Linear generalized stochastic systems for insurance portfolios

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

doi:10.1080/07362994.2010.515472

Linear generalized stochastic systems for insurance portfolios

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

Research output: Contribution to journal › Article › Research › peer-review

10 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 language	English
Pages (from-to)	946-971
Number of pages	26
Journal	Stochastic Analysis and Applications
Volume	28
Issue number	6
DOIs	https://doi.org/10.1080/07362994.2010.515472
Publication status	Published - Nov 2010
Externally published	Yes

Keywords

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

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10.1080/07362994.2010.515472

Cite this

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AU - Zimbidis, Alexandros A.

AU - Kalogeropoulos, Grigoris I.

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AB - 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.

KW - Descriptor systems

KW - Matrix pencil theory

KW - Non causality

KW - Pooling of insurance risks

KW - Singularities

KW - Solvency interaction

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JO - Stochastic Analysis and Applications

JF - Stochastic Analysis and Applications

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ER -

Linear generalized stochastic systems for insurance portfolios

Abstract

Keywords

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