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

DOI10.1007/s13385-013-0074-8zbMath1304.91125OpenAlexW3121201489MaRDI QIDQ487585

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

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

Related Items

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

Uses Software

• Matlab
• LMI toolbox

Cites Work

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• Robust control of a class of uncertain nonlinear systems
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• A survey of linear matrix inequality techniques in stability analysis of delay systems
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Lectures on the use of control theory in insurance
• Linear Matrix Inequalities in System and Control Theory
• Premium control in an insurance system, an approach using linear control theory
• Stability of time-delay systems
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach