کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076601 | 1477216 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust LMI stability, stabilization and Hâ control for premium pricing models with uncertainties into a stochastic discrete-time framework
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Robust LMI stability, stabilization and Hâ control for premium pricing models with uncertainties into a stochastic discrete-time framework Robust LMI stability, stabilization and Hâ control for premium pricing models with uncertainties into a stochastic discrete-time framework](/preview/png/5076601.png)
چکیده انگلیسی
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 Hâ control for the reserve process are investigated using Linear Matrix Inequality (LMI) criteria. For the robust Hâ 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 γ>0. Numerical examples and figures illustrate the main findings of the paper.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 59, November 2014, Pages 133-143
Journal: Insurance: Mathematics and Economics - Volume 59, November 2014, Pages 133-143
نویسندگان
Athanasios A. Pantelous, Lin Yang,