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Actuarial analysis of epidemiological models

Motte, Edouard
(2021)

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Motte_62441900_2021.pdf
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Details

Supervisors
Hainaut, Donatien
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles, à finalité spécialisée
Abstract
In 2020, a few major insurance companies announced in the press that claims caused by an epidemic such as the COVID-19 cannot be covered. The purpose of this master thesis is to demonstrate the contrary. We implement the classical SIR (susceptible-infectious-removed) model and its variants to COVID-19 datasets available in R. We next add Brownian noise in order to better explain the dynamics of the pandemic. We investigate the pricing of insurances providing hospitalization and death bene􏰄fits. Different aspects are covered: pricing, reserving and risk management.