An Actuarial Approach for Modeling Pandemic Risk

Risks

Donatien Hainaut¹ 

[1] LIDAM Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, 5032 Isnes, Belgium;

关键词: SIR;    epidemic risk;    COVID-19;    jump diffusion;   

DOI  :  10.3390/risks9010003

来源: DOAJ

【 摘 要 】

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

【 授权许可】

Unknown