The recent SARS-CoV-2 pandemic has involved several aspects of society, from healthcare to economics. In this framework, after staying on the edge at first, now the insurers are starting to play a fundamental role. The present research project aims to study the management of the risk sources associated with pandemics, providing adequate hedging techniques. To do this, we will transfer the aforementioned risks to the capital market, in order to face the problem from a financial perspective. In particular, we will highlight the role of pandemic events in the assessment of appropriate insurance products ascribed to the so called PRIIPs, whose value depends on suitable dynamics related to mortality. Moreover, we will describe the best models to represent the occurrence of shocks in mortality, we will furnish analytical solutions and innovative numerical procedures to evaluate the price of the financial product involved, and we will provide suitable indicators to measure the goodness of the scenario performances.
