A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

Atsuyuki Kogure, Yoshiyuki Kurachi

研究成果: Article査読

41 被引用数 (Scopus)

抄録

We present a Bayesian approach to pricing longevity risk under the framework of the Lee-Carter methodology. Specifically, we propose a Bayesian method for pricing the survivor bond and the related survivor swap designed by Denuit et al. (2007). Our method is based on the risk neutralization of the predictive distribution of future survival rates using the entropy maximization principle discussed by Stutzer (1996). The method is illustrated by applying it to Japanese mortality rates.

本文言語English
ページ(範囲)162-172
ページ数11
ジャーナルInsurance: Mathematics and Economics
46
1
DOI
出版ステータスPublished - 2010 2月

ASJC Scopus subject areas

  • 統計学および確率
  • 経済学、計量経済学
  • 統計学、確率および不確実性

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