A Bayesian multivariate risk-neutral method for pricing reverse mortgages
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...
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Main Authors: | , , |
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Other Authors: | |
Format: | Article |
Language: | English |
Published: |
2014
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/104597 http://hdl.handle.net/10220/20239 |
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Institution: | Nanyang Technological University |
Language: | English |