A Bayesian multivariate risk-neutral method for pricing reverse mortgages

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: Kogure, Atsuyuki, Li, Jackie, Kamiya, Shinichi
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2014
Subjects:
DRNTU::Business::Finance::Actuarial science
Online Access:https://hdl.handle.net/10356/104597
http://hdl.handle.net/10220/20239
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Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-104597
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spelling sg-ntu-dr.10356-1045972023-05-19T06:44:41Z A Bayesian multivariate risk-neutral method for pricing reverse mortgages Kogure, Atsuyuki Li, Jackie Kamiya, Shinichi Nanyang Business School DRNTU::Business::Finance::Actuarial science 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. Accepted version 2014-07-22T01:14:37Z 2019-12-06T21:35:58Z 2014-07-22T01:14:37Z 2019-12-06T21:35:58Z 2014 2014 Journal Article Kogure, A., Li, J., & Kamiya, S. (2014). A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages. North American Actuarial Journal, 18(1), 242-257. 1092-0277 https://hdl.handle.net/10356/104597 http://hdl.handle.net/10220/20239 10.1080/10920277.2013.872983 en North American Actuarial Journal © 2014 Society of Actuaries. This is the author created version of a work that has been peer reviewed and accepted for publication by North American Actuarial Journal, Society of Actuaries. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1080/10920277.2013.872983]. 16 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Actuarial science
spellingShingle DRNTU::Business::Finance::Actuarial science
Kogure, Atsuyuki
Li, Jackie
Kamiya, Shinichi
A Bayesian multivariate risk-neutral method for pricing reverse mortgages
description 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.
author2 Nanyang Business School
author_facet Nanyang Business School
Kogure, Atsuyuki
Li, Jackie
Kamiya, Shinichi
format Article
author Kogure, Atsuyuki
Li, Jackie
Kamiya, Shinichi
author_sort Kogure, Atsuyuki
title A Bayesian multivariate risk-neutral method for pricing reverse mortgages
title_short A Bayesian multivariate risk-neutral method for pricing reverse mortgages
title_full A Bayesian multivariate risk-neutral method for pricing reverse mortgages
title_fullStr A Bayesian multivariate risk-neutral method for pricing reverse mortgages
title_full_unstemmed A Bayesian multivariate risk-neutral method for pricing reverse mortgages
title_sort bayesian multivariate risk-neutral method for pricing reverse mortgages
publishDate 2014
url https://hdl.handle.net/10356/104597
http://hdl.handle.net/10220/20239
_version_ 1770564863140036608

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