Skip to main content
Kent Academic Repository

A value-at-risk approach to optimisation of warranty policy

Luo, Ming, Wu, Shaomin (2018) A value-at-risk approach to optimisation of warranty policy. European Journal of Operational Research, 267 (2). pp. 513-522. ISSN 0377-2217. (doi:10.1016/j.ejor.2017.11.062) (KAR id:65039)

Abstract

In the real world, a manufacturer may produce many products, which may have common components installed. Consequently, the frequencies of the warranty claims of those products are statistically dependent. Warranty policy optimisation in the existing research, however, has not considered such statistical dependence, which may increase bias in decision making. This paper is the first attempt to collectively optimises warranty policy for a set of different products, produced by one manufacturer, whose failures are statistically dependent, using tools borrowed from financial mathematics (i.e., value-at-risk theory and copula). We prove the existence of the optimal solutions for different scenarios. Numerical examples are used to validate the applicability of the proposed methods.

Item Type: Article
DOI/Identification number: 10.1016/j.ejor.2017.11.062
Uncontrolled keywords: value-at-risk, warranty policy optimisation, mean-risk, copulas
Subjects: H Social Sciences > HA Statistics > HA33 Management Science
Divisions: Divisions > Kent Business School - Division > Department of Analytics, Operations and Systems
Funders: Economic and Social Research Council (https://ror.org/03n0ht308)
Depositing User: Shaomin Wu
Date Deposited: 06 Dec 2017 16:25 UTC
Last Modified: 04 Mar 2024 18:49 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/65039 (The current URI for this page, for reference purposes)

University of Kent Author Information

  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.