ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK (Q4563783): Difference between revisions

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scientific article; zbMATH DE number 6880342

Language	Label	Description	Also known as
English	ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK	scientific article; zbMATH DE number 6880342

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instance of

scholarly article

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title

ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK (English)

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author

Lin Yang

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Athanasios A. Pantelous

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4 June 2018

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full work available at URL

https://semanticscholar.org/paper/145ba8e11c4a41fd7aa1c045291aa7653443652b

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zbMATH Keywords

premium-reserve process

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H-infinity control

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system stability

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Markovian regime switching systems

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time-varying delay

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MaRDI profile type

MaRDI publication profile

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cites work

Q5532900

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Robust H/sub ∞/ control of discrete-time Markovian jump linear systems with mode-dependent time-delays

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Q5609896

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Stochastic stabilizability and \(H_\infty\) control for discrete-time jump linear systems with time delay

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OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

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Pricing annuity guarantees under a double regime-switching model

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Q4086303

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Robust control theory. Based on the proceedings of a workshop that was an integral part of the 1992-93 IMA program on control theory, University of Minnesota, MN, USA

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Stability of time-delay systems

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Markov Switching Models in Empirical Finance

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Q3842006

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Conditional Ruin Probability with a Markov Regime Switching Model

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Premium control in an insurance system, an approach using linear control theory

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Delay-dependent robust stabilization of uncertain state-delayed systems

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On the robust stability of pricing models for non-life insurance products

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Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework

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A high order finite element scheme for pricing options under regime switching jump diffusion processes

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Longevity bond pricing under stochastic interest rate and mortality with regime-switching

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VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

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Optimal Premium Control in a Non-life Insurance Business

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H/sub infinity / control and quadratic stabilization of systems with parameter uncertainty via output feedback

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Robust \(H_{\infty }\) control for uncertain discrete stochastic time-delay systems

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The combined effect of delay and feedback on the insurance pricing process: a control theory approach

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Identifiers

zbMATH Open document ID

1390.91217

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DOI

10.1017/asb.2016.13

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4563783

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@@ Property / cites work @@
+Q5532900
@@ Property / cites work: Q5532900 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust H/sub ∞/ control of discrete-time Markovian jump linear systems with mode-dependent time-delays
+Normal rank
@@ Property / cites work @@
+Q5609896
@@ Property / cites work: Q5609896 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic stabilizability and \(H_\infty\) control for discrete-time jump linear systems with time delay
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL
+Normal rank
@@ Property / cites work @@
+Pricing annuity guarantees under a double regime-switching model
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust control theory. Based on the proceedings of a workshop that was an integral part of the 1992-93 IMA program on control theory, University of Minnesota, MN, USA
+Normal rank
@@ Property / cites work @@
+Stability of time-delay systems
@@ Property / cites work: Stability of time-delay systems / rank @@
+Normal rank
@@ Property / cites work @@
+Markov Switching Models in Empirical Finance
@@ Property / cites work: Markov Switching Models in Empirical Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q3842006
@@ Property / cites work: Q3842006 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Ruin Probability with a Markov Regime Switching Model
+Normal rank
@@ Property / cites work @@
+Premium control in an insurance system, an approach using linear control theory
+Normal rank
@@ Property / cites work @@
+Delay-dependent robust stabilization of uncertain state-delayed systems
+Normal rank
@@ Property / cites work @@
+On the robust stability of pricing models for non-life insurance products
+Normal rank
@@ Property / cites work @@
+Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework
+Normal rank
@@ Property / cites work @@
+A high order finite element scheme for pricing options under regime switching jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Longevity bond pricing under stochastic interest rate and mortality with regime-switching
+Normal rank
@@ Property / cites work @@
+VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Optimal Premium Control in a Non-life Insurance Business
+Normal rank
@@ Property / cites work @@
+H/sub infinity / control and quadratic stabilization of systems with parameter uncertainty via output feedback
+Normal rank
@@ Property / cites work @@
+Robust \(H_{\infty }\) control for uncertain discrete stochastic time-delay systems
+Normal rank
@@ Property / cites work @@
+The combined effect of delay and feedback on the insurance pricing process: a control theory approach
+Normal rank