Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19

This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman’s path calculation...

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Main Authors: Muhsin Tamturk, Dominic Cortis, Mark Farrell
Format: Article
Language:English
Published: MDPI AG 2020-12-01
Series:Risks
Subjects:
Online Access:https://www.mdpi.com/2227-9091/8/4/132
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spelling doaj-5c6ae25a2a294efea32d222d77df72312020-12-07T00:01:39ZengMDPI AGRisks2227-90912020-12-01813213210.3390/risks8040132Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19Muhsin Tamturk0Dominic Cortis1Mark Farrell2Department of Mathematics, University of Leicester, Leicester LE1 7RH, UKDepartment of Insurance, FEMA, University of Malta, MSD2080 Msida, MaltaQueen’s Management School, Queen’s University Belfast, Belfast BT9 5EE, UKThis paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman’s path calculation and Dirac notations, in order to observe how a pandemic risk may affect an insurer via reduced business. We also examine how the effects of a pandemic can be taken into account both during and at the end of the process. Examples are also provided showing the potential effects of a pandemic on different types of insurance product.https://www.mdpi.com/2227-9091/8/4/132risk theorycatastrophe risk modellingCOVID-19dependencepandemic
collection DOAJ
language English
format Article
sources DOAJ
author Muhsin Tamturk
Dominic Cortis
Mark Farrell
spellingShingle Muhsin Tamturk
Dominic Cortis
Mark Farrell
Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
Risks
risk theory
catastrophe risk modelling
COVID-19
dependence
pandemic
author_facet Muhsin Tamturk
Dominic Cortis
Mark Farrell
author_sort Muhsin Tamturk
title Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
title_short Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
title_full Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
title_fullStr Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
title_full_unstemmed Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19
title_sort examining the effects of gradual catastrophes on capital modelling and the solvency of insurers: the case of covid-19
publisher MDPI AG
series Risks
issn 2227-9091
publishDate 2020-12-01
description This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman’s path calculation and Dirac notations, in order to observe how a pandemic risk may affect an insurer via reduced business. We also examine how the effects of a pandemic can be taken into account both during and at the end of the process. Examples are also provided showing the potential effects of a pandemic on different types of insurance product.
topic risk theory
catastrophe risk modelling
COVID-19
dependence
pandemic
url https://www.mdpi.com/2227-9091/8/4/132
work_keys_str_mv AT muhsintamturk examiningtheeffectsofgradualcatastrophesoncapitalmodellingandthesolvencyofinsurersthecaseofcovid19
AT dominiccortis examiningtheeffectsofgradualcatastrophesoncapitalmodellingandthesolvencyofinsurersthecaseofcovid19
AT markfarrell examiningtheeffectsofgradualcatastrophesoncapitalmodellingandthesolvencyofinsurersthecaseofcovid19
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