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

Muhsin Tamturk*, Dominic Cortis, Mark Farrell

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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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.
Original languageEnglish
Article number132
Number of pages13
JournalRisks
Volume8
Issue number4
DOIs
Publication statusPublished - 06 Dec 2020

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