A multivariate Bayesian pricing: building a theoretical framework and applying it to longevity risk valuation
| Project/Area Number |
22530317
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Keio University |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | ファイナンス / 保険 / ベイジアン / 長寿リスク / プライシング / リバース・モーゲージ / ベイズ法 / リバースモーゲージ / エントロピー / Lee-Carter モデル / 動的因子モデル / ベイジアン・プライシング / 多変量リスク |
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| Research Abstract |
In the recent development of mortality decline around the world, longevity risk has come to the surface. There has been renewed interest in reverse mortgage products as an instrument to hedge longevity risk. In this research we propose a Bayesian multivar
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Report
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Research Products
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