Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076601 | Insurance: Mathematics and Economics | 2014 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Athanasios A. Pantelous, Lin Yang,