Journal of Operational Risk

Risk.net

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

Catalina Bolance, Mercedes Ayuso and Montserrat Guillen

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.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: