A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions

DOI10.1016/j.insmatheco.2009.10.005zbMath1231.91438OpenAlexW1985805839MaRDI QIDQ659201

Atsuyuki Kogure, Yoshiyuki Kurachi

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.10.005

zbMATH Keywords

maximum entropy principleBayesian approachjapanese mortality ratespricing longevity riskrisk-neutral predictive distribution

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Application of Markov Chain Monte Carlo Methods to Projecting Cancer Incidence and Mortality

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