✦ LIBER ✦

Identification of unknown parameters in cash flow systems of insurance

✍ Scribed by Daniel Tabak; Tapan S. Roy; John W. Caron

Publisher: Elsevier Science
Year: 1976
Tongue: English
Weight: 768 KB
Volume: 12
Category: Article
ISSN: 0005-1098
DOI: 10.1016/0005-1098(76)90067-4

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✦ Synopsis

The paper applies control and optimization techniques in an economics and management systems problem. A cash flow system of an insurance company is considered. The cash flow system is modelled in a fashion similar to the modelling of control systems. Certain parts of it are modelled as discrete-time systems. The unknown parameters of the system are estimated using the discrete linearized Kalman filter. Identification of another set of parameters is performed by an unconstrained minimization algorithm of Nelder and Mead. The techniques are implemented in conjunction with several examples based on practical cases.

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