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On the Risk of Ruin in a SIS Type Epidemic

Author

Listed:
  • Claude Lefèvre

    (Université Libre de Bruxelles)

  • Matthieu Simon

    (Universitat de Barcelona
    Université de Mons)

Abstract

The paper deals with the problem of possible ruin when providing insurance coverage for an epidemic. The model studied is an SIS type epidemic which generalizes the well-known logistic model. Contractually, the premiums are paid by susceptible people while the care costs are reimbursed to infected people via an annuity or a lump-sum benefit. Our goal is to determine the distribution of the main statistics of the ruin when it occurs during the epidemic. The case where the reserve alternates between normal and epidemic episodes is also discussed using a Brownian modeling of the reserve. Finally, some of the results are illustrated for two particular SIS epidemic models.

Suggested Citation

  • Claude Lefèvre & Matthieu Simon, 2022. "On the Risk of Ruin in a SIS Type Epidemic," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 939-961, June.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09924-z
    DOI: 10.1007/s11009-021-09924-z
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    References listed on IDEAS

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    1. Damian Clancy & Elliott Tjia, 2018. "Approximating Time to Extinction for Endemic Infection Models," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1043-1067, December.
    2. van Doorn, Erik A. & Pollett, Philip K., 2013. "Quasi-stationary distributions for discrete-state models," European Journal of Operational Research, Elsevier, vol. 230(1), pages 1-14.
    3. Runhuan Feng & Jose Garrido, 2011. "Actuarial Applications of Epidemiological Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(1), pages 112-136.
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