In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is an efficient alternative to the...

The constant proportion portfolio insurance is a dynamic strategy of investment protecting a fund against a fall of its market value below a predetermined floor. In this work, we revisit the CPPI under the assumption that the risky asset is a stochastic process whose the average return and...