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
Bootstrap
Variable sample size
Quantile
DOI - identifier 10.1016/j.eswa.2013.05.028
Copyright notice © 2013 Elsevier Ltd. All rights reserved.
ISSN 0957-4174
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