Linear generalized stochastic systems for insurance portfolios

DOI10.1080/07362994.2010.515472zbMATH Open1203.62178OpenAlexW2085396307MaRDI QIDQ3068098FDOQ3068098

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

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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)

Cites Work

• Title not available (Why is that?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Title not available (Why is that?)
• Mathematics in economics
• Stochastic control for economic models: past, present and the paths ahead
• Singular Dynamic Leontief Systems
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach
• Title not available (Why is that?)
• 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

Uses Software

• Duali

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