Insurance pricing using H∞-control
作者：
Highlights：
• We model an insurance company using the tools of H(infinity) control theory.
• We deal with insurance pricing considering delay, randomness and uncertainty.
• We obtain the optimal stabilization factor of the system using H control theory.
• We calculate the values of the stabilization factor under different scenarios.
摘要
•We model an insurance company using the tools of H(infinity) control theory.•We deal with insurance pricing considering delay, randomness and uncertainty.•We obtain the optimal stabilization factor of the system using H control theory.•We calculate the values of the stabilization factor under different scenarios.
论文关键词：Insurance pricing,H∞-control,Robust stochastic stabilization,Linear matrix inequalities,Time varying delayed systems
论文评审过程：Received 14 November 2012, Available online 15 February 2014.
论文官网地址：https://doi.org/10.1016/j.amc.2014.01.105
