Agent Based Models: Dynamics, Stochastics and Rule Based Decisions - A Model Study

Agent Based Models: Dynamics, Stochastics and Rule Based Decisions - A Model Study

144 Views

Thanks! Share it with your friends!

URL

You disliked this video. Thanks for the feedback!

Sorry, only registred users can create playlists.
URL

Description:

One of the first in the actuariat literature published agent based models (ABM) is by Ingram et al. The paper describes a model of a competitive (insurance) market that shows cyclical behavior. The authors put their focus on the model’s theoretic foundation within the theory of plural rationality and on a brief tabulated code-like description of the model. We reformulate the above cited model in a form that makes il accessible for analytical as well as numerical treatment and discussion. We find three interacting components of the model: the dynamics, the stochastics and the rule based decisions. The agents, insurance companies, play a rule based strategic game, competing with each other. The actions of the agents depend on both, the statistics of the single agent and the statistics of the market as a whole. We analyse the dynamics of the model being responsible for a parameter dependent, periodic behavior and investigate its stochastic and rule-based components. We implemented the model as a Monte Carlo simulation. Therefore we are able to examine the interactions of the model's different components. Finally. we discuss the result of the model as well as possible applications.

Post your comment

Sign in or sign up to post comments.
Be the first to comment