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 |
| 巻 | 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
フィンガープリント A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。
これを引用
Kogure, A., & Kurachi, Y. (2010). A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions. Insurance: Mathematics and Economics, 46(1), 162-172. https://doi.org/10.1016/j.insmatheco.2009.10.005