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

作者：Kogure Atsuyuki^*; Kurachi Yoshiyuki

来源：Insurance: Mathematics and Economics , 2010, 46(1): 162-172.

DOI：10.1016/j.insmatheco.2009.10.005

• Bayesian approach
• Pricing longevity risk
• Maximum entropy principle
• Risk-neutral predictive distribution
• Japanese mortality rates

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 by Denuit et al. (2007). Our method is based on the risk neutralization of the predictive distribution of future survival rates using the entropy maximization principle discussed by Stutzer (1996). The method is illustrated by applying it to Japanese mortality rates.

• 出版日期2010-2