Linear Generalized Stochastic Systems for Insurance Portfolios

DOI10.1080/07362994.2010.515472zbMath1203.62178OpenAlexW2085396307MaRDI QIDQ3068098

Athanasios A. Pantelous, Grigoris I. Kalogeropoulos, Alexandros A. Zimbidis

Publication date: 13 January 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.515472

zbMATH Keywords

singularitiesdescriptor systemsmatrix pencil theorynon causalitypooling of insurance riskssolvency interaction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic systems and control (93E99) Basic linear algebra (15A99) Portfolio theory (91G10)

Related Items (2)

Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems ⋮ Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework

Uses Software

• Duali

Cites Work

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• Stochastic control for economic models: past, present and the paths ahead
• Singular Dynamic Leontief Systems
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• The singularity problem in the dynamic input-output model†
• Mathematics in economics
• The combined effect of delay and feedback on the insurance pricing process: a control theory approach

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