A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages |
| |
Authors: | Atsuyuki Kogure Jackie Li Shinichi Kamiya |
| |
Affiliation: | 1. Faculty of Policy Management , Keio University , Fujisawa , Japan;2. Nanyang Business School , Nanyang Technological University , Singapore |
| |
Abstract: | 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. |
| |
Keywords: | |
|
|