| contributor author | Pantelous, Athanasios A. | |
| contributor author | Yang, Lin | |
| date accessioned | 2017-05-09T01:14:26Z | |
| date available | 2017-05-09T01:14:26Z | |
| date issued | 2015 | |
| identifier issn | 2332-9017 | |
| identifier other | RISK_1_2_021006.pdf | |
| identifier uri | http://yetl.yabesh.ir/yetl/handle/yetl/156871 | |
| description abstract | In this paper, the robust Hinfinity (Hâˆ) control problem for a premium pricing process is investigated with parameters uncertainty. A previous model is modified by taking into account a predefined risky investment strategy. A robust H∠control problem for the reserve process is proposed using linear matrix inequality (LMI) criteria. Attention is focused on the design of a state feedback controller such that the resulting closedloop system is robustly stochastically stable with disturbance attenuation level خ³>0. Finally, a numerical example with colorful figures and tables based on the data from the Shanghai Stock Exchange market is provided illustrating clearly the impact of risky investment in the system. The MATLAB LMI Control toolbox is used for the numerical calculations. | |
| publisher | The American Society of Mechanical Engineers (ASME) | |
| title | Robust H Infinity Control for a Premium Pricing Model With a Predefined Portfolio Strategy | |
| type | Journal Paper | |
| journal volume | 1 | |
| journal issue | 2 | |
| journal title | ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering | |
| identifier doi | 10.1115/1.4029758 | |
| journal fristpage | 21006 | |
| journal lastpage | 21006 | |
| tree | ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering:;2015:;volume( 001 ):;issue: 002 | |
| contenttype | Fulltext | |