Speaker: Kenneth Ng
Title: Linear Quadratic Mean Field Games: Two-Party Governance and Mutual Insurance
Abstract: Mean field games (MFGs) provide a macroscopic and mathematical tractable framework in studying optimal decision problems involving a large number of agents. In this talk, two modelling applications of linear-quadratic MFGs will be presented. In the first part, we consider a Stackelberg game between two leaders and a large group of followers. The two leaders can either cooperate or compete, which are respectively formulated as a Pareto and a Nash game. The relative merits of the two regimes for the followers will be discussed. In the second part, we consider the problem of optimal insurance strategies of policyholders in a mutual insurance company, which is formulated as an extended MFG. We will briefly look at the well-posedness of the resulting forward-backward stochastic differential equation. The effect of risk-loadings and volatilities of claim processes on the mean field equilibrium strategy will also be discussed.
