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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2020-12-01
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Online Access: | https://www.mdpi.com/2227-9091/8/4/132 |
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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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