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Robust Stability, Stabilisation and H-Infinity Control for Premium-reserve Models in a Markovian Regime Switching Discrete-Time Framework

Yang, L., Pantelous, A.A., Assa, H. (2016) Robust Stability, Stabilisation and H-Infinity Control for Premium-reserve Models in a Markovian Regime Switching Discrete-Time Framework. ASTIN Bulletin, 46 (3). pp. 747-778. ISSN 0515-0361. (doi:10.1017/asb.2016.13) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:87569)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1017/asb.2016.13

Abstract

The premium pricing process and the medium- and long-term stability of the reserve policy under conditions of uncertainty present very challenging issues in relation to the insurance world. Over the last two decades, applications of Markovian regime switching models to finance and macroeconomics have received strong attention from researchers, and particularly market practitioners. However, relatively little research has so far been carried out in relation to insurance. This paper attempts to consider how a linear Markovian regime switching system in discrete-time could be applied to model the medium- and long-term reserves and the premiums (abbreviated here as the P-R process) for an insurer. Some recently developed techniques from linear robust control theory are applied to explore the stability, stabilisation and robust H∞-control of a P-R system, and the potential effects of abrupt structural changes in the economic fundamentals, as well as the insurer's strategy over a finite time period. Sufficient linear matrix inequality conditions are derived for solving the proposed sub-problems. Finally, a numerical example is presented to illustrate the applicability of the theoretical results. © Copyright 2016 Astin Bulletin.

Item Type: Article
DOI/Identification number: 10.1017/asb.2016.13
Uncontrolled keywords: Premium-reserve process; H-infinity control; system stability; Markovian regime switching systems; time-varying delay
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Hirbod Assa
Date Deposited: 28 Apr 2021 13:19 UTC
Last Modified: 06 Oct 2021 14:34 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/87569 (The current URI for this page, for reference purposes)
Assa, H.: https://orcid.org/0000-0002-4429-8684
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