Operational risk can substantially impact an insurer’s risk situation and is now increasingly in the focus of insurance companies, especially due to new European risk-based regulatory framework Solvency II. The aim of this paper is to model and examine the effects of operational risk on fair...

It has been shown in the empirical literature that operational losses of financial firms can cause severe reputational losses, which, however, are typically not taken into account when modeling and assessing operational risk. The aim of this paper is to fill this gap by assessing the...