Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 513-522 |
| Number of pages | 10 |
| Journal | European Journal of Operational Research |
| Volume | 267 |
| Issue number | 2 |
| Early online date | 6 Dec 2017 |
| DOIs | |
| Publication status | Published - 1 Jun 2018 |
| Externally published | Yes |
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A value-at-risk approach to optimisation of warranty policy. / Luo, Ming; Wu, Shaomin.
In: European Journal of Operational Research, Vol. 267, No. 2, 01.06.2018, p. 513-522.Research output: Contribution to journal › Article
TY - JOUR
T1 - A value-at-risk approach to optimisation of warranty policy
AU - Luo, Ming
AU - Wu, Shaomin
PY - 2018/6/1
Y1 - 2018/6/1
N2 - 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.
AB - 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.
KW - Value-at-risk
KW - Warranty policy optimisation
KW - Mean-risk
KW - Copulas
U2 - 10.1016/j.ejor.2017.11.062
DO - 10.1016/j.ejor.2017.11.062
M3 - Article
VL - 267
SP - 513
EP - 522
JO - European Journal of Operational Research
JF - European Journal of Operational Research
SN - 0377-2217
IS - 2
ER -