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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
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2014
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| Online Access: | https://hdl.handle.net/10356/104597 http://hdl.handle.net/10220/20239 |
| _version_ | 1811684466520752128 |
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| author | Kogure, Atsuyuki Li, Jackie Kamiya, Shinichi |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Kogure, Atsuyuki Li, Jackie Kamiya, Shinichi |
| author_sort | Kogure, Atsuyuki |
| collection | NTU |
| 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. |
| first_indexed | 2024-10-01T04:29:05Z |
| format | Journal Article |
| id | ntu-10356/104597 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:29:05Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-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 |
| spellingShingle | DRNTU::Business::Finance::Actuarial science Kogure, Atsuyuki Li, Jackie Kamiya, Shinichi A Bayesian multivariate risk-neutral method for pricing reverse mortgages |
| title | 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_short | A Bayesian multivariate risk-neutral method for pricing reverse mortgages |
| title_sort | bayesian multivariate risk neutral method for pricing reverse mortgages |
| topic | DRNTU::Business::Finance::Actuarial science |
| url | https://hdl.handle.net/10356/104597 http://hdl.handle.net/10220/20239 |
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