Disability insurance with collective health claims: A mean-field approach
将经典半马尔可夫残疾模型扩展，纳入个体和集体健康索赔，采用平均场方法解决多体问题，得到透明定价方法，模拟显示平均场近似优于朴素蒙特卡洛方法。
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 claims leads to a computationally challenging many-body problem. By adopting a mean-field approach, this many-body problem can be approximated by a non-linear one-body problem, which in turn leads to a transparent pricing method for disability coverages based on a lower-dimensional system of non-linear forward integro-differential equations. In a practice-oriented simulation study, the mean-field approximation clearly stands its ground in comparison to naïve Monte Carlo methods.