Robust LMI stability, stabilization and H& control for premium pricing models with uncertainties into a stochastic discrete-time framework

Colección: Artículos
Título: Robust LMI stability, stabilization and H& control for premium pricing models with uncertainties into a stochastic discrete-time framework / Athanasios A. Pantelous, Lin Yang
Autor: Pantelous, Athanasios A.
Notas: Sumario: The premium pricing process and the reserve stability under uncertainty are very challenging issues in the insurance industry. In practice, a premium which is sufficient enough to cover the expected claims and to keep stable the derived reserves is always required. This paper proposes a premium pricing model for General (Non-Life) Insurance products, which implements a negative feedback mechanism for the known reserves with time-varying, bounded delays. The model is developed into a stochastic, discrete-time framework and norm-bounded parameter uncertainties have been also incorporated. Thus, the stability, the stabilization and the robust H8 control for the reserve process are investigated using Linear Matrix Inequality (LMI) criteria. For the robust H8 control, attention will be focused on the design of a state feedback controller such that the resulting closed-loop system is robustly stochastically stable with disturbance attenuation level ?>0. Numerical examples and figures illustrate the main findings of the paper.
Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014
Otras clasificaciones: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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