Insurance pricing using \(H_{\infty}\)-control
type: Item
instance of: scholarly article
title: Insurance pricing using \(H_{\infty}\)-control
zbMATH Open document ID: 1410.91299
author: Alexandros A. Zimbidis
published in: Applied Mathematics and Computation
publication date: 2018-06-22T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 93B36
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6893661
zbMATH Keywords: insurance pricing
zbMATH Keywords: \(H_{\infty}\)-control
zbMATH Keywords: robust stochastic stabilization
zbMATH Keywords: linear matrix inequalities
zbMATH Keywords: time varying delayed systems
MaRDI profile type: Publication
full work available at URL: j.amc.2014.01.105
OpenAlex ID: W2096767260
cites work: Linear Matrix Inequalities in System and Control Theory
cites work: Delay-dependent robust stabilization and H -control of uncertain stochastic systems with time-varying delay
cites work: A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
cites work: Optimal strategies for pricing general insurance
cites work: Probleme General de la Stabilite du Mouvement. (AM-17)
cites work: Premium control in an insurance system, an approach using linear control theory
cites work: Ruin problems with assets and liabilities of diffusion type
cites work: A finite steps algorithm for solving convex feasibility problems
cites work: Optimal Premium Control in a Non-life Insurance Business
cites work: Q5593626
cites work: Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
cites work: The combined effect of delay and feedback on the insurance pricing process: a control theory approach
DOI: 10.1016/J.AMC.2014.01.105
Recommended article: Pricing General Insurance Using Optimal Control Theory
Recommended article: Q4657106
Recommended article: Stochastic control in formulating a non-life insurance premium strategy
Recommended article: Q5434181
Recommended article: Stochastic control for insurance: new problems and methods
Recommended article: The combined effect of delay and feedback on the insurance pricing process: a control theory approach
Recommended article: Stochastic control for insurance: models, strategies, and numerics
Recommended article: Q2994030
Recommended article: The pricing of optimal insurance policies
description: scientific article; zbMATH DE number 6893661