Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258093 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 1 [Article No.:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-28
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
COVID-19
epidemic risk
jump diffusion
SIR
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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