A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages

Atsuyuki Kogure, Jackie Li, Shinichi Kamiya

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

In this article, we propose a Bayesian multivariate framework to price reverse mortgages that involve several risks in both insurance and financial sectors (e.g., mortality rates, interest rates, and house prices). Our method is a multivariate extension of the Bayesian risk-neutral method developed by Kogure and Kurachi. We apply the proposed method to Japanese data to examine the possibility for a successful introduction of reverse mortgages into Japan. The results suggest a promising future for this new market.

Original languageEnglish
Pages (from-to)242-257
Number of pages16
JournalNorth American Actuarial Journal
Volume18
Issue number1
DOIs
Publication statusPublished - 2014 Jan

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ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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