IDEAS home Printed from https://ideas.repec.org/p/aiz/louvar/2021002.html
   My bibliography  Save this paper

An Actuarial Approach for Modeling Pandemic Risk

Author

Listed:
  • Hainaut, Donatien

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

Abstract

This article proposes a model for pandemic risk and two stochastic extensions. It 1 is designed for actuarial valuation of insurance plans providing healthcare and death benefits. 2 The core of our approach relies on a deterministic model that is an efficient alternative to the 3 susceptible-Infected-Recovered (SIR) method. This model explains the evolution of the first waves 4 of COVID-19 in Belgium, Germany, Italy and Spain. Furthermore, it is analytically tractable for fair 5 pure premium calculation. In a first extension, we replace the time by a gamma stochastic clock. 6 This approach randomizes the timing of the epidemic peak. A second extension consists in adding a 7 Brownian noise and a jump process to explain the erratic evolution of the population of confirmed 8 cases. The jump component allows for local resurgences of the epidemic.

Suggested Citation

  • Hainaut, Donatien, 2021. "An Actuarial Approach for Modeling Pandemic Risk," LIDAM Reprints ISBA 2021002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2021002
    DOI: https://doi.org/10.3390/risks9010003
    Note: In: Risks - Vol. 9, no.1 (2021)
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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).
    2. Ciardiello, Francesco & Di Lorenzo, Emilia & Menzietti, Massimiliano & Sibillo, Marilena, 2024. "Securitization for common health," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).

    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:aiz:louvar:2021002. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    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.