Ruin problems for epidemic insurance

DOI10.1017/APR.2020.66zbMATH Open1481.91172OpenAlexW3186435140MaRDI QIDQ5022271FDOQ5022271

Authors: Matthieu Simon, Claude Lefèvre 

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2020.66

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zbMATH Keywords

matrix-analytic methodsBrownian noiseMarkov-modulated fluid flowsblock-structured Markov processesinsurance reservesSIR-type epidemicsrisk of ruin

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05) Epidemiology (92D30)

Cites Work

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• SIR-type epidemic models as block-structured Markov processes
• Distribution of the final state and severity of epidemics with fatal risk
• Actuarial applications of epidemiological models
• Epidemic risk and insurance coverage
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• Incremental computation of block triangular matrix exponentials with application to option pricing

Cited In (5)

• A Markov multiple state model for epidemic and insurance modelling
• Observations on the HIV epidemic and managing uncertainty in insurance
• On the risk of ruin in a SIS type epidemic
• Cyber-contagion model with network structure applied to insurance
• Actuarial applications of epidemiological models

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