arXiv subjects

Jonas Ingmanns

Publications and source records attributed to Jonas Ingmanns.

5 recordsLinked to original sources

arXiv2026

On the market-consistent valuation of health insurance liabilities

We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are well-established in the European national markets, and the dynamics of the adjustment mechanism is well-understood from an actuarial perspective. However, the question of market-consistent valuation (as is necessary for Solvency II reporting) has not previously been addressed. This gap has led to a situation where some practitioners use stochastic models while others rely on deterministic methods to assign market-consistent values (Best Estimates) to the same type of health insurance liabilities. The purpose of this note is to fill this gap by showing that the Best Estimate of a lifelong health insurance policy depends on the choice of model for the interest and inflation rates. That is, the Best Estimate is not uniquely determined by the currently prevailing term structures of nominal and real spot rates, whence a deterministic calculation is theoretically unjustified. Furthermore, we construct a valuation portfolio such that the Best Estimate valuation decouples into calculations of 1.) deterministic coefficients derived from policy data and 2.) the prices of basis financial instruments that are independent of the individual policy data. Using this decomposition, the policies do not have to be tracked individually along each generated stochastic path. This allows for a more efficient evaluation of the Best Estimate for a large stock of policies with a stochastic model.

q-fin.MF↗

arXiv2026

Quantitative homogenization of forced geometric motions through random fields of obstacles

We establish a quantitative homogenization result for an interface moving through a field of sufficiently sparse but possibly impenetrable random obstacles. From a physical viewpoint, such problems arise e.g. in the context of the motion of dislocations or magnetic domain walls in a material with impurities. More precisely, given an interface moving by forced mean curvature flow -- with a positive global driving force plus a spatially fluctuating (negative) driving force modeling the obstacles -- , we prove that the effective large-scale behavior of the forward front is governed by a constant-speed effective motion. For typical values of the global forcing, on large scales of the order $\varepsilon^{-1}$ we obtain a (relative) error estimate for arrival times of the front of the order $\varepsilon^{1/9-}$. Previous stochastic homogenization results for forced mean curvature motion in the literature have required a positive pointwise lower bound on the combined forcing, which implies the absence of any actual obstacles capable of locally blocking the interface motion. In contrast, our results are valid even in the presence of islands with locally negative forcing, potentially allowing for locally pinned interfaces and eventually enclosures left behind the main front. Thus, our homogenization result applies to settings closer to (but still strictly away from) the pinning-depinning transition.

math.AP↗

arXiv2023

Density fluctuations in weakly interacting particle systems via the Dean-Kawasaki equation

The Dean-Kawasaki equation - one of the most fundamental SPDEs of fluctuating hydrodynamics - has been proposed as a model for density fluctuations in weakly interacting particle systems. In its original form it is highly singular and fails to be renormalizable even by approaches such as regularity structures and paracontrolled distributions, hindering mathematical approaches to its rigorous justification. It has been understood recently that it is natural to introduce a suitable regularization, e.g., by applying a formal spatial discretization or by truncating high-frequency noise. In the present work, we prove that a regularization in form of a formal discretization of the Dean-Kawasaki equation indeed accurately describes density fluctuations in systems of weakly interacting diffusing particles: We show that in suitable weak metrics, the law of fluctuations as predicted by the discretized Dean-Kawasaki SPDE approximates the law of fluctuations of the original particle system, up to an error that is of arbitrarily high order in the inverse particle number and a discretization error. In particular, the Dean-Kawasaki equation provides a means for efficient and accurate simulations of density fluctuations in weakly interacting particle systems.

math.AP↗

arXiv2023

Stochastic homogenization of micromagnetic energies and emergence of magnetic skyrmions

We perform a stochastic-homogenization analysis for composite materials exhibiting a random microstructure. Under the assumptions of stationarity and ergodicity, we characterize the Gamma-limit of a micromagnetic energy functional defined on magnetizations taking value in the unit sphere, and including both symmetric and antisymmetric exchange contributions. This Gamma-limit corresponds to a micromagnetic energy functional with homogeneous coefficients. We provide explicit formulas for the effective magnetic properties of the composite material in terms of homogenization correctors. Additionally, the variational analysis of the two exchange energy terms is performed in the more general setting of functionals defined on manifold-valued maps with Sobolev regularity, in the case in which the target manifold is a bounded, orientable smooth surface with tubular neighborhood of uniform thickness. Eventually, we present an explicit characterization of minimizers of the effective exchange in the case of magnetic multilayers, providing quantitative evidence of Dzyaloshinskii's predictions on the emergence of helical structures in composite ferromagnetic materials with stochastic microstructure.

math.AP↗

arXiv2020

Estimates for commutators of fractional differential operators via harmonic extension

This master thesis is based on the paper "Sharp commutator estimates via harmonic extensions" by Lenzmann and Schikorra, in which they proposed a method to prove estimates for commutators involving Riesz transforms, fractional Laplacians and Riesz potentials, see arXiv:1609.08547. These proofs only involve harmonic extensions to the upper half-space and integration by parts next to some elementary transfromations, since the deeper theory is concentrated in a variety of trace characterization results which can be used as a blackbox. In the first half of this thesis, after collecting some elementary results for the s-harmonic extension by Caffarelli and Silvestre, we use this method to prove a variety of commutator estimates, closely following Lenzmann and Schikorra except for shortening some proofs. In the second half, we prove generalized versions of the blackbox estimates listed by Lenzmann and Schikorra and discuss the different building blocks which make up these blackbox estimates, including Triebel-Lizorkin and Besov-Lipschitz space characterizations as well as square function estimates.

math.AP↗