2009 Fiscal Year Final Research Report
Bayesian modeling of life risk and its applications to securitization
| Project/Area Number |
19530285
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Keio University |
|---|
Principal Investigator |
KOGURE Atsuyuki Keio University, 総合政策学部, 教授 (80178251)
|
|---|
| Project Period (FY) |
2007 – 2009
|
| Keywords | 生命リスク / ベイズ・モデリング / 証券化 / 長寿リスク / 長寿債 |
|---|
| Research Abstract |
Over the last half century mortality has declined continuously around the world. The decline has been particularly dramatic in older ages and has caused what is known as longevity risk. In recent years、interest has grown in securitization as a way of hedging the systematic risk. 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. Our method is based on the risk-neutralization of the predictive distribution of future survival rates using the entropy maximization principle. The method is illustrated by applying it to Japanese mortality rates.
|
