相关论文: Mean Field Analysis of Mutual Insurance Market

The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…

We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the…

This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performance under the…

We consider the general problem of resource sharing in societal networks, consisting of interconnected communication, transportation, energy and other networks important to the functioning of society. Participants in such network need to…

We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…

Mean field games (MFG) and mean field control (MFC) problems have been introduced to study large populations of strategic players. They correspond respectively to non-cooperative or cooperative scenarios, where the aim is to find the Nash…

This paper investigates a mean-field game (MFG) problem for mean-variance (MV) portfolio management, highlighting a new type of relative performance encoded by the peer-based risk aversion. Specifically, the risk aversion is formulated as a…

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…

This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…

This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…

The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of group experience rating. The inclusion of collective health…

This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark tracking. In the $n$-player model, each agent aims to…

We present a new combined \textit{mean field control game} (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equilibrium between groups. Players coordinate their strategies…

In a regular mean field game (MFG), the agents are assumed to be insignificant, they do not realize their effect on the population level and this may result in a phenomenon coined as the Tragedy of the Commons by the economists. However, in…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

Here, we examine a mean-field game (MFG) that models the economic growth of a population of non-cooperative rational agents. In this MFG, agents are described by two state variables - the capital and consumer goods they own. Each agent…

We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

The rapid growth of distributed energy resources (DERs), including rooftop solar and energy storage, is transforming the grid edge, where distributed technologies and customer-side systems increasingly interact with the broader power grid.…