Individual life insurance during epidemics
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Individual life insurance during epidemics. / Francis, Laura; Steffensen, Mogens.
I: Annals of Actuarial Science, Bind 18, 2024, s. 152–175.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Individual life insurance during epidemics
AU - Francis, Laura
AU - Steffensen, Mogens
N1 - Publisher Copyright: © The Author(s), 2023. Published by Cambridge University Press on behalf of Institute and Faculty of Actuaries.
PY - 2024
Y1 - 2024
N2 - The coronavirus pandemic has created a new awareness of epidemics, and insurance companies have been reminded to consider the risk related to infectious diseases. This paper extends the traditional multi-state models to include epidemic effects. The main idea is to specify the transition intensities in a Markov model such that the impact of contagion is explicitly present in the same way as in epidemiological models. Since we can study the Markov model with contagious effects at an individual level, we consider individual risk and reserves relating to insurance products, conforming with the standard multi-state approach in life insurance mathematics. We compare our notions with other but related notions in the literature and perform numerical illustrations.
AB - The coronavirus pandemic has created a new awareness of epidemics, and insurance companies have been reminded to consider the risk related to infectious diseases. This paper extends the traditional multi-state models to include epidemic effects. The main idea is to specify the transition intensities in a Markov model such that the impact of contagion is explicitly present in the same way as in epidemiological models. Since we can study the Markov model with contagious effects at an individual level, we consider individual risk and reserves relating to insurance products, conforming with the standard multi-state approach in life insurance mathematics. We compare our notions with other but related notions in the literature and perform numerical illustrations.
KW - Compartment models
KW - contagion
KW - Kolmogorov's differential equations
KW - Markov models
KW - state-wise reserves
UR - http://www.scopus.com/inward/record.url?scp=85171743373&partnerID=8YFLogxK
U2 - 10.1017/S1748499523000209
DO - 10.1017/S1748499523000209
M3 - Journal article
AN - SCOPUS:85171743373
VL - 18
SP - 152
EP - 175
JO - Annals of Actuarial Science
JF - Annals of Actuarial Science
SN - 1748-4995
ER -
ID: 369479751