Related papers: Mean-field approximations in insurance
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence…
This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the case, considered in most finite dimensional contributions…
A mean field feedback artificial neural network algorithm is developed and explored for the set covering problem. A convenient encoding of the inequality constraints is achieved by means of a multilinear penalty function. An approximate…
While generalized linear mixed models are a fundamental tool in applied statistics, many specifications, such as those involving categorical factors with many levels or interaction terms, can be computationally challenging to estimate due…
Mean field approximation is a powerful technique to study the performance of large stochastic systems represented as $n$ interacting objects. Applications include load balancing models, epidemic spreading, cache replacement policies, or…
Many real-world phenomena can be modelled as dynamical processes on networks, a prominent example being the spread of infectious diseases such as COVID-19. Mean-field approximations are a widely used tool to analyse such dynamical processes…
We analytically derive mean-field models for all-to-all coupled networks of heterogeneous, adapting, two-dimensional integrate and fire neurons. The class of models we consider includes the Izhikevich, adaptive exponential, and quartic…
Realistic effective interparticle interactions of quantum many-body systems are widely seen as being short-range. However, the rigorous mathematical analysis of this type of model turns out to be extremely difficult, in general, with many…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
We use probabilistic methods to study properties of mean-field models, arising as large-scale limits of certain particle systems with mean-field interaction. The underlying particle system is such that $n$ particles move forward on the real…
While the topic of mean-field games (MFGs) has a relatively long history, heretofore there has been limited work concerning algorithms for the computation of equilibrium control policies. In this paper, we develop a computable policy…
The mean-field theory for lossy nonlinear composites, described by complex and field-dependent dielectric functions, is presented. By using the spectral representation of linear composites with identical microstructure, we develop…
This paper studies a general class of stochastic population processes in which agents interact with one another over a network. Agents update their behaviors in a random and decentralized manner according to a policy that depends only on…
Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of Cox, Ross \& Rubinstein. For agents with exponential and…
Recently, variational approximations such as the mean field approximation have received much interest. We extend the standard mean field method by using an approximating distribution that factorises into cluster potentials. This includes…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
We show under general assumptions that the mean-field approximation for quan- tum many-boson systems is correct. Our contribution unifies and improves on most of the known results. The proof uses general properties of quantization in…
We consider the problem of seeking an optimal set of model points associated to a fixed portfolio of life insurance policies. Such an optimal set is characterized by minimizing a certain risk functional, which gauges the average discrepancy…
While the general theory for the terminal-initial value problem in mean-field games is widely used in many models of applied mathematics, the modeling potential of the corresponding forward-forward version is still under-considered. In this…