Actuarial analysis of epidemiological models

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.