Regensburg 2022 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 4: Financial Risk

SOE 4.2: Talk

Monday, September 5, 2022, 12:15–12:30, H11

An ABM Marketmodel Study: Dynamics, Stochastics and Rule based Decisions — •Magda Schiegl — University of Applied Sciences Landshut, Am Lurzenhof 1, D-84036 Landshut

Riskmanagement is a main topic in insurance business with a variety of traditional methods. In recent years more and more methods of the field of complex systems as complex networks or ABMs play an important role. One of the first in the insurance mathematical literature published ABMs is by Ingram et al. [1]. The paper describes a model of a competitive (insurance and not only insurance) market that shows cyclical behavior.
We reformulate the above cited model in a form that makes it 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 analyze 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 and examine the interactions of the model’s different components.
.[1] Ingram, D., Tayler, P., Thompson, M. (2012) Invited Discussion Paper: Surprise, Surprise From Neoclassical Economics To E-Life. ASTIN Bulletin 42(2): 389-411