Mean-field approximations in insurance

The calculation of the insurance liabilities of a cohort of dependent individuals in general requires the solution of a high-dimensional system of coupled linear forward integro-differential equations, which is infeasible for a larger cohort. However, by using a mean-field model, the high dimensional system of linear forward equations can be replaced by a low-dimensional system of non-linear forward integro-differential equations. We show that, subject to certain regularity conditions, the insurance liability viewed as a (conditional) expectation of a functional of an underlying jump process converges to its mean-field counterpart, as the number of individuals in the cohort goes to infinity. Examples from both life- and non-life insurance illuminate the practical importance of mean-field approximations.

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Publication Details

Journal
Scandinavian Actuarial Journal
Published
2026-07-28
DOI
https://doi.org/10.1080/03461238.2026.2693555
Primary Topic
Probability and Risk Models
Type
article
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article

Mean-field approximations in insurance

Philipp Hornung
Scandinavian Actuarial Journal
Probability and Risk Models
article

Mean-field approximations in insurance

Philipp Hornung
article en

Abstract

The calculation of the insurance liabilities of a cohort of dependent individuals in general requires the solution of a high-dimensional system of coupled linear forward integro-differential equations, which is infeasible for a larger cohort. However, by using a mean-field model, the high dimensional system of linear forward equations can be replaced by a low-dimensional system of non-linear forward integro-differential equations. We show that, subject to certain regularity conditions, the insurance liability viewed as a (conditional) expectation of a functional of an underlying jump process converges to its mean-field counterpart, as the number of individuals in the cohort goes to infinity. Examples from both life- and non-life insurance illuminate the practical importance of mean-field approximations.

Scandinavian Actuarial Journal
University of Copenhagen (DK)
Openalex Percentile: Top 99%
Probability and Risk Models
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