Solvency II Directive requirements should establish common risk management principles for every insurance company in the European Union. Basically, the requirements of the Solvency II Directive are not just about capital of an insurance company but about risk assessment through the implementation and enhancement of risk measurement and risk management. The research is performed in order to assess the capital to cover possible losses due to the occurrence of the operational risk sub-risks. In order to evaluate the operational risk the authors interconnect risk management and risk measurement. Operational risk is one of the core risks of every insurance company under the Solvency II framework and can be defined as the financial losses occurred due to incorrectly defined systems or processes; failures in IT system, human mistakes or other external processes. In the performed research we propose to model operational risk by skew t-copula and estimated tail dependence in each situation for modelling distributions with heavier tail area.