Linear generalized stochastic systems for insurance portfolios

DOI10.1080/07362994.2010.515472MaRDI QIDQ3068098zbMATH OpenOpenAlexFDO

Authors Athanasios A. Pantelous, Grigoris I. Kalogeropoulos, Alexandros A. Zimbidis

Publication date 13 January 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2010.515472

zbMATH Keywords

descriptor systemssingularitiesmatrix pencil theorynon causalitypooling of insurance riskssolvency interaction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Stochastic systems and control (93E99) Basic linear algebra (15A99)

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• Insurance pricing using \(H_{\infty}\)-control
• On the optimization of portfolios of insurance contracts
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Cites work

• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 3652729 (Why is no real title available?)
• scientific article; zbMATH DE number 3086055 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Mathematics in economics
• Singular Dynamic Leontief Systems
• Stochastic control for economic models: past, present and the paths ahead
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach
• The singularity problem in the dynamic input-output model†

Cited in

(3)

• Linear Optimization in C (Ω) and Portfolio Insurance
• Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
• Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework

Describes a project that uses

Uses Software

• Duali

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