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

Atsuyuki Kogure, Yoshiyuki Kurachi

研究成果: Article

33 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)162-172
ページ数11
ジャーナルInsurance: Mathematics and Economics
46
発行部数1
DOI
出版物ステータスPublished - 2010 2 1

ASJC Scopus subject areas

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

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