Insurance liabilities for large dependent cohorts converge to a mean-field limit governed by low-dimensional nonlinear integro-differential equations as cohort size tends to infinity.
MEAN-FIELD APPROXIMATIONS IN INSURANCE 37 AppendixA.Proof of Theorems 2.2 and 2.7 Before starting with the proofs, we will introduce some notation
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Mean-field approximations in insurance
Insurance liabilities for large dependent cohorts converge to a mean-field limit governed by low-dimensional nonlinear integro-differential equations as cohort size tends to infinity.