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

DOI10.1007/S13385-013-0074-8MaRDI QIDQ487585zbMATH OpenOpenAlexFDO

Authors Athanasios A. Pantelous, Athanasios Papageorgiou

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0074-8

zbMATH Keywords

robust stabilityLMI techniquesnon-life insurancepricing process

Mathematics Subject Classification ID

Portfolio theory (91G10) Miscellaneous inequalities involving matrices (15A45)

Recommendations

• Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework
• Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
• Non-life insurance pricing with generalized linear models
• Insurance pricing using \(H_{\infty}\)-control
• Robust stability, stabilisation and H-infinity control for premium-reserve models in a Markovian regime switching discrete-time framework

Cites work

• scientific article; zbMATH DE number 847232 (Why is no real title available?)
• scientific article; zbMATH DE number 2188756 (Why is no real title available?)
• scientific article; zbMATH DE number 3246848 (Why is no real title available?)
• A survey of linear matrix inequality techniques in stability analysis of delay systems
• Lectures on the use of control theory in insurance
• Linear Matrix Inequalities in System and Control Theory
• Optimal Premium Control in a Non-life Insurance Business
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Optimal premium pricing for a heterogeneous portfolio of insurance risks
• Premium control in an insurance system, an approach using linear control theory
• Robust control of a class of uncertain nonlinear systems
• Stability of time-delay systems
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach

Cited in

(6)

• Robust stability, stabilisation and H-infinity control for premium-reserve models in a Markovian regime switching discrete-time framework
• Linear generalized stochastic systems for insurance portfolios
• Insurance Planning Models
• Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework
• Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach

Describes a project that uses

Uses Software

• Matlab
• LMI toolbox

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