Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077522 | Insurance: Mathematics and Economics | 2010 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Atsuyuki Kogure, Yoshiyuki Kurachi,