Related papers: Mean-field approximations in insurance
We introduce a mean-field type approximation for description of company's income statistics. Utilizing huge company data we show that a discrete version of Langevin equation with additive and multiplicative noises can appropriately describe…
We investigate the mean-field limit for interacting particle systems through a duality-based framework and obtain quantitative estimates on the convergence of marginals as well as on correlation functions. In particular, for merely…
We investigate the observational signatures of many-field inflation and present analytic expressions for the spectral index as a function of the prior. For a given prior we employ the central limit theorem and the horizon crossing…
We study a modified mean-field approximation for the Ising Model in arbitrary dimension. Instead of taking a "central" spin, or a small "drop" of fluctuating spins coupled to the effective field of their nearest neighbors as in the…
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-field model in a classical setup, but retains the crucial…
Mean Field inference is central to statistical physics. It has attracted much interest in the Computer Vision community to efficiently solve problems expressible in terms of large Conditional Random Fields. However, since it models the…
Psychological disorders like major depressive disorder can be seen as complex dynamical systems. By looking at symptom activation patterns, we can investigate the dynamic behaviour of individuals to see whether or not they are at risk for…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
A method is presented for numerical implementation of the extended TDHF theory in which two-body correlations beyond the mean-field approximation are incorporated in the form of a quantal collision term. The method is tested in a model…
Variational Bayesian posterior inference often requires simplifying approximations such as mean-field parametrisation to ensure tractability. However, prior work has associated the variational mean-field approximation for Bayesian neural…
In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may potentially suffer from several drawbacks: (i) model misspecification,…
In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a…
The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical…
Mean-field analysis is an important tool for understanding dynamics on complex networks. However, surprisingly little attention has been paid to the question of whether mean-field predictions are accurate, and this is particularly true for…
Mean-field models approximate large stochastic systems by simpler differential equations that are supposed to approximate the mean of the larger system. It is generally assumed that as the stochastic systems get larger (i.e., more people or…
In this paper we use a minimal model based on Mean-Field Games (a mathematical framework apt to describe situations where a large number of agents compete strategically) to simulate the scenario where a static dense human crowd is crossed…
A mutual insurance company (MIC) is a type of consumer cooperative owned by its policyholders. By purchasing insurance from an MIC, policyholders effectively become member-owners of the company and are entitled to a share of the surplus,…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
The mean-field analysis of a multi-population agent-based model is performed. The model couples a particle dynamics driven by a nonlocal velocity with a Markow-type jump process on the probability that each agent has of belonging to a given…
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…