A Bayesian multivariate risk-neutral method for pricing reverse mortgages. (English) Zbl 1412.91047

Summary: 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.


91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
62H05 Characterization and structure theory for multivariate probability distributions; copulas
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