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

Muhsin Tamturk, Dominic Cortis and Mark Farrell
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Muhsin Tamturk: Department of Mathematics, University of Leicester, Leicester LE1 7RH, UK
Mark Farrell: Queen’s Management School, Queen’s University Belfast, Belfast BT9 5EE, UK

Risks, 2020, vol. 8, issue 4, 1-13

Abstract: 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.

Keywords: risk theory; catastrophe risk modelling; COVID-19; dependence; pandemic (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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