Das Institut für Mathematische Wirtschaftsforschung veranstaltet im Rahmen des Bielefeld Stochastic Afternoon regelmäßig Seminare zum Thema Finanzmathematik. Das Programm des aktuellen Semesters finden Sie hier.
Erste Vortragende: Giovanna Apicella (University of Udine)
Titel: Longevity risk modeling: bridging actuarial and behavioral perspectives
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The paper investigates why individuals' subjective survival expectations systematically differ from objective actuarial survival probabilities. In particular, consistent empirical evidence shows that individuals aged approximately 50–70 years tend to underestimate their survival prospects, while older individuals tend to overestimate them.
To explain this pattern, we develop a theoretical model in which survival beliefs’ updating is affected by psychological sentiment rather than solely by objective health information. Individuals alternate between optimistic and pessimistic states, which affect how they interpret and react to observed health shocks and update their survival beliefs. The model shows that persistent optimism, or a greater tendency to shift from pessimism to optimism, can generate the observed age-dependent pattern of subjective survival beliefs.
Using longitudinal data from the Survey of Health, Ageing and Retirement in Europe (SHARE), we empirically analyse the predictions of the model and find a consistent sentiment-driven update of probabilities.
The findings highlight the relevance of behavioral biases in longevity risk assessment, with implications for retirement planning, savings decisions, and insurance demand.
Zweiter Vortragender: Salvatore Federico (University of Bologna)
Titel: Mean Field Games in Hilbert Spaces
Abstract:
We study Mean Field Games (MFG) systems in real separable infinite-dimensional Hilbert spaces, addressing both general nonlinear formulations and the specific linear-quadratic (LQ) case. In the general setting, the MFG system consists of a second-order parabolic Hamilton-JacobiBellman(HJB)equation coupled with a nonlinear Fokker-Planck (FP) equation, both involving Kolmogorov operators. Solutions are interpreted respectively in the mild and weak senses, and we establish well-posedness via Tikhonov’s fixed point theorem, with uniqueness ensured under separability and Lasry-Lions-type monotonicity conditions. In the LQ framework, we focus on the case where the mean field interaction enters only through the objective functional via the mean of the distribution. This structure allows the reduction of the MFG system to a Riccati equation and a forward-backward system of abstract evolution equations—an approach that is novel in infinite dimensions. Existence and uniqueness are obtained through a refined approximation method, and the theory is applied to a production output planning problem with delayed control.
Dritte Vortragende: Maria-Laura Torrente (Università degli Studi di Genova)
Titel: An Algebraic Perspective on Game-Theoretic Equilibria
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Polynomial formulations provide a common framework for studying the existence, computation, and structure of game-theoretic equilibria.
Starting from Nash equilibria, we discuss algebraic approaches to Berge equilibria and ongoing work on A-equilibria, including some existence results.
Stability issues under payoff perturbations are also discussed as a direction for further investigation.
Erster Vortragender: Marco Fritelli (Università degli Studi di Milano)
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Zweiter Vortragender: Marco Maggis (Università degli Studi di Milano)
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Erster Vortragender: Paolo Guasoni (Dublin City University)
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Zweiter Vortragender: Alpar Meszaros (Durham University)
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