Robust LMI stability of a premium pricing model into a discrete-time stochastic framework

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Abstract

The premium pricing process and the stability of the reserves are two very challenging issues in the insurance industry. In practice, a premium which is sufficient enough to cover the expected claims and to stabilize the derived reserves is always required. This paper proposes a premium pricing model for general insurance products which implements a negative feedback mechanism for the known reserves with time-varying, bounded delays and is based on the recent claim experience into a stochastic framework with norm-bounded parameter uncertainties. The robust stability for the reserve process is investigated using Linear Matrix Inequality (LMI) criteria in a discrete-time stochastic framework. A numerical example illustrates the main result of the paper.

Original languageEnglish
Title of host publicationVulnerability, Uncertainty, and Risk
Subtitle of host publicationQuantification, Mitigation, and Management - Proceedings of the Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty Modeling and Analysis (ISUMA)
EditorsMichael Beer, Siu-Kui Au, Jim W. Hall
Place of PublicationReston VA USA
PublisherAmerican Society of Civil Engineers
Pages1057-1066
Number of pages10
ISBN (Electronic)9780784413609
DOIs
Publication statusPublished - 2014
Externally publishedYes
EventInternational Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014 - University of Liverpool, Liverpool, United Kingdom
Duration: 13 Jul 201416 Jul 2014
http://www.icvram2014.org/

Conference

ConferenceInternational Conference on Vulnerability and Risk Analysis and Management and the International Symposium on Uncertainty Modeling and Analysis 2014
Abbreviated titleASCE-ICVRAM-ISUMA 2014
CountryUnited Kingdom
CityLiverpool
Period13/07/1416/07/14
Other2nd International Conference on Vulnerability and Risk Analysis and Management and the 6th International Symposium on Uncertainty Modeling and Analysis
Internet address

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