科研之友
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摘要
Dynamic monitoring is an accepted and widely used technique of industrial quality control. In this work, we apply dynamic monitoring to monitor and predict insurer financial strength. We propose a new statistic that combines means, variances, and co-variances of multivariate financial indices as a type of quality control tool. We employ data for US property and casualty insurers for the period 2001 through 2010 to determine the control regions, and we provide two examples to illustrate the application of our proposed methodology. We also demonstrate that the proposed methodology is especially suitable to emerging insurance markets, although it is applicable for developed insurance markets as well.
