Related papers: Mean-field approximations in insurance
Diffusion is a key element of a large set of phenomena occurring on natural and social systems modeled in terms of complex weighted networks. Here, we introduce a general formalism that allows to easily write down mean-field equations for…
Latent variable models represent a useful tool for the analysis of complex data when the constructs of interest are not observable. A problem related to these models is that the integrals involved in the likelihood function cannot be solved…
Discrimination in machine learning often arises along multiple dimensions (a.k.a. protected attributes); it is then desirable to ensure \emph{intersectional fairness} -- i.e., that no subgroup is discriminated against. It is known that…
Many applications involving multi-agent systems require fulfilling safety constraints. Control barrier functions offer a systematic framework to enforce forward invariance of safety sets. Recent work extended this paradigm to mean-field…
We simulate the collective dynamics in spin lattices with long range interactions and collective decay in one, two and three dimensions. Starting from a dynamical mean-field approach derived by local factorization of the density operator we…
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium…
Continuous-time Bayesian networks is a natural structured representation language for multicomponent stochastic processes that evolve continuously over time. Despite the compact representation, inference in such models is intractable even…
Advanced collision avoidance and driver hand-off systems can benefit from the ability to accurately predict, in real time, the probability a vehicle will be involved in a collision within an intermediate horizon of 10 to 20 seconds. The…
We rigorously show the mean-field limit for a large class of swarming individual based models with local sharp sensitivity regions. For instance, these models include nonlocal repulsive-attractive forces locally averaged over sharp vision…
We present the combination of a complex-time tensor-network impurity solver with an analytic continuation scheme based on exponential fitting as an efficient framework for single and multi-orbital dynamical mean-field calculations. By…
A novel method is presented for implementation of the extended mean-field theory incorporating two-body collisions. At a given time, stochastic imaginary time propagation of occupied states are used to generate a convenient basis. The…
Maintaining the predictive performance of pricing models is challenging when insurance portfolios and data-generating mechanisms evolve over time. Focusing on non-life insurance, we adopt the concept-drift terminology from machine learning…
The problem of root mean square approximation of a square integrable function by finite linear combinations of exponential functions is considered. It is subdivided into linear and nonlinear parts. The linear approximation problem is…
This paper studies a class of linear quadratic mean field games where the coefficients of quadratic cost functions depend on both the mean and the variance of the population's state distribution through its quantile function. Such a…
We derive an improved mean-field approximation for k-body annihilation reactions kA --> inert, for hard-core diffusing particles on a line, annihilating in groups of k neighbors with probability 0 < q <= 1. The hopping and annihilation…
A mean-field method for the hypercubic nearest-neighbor Ising system is introduced and applications to the method are demonstrated. The main idea of this work is to combine the Kadanoff's mean-field approach with the model presented by one…
Dynamical mean-field approximations are performed to study the phase transition of a pair contact process with diffusion in different spatial dimensions. The level of approximation is extended up to 18-site clusters for the one-dimensional…
This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors. The model used to build the copula assumes that the insurance losses of…
The process of protein synthesis in biological systems resembles a one dimensional driven lattice gas in which the particles (ribosomes) have spatial extent, covering more than one lattice site. Realistic, nonuniform gene sequences lead to…
Mean field games is a recent area of study introduced by Lions and Lasry in a series of seminal papers in 2006. Mean field games model situations of competition between large number of rational agents that play non-cooperative dynamic games…