Related papers: Mean-field approximations in insurance
This work is a simple extension of \cite{NNjpa}. We apply the concepts of information geometry to study the mean-field approximation for a general class of quantum statistical models namely the higher-order quantum Boltzmann machines…
We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the…
Static and dynamical aspects of nuclear systems are described through an extended time-dependent mean-field approach. The foundations of the formalism are presented, with highlights on the estimation of average values and their…
Recent works have shown that the contact process running on the top of highly heterogeneous random networks is described by the heterogeneous mean-field theory. However, some important aspects as the transition point and strong corrections…
The dynamics of non-equilibrium Ising model with parallel updates is investigated using a generalized mean field approximation that incorporates multiple two-site correlations at any two time steps, which can be obtained recursively. The…
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…
Finite mixture models are an important tool in the statistical analysis of data, for example in data clustering. The optimal parameters of a mixture model are usually computed by maximizing the log-likelihood functional via the…
The purpose of this paper is to propose methodologies for statistical inference of low-dimensional parameters with high-dimensional data. We focus on constructing confidence intervals for individual coefficients and linear combinations of…
We prove a mean-field equation for the dynamics of quorum-sensing microbial populations. In the stochastic many-particle process, individuals of a population produce public good molecules to different degrees. Individual production is…
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss indemnity insurance with parametric insurance within a…
Variable selection for a multiple regression model (Noisy Linear Perceptron) is studied with a mean field approximation. In our Bayesian framework, variable selection is formulated as estimation of discrete parameters that indicate a subset…
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool…
We consider an interacting system of one-dimensional structures modelling fibers with fiber-fiber interaction in a fiber lay-down process. The resulting microscopic system is investigated by looking at different asymptotic limits of the…
This paper studies a large number of homogeneous Markov decision processes where the transition probabilities and costs are coupled in the empirical distribution of states (also called mean-field). The state of each process is not known to…
While the general theory for the terminal-initial value problem for mean-field games (MFGs) has achieved a substantial progress, the corresponding forward-forward problem is still poorly understood - even in the one-dimensional setting.…
In general insurance, risks from different categories are often modeled independently and their sum is regarded as the total risk the insurer takes on in exchange for a premium. The dependence from multiple risks is generally neglected even…
This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several…
Linear mixed-effects models are widely used in analyzing clustered or repeated measures data. We propose a quasi-likelihood approach for estimation and inference of the unknown parameters in linear mixed-effects models with high-dimensional…
It is difficult to derive the solid-fluid transition theoretically from microscopic models, although this phenomenon itself has been investigated for a long time. We previously constructed an exactly-solvable model with the solid-fluid…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…