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

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)

Recommendations

• Epidemic risk and insurance coverage
• Problems on insurance of catastrophic risks
• Reinsurance and ruin
• Epidemic compartmental models and their insurance applications
• scientific article; zbMATH DE number 5240958
• On the risk of ruin in a SIS type epidemic
• scientific article; zbMATH DE number 5008711
• Ruin under stochastic dependence between premium and claim arrivals
• Ruin problem for two discrete-time insurance models

Cites work

• scientific article; zbMATH DE number 1307590 (Why is no real title available?)
• scientific article; zbMATH DE number 1324225 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Actuarial applications of epidemiological models
• Algorithm 705; a FORTRAN-77 software package for solving the Sylvester matrix equation AXB ^T + CXD ^T = E
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• Distribution of the final state and severity of epidemics with fatal risk
• Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models
• Epidemic risk and insurance coverage
• Fundamentals of matrix-analytic methods
• Hitting probabilities and hitting times for stochastic fluid flows
• Incremental computation of block triangular matrix exponentials with application to option pricing
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Mathematical tools for understanding infectious disease dynamics.
• On the solution of algebraic Riccati equations arising in fluid queues
• Ruin probabilities
• SIR-type epidemic models as block-structured Markov processes
• Stationary distributions for fluid flow models with or without brownian noise
• Stochastic epidemic models and their statistical analysis
• The morphing of fluid queues into Markov-modulated Brownian motion

Cited in

(9)

• Epidemic risk and insurance coverage
• A Markov multiple state model for epidemic and insurance modelling
• Actuarial applications of epidemiological models
• Cyber-contagion model with network structure applied to insurance
• Observations on the HIV epidemic and managing uncertainty in insurance
• Final outcomes and disease insurance for a controlled epidemic model
• On the risk of ruin in a SIS type epidemic
• Risk models in insurance and epidemics: a bridge through randomized polynomials
• Fair insurance premium rate in connected SEIR model under epidemic outbreak

This page was built for publication: Ruin problems for epidemic insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5022271)