TY - JOUR
T1 - A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
AU - Kogure, Atsuyuki
AU - Li, Jackie
AU - Kamiya, Shinichi
N1 - Funding Information:
We greatly acknowledge financial support from SCOR on the Asia-Pacific longevity project, from which this article is extracted. The longevity project has been implemented under the Insurance Risk and Finance Research Centre at Nanyang Business School.
PY - 2014/1
Y1 - 2014/1
N2 - 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.
AB - 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.
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U2 - 10.1080/10920277.2013.872983
DO - 10.1080/10920277.2013.872983
M3 - Article
AN - SCOPUS:84896318597
SN - 1092-0277
VL - 18
SP - 242
EP - 257
JO - North American Actuarial Journal
JF - North American Actuarial Journal
IS - 1
ER -