流行病保险的破产问题

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Advances in Applied Probability Pub Date : 2021-06-01 DOI:10.1017/apr.2020.66

C. Lefèvre, Matthieu Simon

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引用次数: 4

摘要

摘要本文讨论了传染病在封闭人群中的保险承保中的破产风险问题。所研究的模型是由lefvre和Simon (Methodology Comput)建立的一个扩展的易感-感染-去除(SIR)流行病模型。达成。Prob. 22, 2020)作为块结构的马尔可夫过程。然后引入流动成分来描述收到的保费数额和保险报销的护理费用。我们关心的是公司相应储备崩溃的风险。利用矩阵分析法，我们可以确定破产时间的分布、破产的概率和最终的储备金额。研究了保护区受布朗噪声影响的情况。最后，对两个特定的标准SIR流行病模型给出了一些结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Ruin problems for epidemic insurance

Abstract The paper discusses the risk of ruin in insurance coverage of an epidemic in a closed population. The model studied is an extended susceptible–infective–removed (SIR) epidemic model built by Lefèvre and Simon (Methodology Comput. Appl. Prob. 22, 2020) as a block-structured Markov process. A fluid component is then introduced to describe the premium amounts received and the care costs reimbursed by the insurance. Our interest is in the risk of collapse of the corresponding reserves of the company. The use of matrix-analytic methods allows us to determine the distribution of ruin time, the probability of ruin, and the final amount of reserves. The case where the reserves are subjected to a Brownian noise is also studied. Finally, some of the results obtained are illustrated for two particular standard SIR epidemic models.

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来源期刊

Advances in Applied Probability 数学-统计学与概率论

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Advances in Applied Probability has been published by the Applied Probability Trust for over four decades, and is a companion publication to the Journal of Applied Probability. It contains mathematical and scientific papers of interest to applied probabilists, with emphasis on applications in a broad spectrum of disciplines, including the biosciences, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used. A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.