Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework

DOI10.1016/j.cam.2019.112592zbMath1432.91100OpenAlexW2987241417WikidataQ126845602 ScholiaQ126845602MaRDI QIDQ2292036

Rong Li, Lin Yang, Athanasios A. Pantelous

Publication date: 31 January 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112592

zbMATH Keywords

nonlinear uncertainties\(H_\infty \)-controlsystems stability(one-side) Lipschitz conditionspremium-reserve process

Mathematics Subject Classification ID

Feedback control (93B52) Nonlinear systems in control theory (93C10) Robust stability (93D09) Stochastic stability in control theory (93E15) Actuarial mathematics (91G05)

Uses Software

• Duali
• LMI toolbox

Cites Work

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• On LMI formulations of some problems arising in nonlinear stochastic system analysis
• ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK
• Premium control in an insurance system, an approach using linear control theory
• Robustness
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach

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