Bayesian Pricing in consideration of Model Uncertainty and its applications to Longevity Risk
| Project/Area Number |
16K03751
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Tokyo Keizai University (2018-2019)
Keio University (2016-2017) |
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Principal Investigator |
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| 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)
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| 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 |
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| 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.
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| 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．
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Report
(5 results)
Research Products
(12 results)
