IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v24y2022i2d10.1007_s11009-021-09924-z.html
   My bibliography  Save this article

On the Risk of Ruin in a SIS Type Epidemic

Author

Listed:
  • Claude Lefèvre

    (Université Libre de Bruxelles)

  • Matthieu Simon

    (Universitat de Barcelona
    Université de Mons)

Abstract

The paper deals with the problem of possible ruin when providing insurance coverage for an epidemic. The model studied is an SIS type epidemic which generalizes the well-known logistic model. Contractually, the premiums are paid by susceptible people while the care costs are reimbursed to infected people via an annuity or a lump-sum benefit. Our goal is to determine the distribution of the main statistics of the ruin when it occurs during the epidemic. The case where the reserve alternates between normal and epidemic episodes is also discussed using a Brownian modeling of the reserve. Finally, some of the results are illustrated for two particular SIS epidemic models.

Suggested Citation

  • Claude Lefèvre & Matthieu Simon, 2022. "On the Risk of Ruin in a SIS Type Epidemic," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 939-961, June.
  • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09924-z
    DOI: 10.1007/s11009-021-09924-z
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-021-09924-z
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    File URL: https://libkey.io/10.1007/s11009-021-09924-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. van Doorn, Erik A. & Pollett, Philip K., 2013. "Quasi-stationary distributions for discrete-state models," European Journal of Operational Research, Elsevier, vol. 230(1), pages 1-14.
    2. Runhuan Feng & Jose Garrido, 2011. "Actuarial Applications of Epidemiological Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(1), pages 112-136.
    3. Damian Clancy & Elliott Tjia, 2018. "Approximating Time to Extinction for Endemic Infection Models," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1043-1067, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Xiaowei & Chong, Wing Fung & Feng, Runhuan & Zhang, Linfeng, 2021. "Pandemic risk management: Resources contingency planning and allocation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 359-383.
    2. D'Amato, Valeria & Di Lorenzo, Emilia & Piscopo, Gabriella & Sibillo, Marilena & Trotta, Annarita, 2024. "Insurance business and social sustainability: A proposal," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
    3. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
    4. Caroline Hillairet & Olivier Lopez, 2021. "Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models," Post-Print hal-02564462, HAL.
    5. Xiaowei Chen & Wing Fung Chong & Runhuan Feng & Linfeng Zhang, 2020. "Pandemic risk management: resources contingency planning and allocation," Papers 2012.03200, arXiv.org.
    6. Hillairet, Caroline & Lopez, Olivier & d'Oultremont, Louise & Spoorenberg, Brieuc, 2022. "Cyber-contagion model with network structure applied to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 88-101.
    7. Caroline Hillairet & Olivier Lopez, 2020. "Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models," Working Papers hal-02564462, HAL.
    8. Artalejo, J.R. & Economou, A. & Lopez-Herrero, M.J., 2015. "The stochastic SEIR model before extinction: Computational approaches," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 1026-1043.
    9. Corujo, Josué, 2021. "Dynamics of a Fleming–Viot type particle system on the cycle graph," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 57-91.
    10. Velleret, Aurélien, 2022. "Unique quasi-stationary distribution, with a possibly stabilizing extinction," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 98-138.
    11. Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020. "Insurance-Finance Arbitrage," Papers 2005.11022, arXiv.org, revised Nov 2022.
    12. Francisco J. Zagmutt & Stephen H. Sempier & Terril R. Hanson, 2013. "Disease Spread Models to Estimate Highly Uncertain Emerging Diseases Losses for Animal Agriculture Insurance Policies: An Application to the U.S. Farm‐Raised Catfish Industry," Risk Analysis, John Wiley & Sons, vol. 33(10), pages 1924-1937, October.
    13. Camille Delbrouck & Jennifer Alonso-García, 2024. "COVID-19 and Excess Mortality: An Actuarial Study," Risks, MDPI, vol. 12(4), pages 1-27, March.
    14. Leżaj, Łukasz, 2024. "Non-symmetric stable processes: Dirichlet heat kernel, Martin kernel and Yaglom limit," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
    15. Economou, A. & Gómez-Corral, A. & López-García, M., 2015. "A stochastic SIS epidemic model with heterogeneous contacts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 78-97.
    16. He, Guoman & Zhang, Hanjun & Zhu, Yixia, 2019. "On the quasi-ergodic distribution of absorbing Markov processes," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 116-123.
    17. Hainaut, Donatien, 2020. "An actuarial approach for modeling pandemic risk," LIDAM Discussion Papers ISBA 2020025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    18. Ravner, Liron, 2014. "Equilibrium arrival times to a queue with order penalties," European Journal of Operational Research, Elsevier, vol. 239(2), pages 456-468.
    19. Donatien Hainaut, 2020. "An Actuarial Approach for Modeling Pandemic Risk," Risks, MDPI, vol. 9(1), pages 1-28, December.
    20. Mikael Petersson, 2017. "Quasi-Stationary Asymptotics for Perturbed Semi-Markov Processes in Discrete Time," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1047-1074, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09924-z. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.