Collection: ArticlesTitle: A Bayesian multivariate risk-neutral method for pricing reverse mortgages / Atsuyuki Kogure, Jackie Li, Shinichi KamiyaAuthor: Kogure, AtsuyukiNotes: Sumario: 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.Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/02/2014 Tomo 18 Número 1 - 2014 Other categories: 7Rights: In Copyright (InC)Referencias externas:
