کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077522 1374134 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions
چکیده انگلیسی
We present a Bayesian approach to pricing longevity risk under the framework of the Lee-Carter methodology. Specifically, we propose a Bayesian method for pricing the survivor bond and the related survivor swap designed by Denuit et al. (2007). Our method is based on the risk neutralization of the predictive distribution of future survival rates using the entropy maximization principle discussed by Stutzer (1996). The method is illustrated by applying it to Japanese mortality rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 162-172
نویسندگان
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