A Bayesian multivariate risk-neutral method for pricing reverse mortgages

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      <subfield code="a">A Bayesian multivariate risk-neutral method for pricing reverse mortgages</subfield>
      <subfield code="c">Atsuyuki Kogure, Jackie Li, Shinichi Kamiya</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
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      <subfield code="g">03/02/2014 Tomo 18 Número 1 - 2014 </subfield>
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