Abstract
In this paper, we design a model for the insurance pricing process of a portfolio of different (dependent or independent) non-life products. A standard decision function for the determination of the premium is proposed which use the recent claim experience and a negative feedback mechanism of the known surplus value. The model assumes a time-varying, bounded delay factor, time-varying parameters and different types of norm-bounded uncertainties. Finally, a Linear Matrix Inequality (LMI) criterion is derived for the investigation of the robust stability of the system. For the first time, a classical tool for the robust control analysis of engineering systems has been applied for the insurance pricing process of non-life products, extending further the existing literature. An example with 2 dependent non-life products illustrates the results of the paper.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
