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.
Hornung,Disability insurance with collective health claims: A mean-field approach, 2025, In preparation
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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.