2012 Fiscal Year Final Research Report
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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| 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 |
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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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