Bootstrap control charts in monitoring value at risk in insurance
作者：
Highlights：
• Sample size for estimating VaR can vary, as it depends on the number of claims.
• An efficient monitoring scheme is proposed to quickly detect drifts in the VaR.
• A probabilistic control chart and the parametric bootstrap method are employed.
• The method is ready applicable in practice, a real example is presented.
• The proposed method helps to control risk measurement in insurance companies.
摘要
•Sample size for estimating VaR can vary, as it depends on the number of claims.•An efficient monitoring scheme is proposed to quickly detect drifts in the VaR.•A probabilistic control chart and the parametric bootstrap method are employed.•The method is ready applicable in practice, a real example is presented.•The proposed method helps to control risk measurement in insurance companies.
论文关键词：Risk monitoring,Control chart,Bootstrap,Variable sample size,Quantile
论文评审过程：Available online 14 May 2013.
论文官网地址：https://doi.org/10.1016/j.eswa.2013.05.028
