A nonparametric approach to analyzing operational risk with an application to insurance fraud

Catalina Bolance and Mercedes Ayuso and Montserrat Guillen

Journal of Operational Risk

Abstract: ABSTRACT Nonparametric methods combine most of the advantages of parametric alternatives for assessing risk. We illustrate a new method for addressing quantile estimation with no distribution assumptions. In our case study, the operational risk related to external fraud in an automobile insurance database is analyzed. Alternative antifraud strategies followed by an insurance company are evaluated. Scenarios of plausible fraud detection rates are presented to assess the impact on operational risk reduction. Finally, we discuss the evidence that fraud detection systems effectively mitigate operational risk in the context of non-life insurance.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-operational-risk/2 ... n-to-insurance-fraud (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ3:2164348

Access Statistics for this article

More articles in Journal of Operational Risk from Journal of Operational Risk
Bibliographic data for series maintained by Thomas Paine ().