Ruin problems for epidemic insurance
| Autor: | Claude Lefèvre, Matthieu Simon |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Risk of ruin education.field_of_study 050208 finance Actuarial science Applied Mathematics 05 social sciences Population Markov process 01 natural sciences 010104 statistics & probability symbols.namesake 0502 economics and business symbols Statutory reserve 0101 mathematics Epidemic model education Mathematics Insurance coverage |
| Zdroj: | Advances in Applied Probability. 53:484-509 |
| ISSN: | 1475-6064 0001-8678 |
| DOI: | 10.1017/apr.2020.66 |
| Popis: | The paper discusses the risk of ruin in insurance coverage of an epidemic in a closed population. The model studied is an extended susceptible–infective–removed (SIR) epidemic model built by Lefèvre and Simon (Methodology Comput. Appl. Prob.22, 2020) as a block-structured Markov process. A fluid component is then introduced to describe the premium amounts received and the care costs reimbursed by the insurance. Our interest is in the risk of collapse of the corresponding reserves of the company. The use of matrix-analytic methods allows us to determine the distribution of ruin time, the probability of ruin, and the final amount of reserves. The case where the reserves are subjected to a Brownian noise is also studied. Finally, some of the results obtained are illustrated for two particular standard SIR epidemic models. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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