Bootstrap control charts in monitoring value at risk in insurance

Abbasi, B and Guillen, M 2013, 'Bootstrap control charts in monitoring value at risk in insurance', Expert Systems with Applications, vol. 40, no. 15, pp. 6125-6135.

Document type: Journal Article
Collection: Journal Articles

Title Bootstrap control charts in monitoring value at risk in insurance
Author(s) Abbasi, B
Guillen, M
Year 2013
Journal name Expert Systems with Applications
Volume number 40
Issue number 15
Start page 6125
End page 6135
Total pages 11
Publisher Pergamon
Abstract A risk measure is a mapping from the random variables representing the risks to a number. It is estimated using historical data and utilized in making decisions such as allocating capital to each business line or deposit insurance pricing. Once a risk measure is obtained, an efficient monitoring system is required to quickly detect any drifts in the risk measure. This paper investigates the problem of detecting a shift in value at risk as the most widely used risk measure in insurance companies. The probabilistic C control chart and the parametric bootstrap method are employed to establish a risk monitoring scheme in insurance companies. Since the number of claims in a period is a random variable, the proposed method is a variable sample size scheme. Monte Carlo simulations for Weibull, Burr XII, Birnbaum-Saunders and Pareto distributions are carried out to investigate the behavior and performance of the proposed scheme. In addition, a real example from an insurance company is presented to demonstrate the applicability of the proposed method.
Subject Operations Research
Statistical Theory
Keyword(s) Risk monitoring
Control chart
Variable sample size
DOI - identifier 10.1016/j.eswa.2013.05.028
Copyright notice © 2013 Elsevier Ltd. All rights reserved.
ISSN 0957-4174
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 18 times in Thomson Reuters Web of Science Article | Citations
Altmetric details:
Access Statistics: 206 Abstract Views  -  Detailed Statistics
Created: Mon, 17 Jun 2013, 14:51:00 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us