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Bayesian Pricing in consideration of Model Uncertainty and its applications to Longevity Risk

Research Project

Project/Area Number 16K03751
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionTokyo Keizai University (2018-2019)
Keio University (2016-2017)

Principal Investigator

Atsuyuki Kogure  東京経済大学, 経営学部, 教授 (80178251)

Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2018: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywords長寿リスク / 確率的死亡率モデル / ベイズ / アクチュアリアル・サイエンス / 将来生命表 / ベイズ予測モデリング / 死亡率予測モデル / ベイズ・アプローチ / モデル統合 / ベイズアプローチ / モデル不確実性 / ベイジアン・プライシング / リバースモーゲージ
Outline of Final Research Achievements

In this research project, I have done both theoretical and applied research on mortality modeling. In particular, I have completed a Bayesian mortality forecasting method for long-term care subpopulations, developed from a previous work of mine. In this method, I have combined several Lee-Carter models for the mortality forecast for long-term care subpopulations from limited death data, in consideration of longevity risk. Also, I have implemented the multivariate Bayesian pricing method to evaluate a reverse mortgage with three kinds of risk, mortality, interest, and house price. I have presented these works in both domestic and international conferences and research papers.

Academic Significance and Societal Importance of the Research Achievements

本研究は,我が国において進行する長寿リスクの課題に対してアクチュアリアル・サイエンス(保険数理)の立場から理論的に分析を行ったものである.その研究成果は,海外の専門誌や研究集会で発表されており,学術的意義は高い.また,これらの理論的な研究成果は,リバースモーゲージの評価や介護リスクへの応用につながるものであり,その社会的意義も大きい.

Report

(5 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (12 results)

All 2019 2018 2017 2016

All Journal Article (4 results) (of which Int'l Joint Research: 3 results,  Peer Reviewed: 3 results,  Open Access: 1 results,  Acknowledgement Compliant: 1 results) Presentation (8 results) (of which Int'l Joint Research: 2 results,  Invited: 3 results)

  • [Journal Article] Mortality Forecasts for Long-Term Care Subpopulations with Longevity Risk: A Bayesian Approach2019

    • Author(s)
      Atsuyuki Kogure, Takahiro Fushimi & Shinichi Kamiya
    • Journal Title

      North American Actuarial Journal (Publishe online : 22 Nov 2019)

      Volume: -

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Multivariate Risk-Neutral Pricing of Reverse Mortgages under Bayesian Framework2018

    • Author(s)
      Li, J., Kogure, A. and Liu, J
    • Journal Title

      Risks

      Volume: 7 Issue: 1 Pages: 1-12

    • DOI

      10.3390/risks7010011

    • Related Report
      2018 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] A Bayesian Pricing of Longevity Derivatives with Interest Rate Risks2018

    • Author(s)
      Atsuyuki Kogure and Takahiro Fushimi
    • Journal Title

      Asia-Pacific Journal of Risk and Insurance

      Volume: 12 Issue: 1

    • DOI

      10.1515/apjri-2017-0017

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] 高次元データにおけるコピュラ2017

    • Author(s)
      小林凌駕・深沢風土・小暮厚之
    • Journal Title

      Proceedings「第18回ノンパラメトリック統計解析とベイス推定」

      Volume: ー Pages: 13-36

    • Related Report
      2016 Research-status Report
    • Acknowledgement Compliant
  • [Presentation] 長寿リスクとベイズ予測モデリング2019

    • Author(s)
      小暮厚之
    • Organizer
      第24回日本統計学会
    • Related Report
      2019 Annual Research Report
    • Invited
  • [Presentation] Bayesian Mortality Forecasts for Long-Term Care Subpopulations from Limited Data2019

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      International Actuarial Association Mortality Working Group Meeting 2019
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Covariate Shift Adaptation for Predicting Health Care Costs2018

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      IRFRC and APRIA 2018 Joint Conference
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] 共変量シフト下における医療費の予測モデリング2018

    • Author(s)
      小暮厚之
    • Organizer
      2018年度 日本保険・年金リスク学会 研究発表大会
    • Related Report
      2018 Research-status Report
  • [Presentation] アクチュアリアル・サイエンスとベイズ統計2017

    • Author(s)
      小暮厚之
    • Organizer
      統計関連学会連合大会
    • Related Report
      2017 Research-status Report
  • [Presentation] 医療介護とデータサイエンスの新たな視点2017

    • Author(s)
      山内 恒人,藤澤 陽介,小林 凌雅,小暮厚之
    • Organizer
      日本アクチュアリー会年次大会
    • Related Report
      2017 Research-status Report
  • [Presentation] 高次元データにおけるコピュラ2017

    • Author(s)
      小林凌雅・深沢風土・小暮厚之
    • Organizer
      第18回ノンパラメトリック統計解析とベイズ統計
    • Place of Presentation
      慶應義塾大学(東京)
    • Related Report
      2016 Research-status Report
  • [Presentation] 長寿リスクのモデリングと評価 ―ベイジアン・プライシング―2016

    • Author(s)
      小暮厚之
    • Organizer
      大阪大学 中之島ワークショップ
    • Place of Presentation
      大阪大学(大阪)
    • Related Report
      2016 Research-status Report
    • Invited

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Published: 2016-04-21   Modified: 2021-02-19  

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