A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

DOI10.1016/J.INSMATHECO.2009.10.005zbMATH Open1231.91438OpenAlexW1985805839MaRDI QIDQ659201FDOQ659201

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.005

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maximum entropy principle Bayesian approach japanese mortality rates pricing longevity risk risk-neutral predictive distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

Modeling and Forecasting U.S. Mortality
Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
A Bayesian forecasting model: predicting U.S. male mortality
A Poisson log-bilinear regression approach to the construction of projected lifetables.
Bayesian Poisson log-bilinear mortality projections
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Mortality derivatives and the option to annuitise.
Title not available (Why is that?)
Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts
Application of Markov Chain Monte Carlo Methods to Projecting Cancer Incidence and Mortality

Cited In (30)

Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools
Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach
Longevity hedge effectiveness: a decomposition
Bayesian Poisson log-bilinear models for mortality projections with multiple populations
Longevity Risk and Capital Markets: The 2017–2018 Update
Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
Mortality Regimes and Pricing
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
Title not available (Why is that?)
Bayesian value-at-risk backtesting: the case of annuity pricing
Statistical emulators for pricing and hedging longevity risk products
Longevity risk and capital markets: the 2019--20 update
Hierarchical Bayesian modeling of multi-country mortality rates
Longevity Risk and Capital Markets: The 2012–2013 Update
A multivariate evolutionary credibility model for mortality improvement rates
EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH
A comparative study of pricing approaches for longevity instruments
MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS
Market pricing of longevity-linked securities
Editorial: Longevity risk and capital markets: the 2013--14 update
Multi-population mortality models: a factor copula approach
The choice of sample size for mortality forecasting: a Bayesian learning approach
Multi-population mortality modelling: a Bayesian hierarchical approach
A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
Exchangeable mortality projection
Do actuaries believe in longevity deceleration?
Longevity risk and capital markets: the 2015--16 update
Modeling and pricing longevity derivatives using Skellam distribution
Small population bias and sampling effects in stochastic mortality modelling

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