A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
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Publication:5742672
DOI10.1080/10920277.2013.872983zbMath1412.91047OpenAlexW1982170339WikidataQ58295301 ScholiaQ58295301MaRDI QIDQ5742672
Atsuyuki Kogure, Jackie Li, Shinichi Kamiya
Publication date: 15 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10220/20239
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Cites Work
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- Modeling and Forecasting U.S. Mortality
- A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
- On the valuation of reverse mortgages with regular tenure payments
- Securitization of Longevity Risk in Reverse Mortgages
- A Bayesian Approach to Understanding Time Series Data
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