Ruin problems for epidemic insurance
From MaRDI portal
Publication:5022271
DOI10.1017/apr.2020.66zbMath1481.91172OpenAlexW3186435140MaRDI QIDQ5022271
Matthieu Simon, Claude Lefèvre
Publication date: 18 January 2022
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2020.66
matrix-analytic methodsBrownian noiseMarkov-modulated fluid flowsblock-structured Markov processesinsurance reservesSIR-type epidemicsrisk of ruin
Epidemiology (92D30) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)
Related Items
On the risk of ruin in a SIS type epidemic ⋮ Cyber-contagion model with network structure applied to insurance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the solution of algebraic Riccati equations arising in fluid queues
- Distribution of the final state and severity of epidemics with fatal risk
- Stochastic epidemic models and their statistical analysis
- SIR-type epidemic models as block-structured Markov processes
- Incremental computation of block triangular matrix exponentials with application to option pricing
- Efficient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models
- Hitting probabilities and hitting times for stochastic fluid flows
- Fundamentals of Matrix-Analytic Methods
- Actuarial Applications of Epidemiological Models
- The morphing of fluid queues into Markov-modulated Brownian motion
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Stationary distributions for fluid flow models with or without brownian noise
- Algorithm 705; a FORTRAN-77 software package for solving the Sylvester matrix equation AXB T + CXD T = E
- Epidemic risk and insurance coverage
- Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión
