Linear generalized stochastic systems for insurance portfolios

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

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Abstract

We consider a typical portfolio of different insurance products and investigate the pricing process using the framework of a linear time invariant generalized stochastic discrete-time model. Moreover, we assume that, due to regulatory constraints, the resulting system is (regular) descriptor and calculate the solution using the tools of matrix pencil theory. Finally, we present a numerical application for two different portfolios.

Original languageEnglish
Pages (from-to)946-971
Number of pages26
JournalStochastic Analysis and Applications
Volume28
Issue number6
DOIs
Publication statusPublished - Nov 2010
Externally publishedYes

Keywords

  • Descriptor systems
  • Matrix pencil theory
  • Non causality
  • Pooling of insurance risks
  • Singularities
  • Solvency interaction

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