A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages

Atsuyuki Kogure, Jackie Li, Shinichi Kamiya

研究成果: Article査読

20 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)242-257
ページ数16
ジャーナルNorth American Actuarial Journal
18
1
DOI
出版ステータスPublished - 2014 1

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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