance company operations interact leading to operational losses. The study then illustrated how a proxy-a hybrid modeling approach, could be used to quantify operational risk. The hybrid model was shown to be more prudent than the standardized approach used by the regulator. The methodology involved modeling a general insurance company and creating a hybrid simulations model for operational risk losses. Further, operational risk capital estimates were computed using the model by the regulator and the hybrid simulations model. The operational risk capital estimates were compared and tested for adequacy. The results led to the conclusion that the hybrid model yielded a more prudent operational risk capital estimate than the model used by the regulator. Based on the overall conclusion that the standardized method may not be fully adequate in computing operational risk capital, it is hoped that this study will encourage best practice in computing operational risk capital. It is also hoped that the study increases interest in Kenya's actuarial profession in the emerging field of operational risken_US
dc.identifier.urihttp://hdl.handle.net/11071/6500
dc.language.isoen_USen_US
dc.publisherStrathmore Universityen_US
dc.subjectoperational risk managementen_US
dc.subjectInsuranceen_US
dc.subjectrisk modelingen_US
dc.titleOperational risk modeling for general insurance companies in Kenyaen_US
dc.typeThesisen_US
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