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

Insurance: Mathematics and Economics

Volumn 46, Issue 1, 2010, Pages 162-172

  Kogure, Atsuyuki ^a   Kurachi, Yoshiyuki ^b  

^a KEIO UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

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

Indexed keywords

EID: 74249094228     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2009.10.005     Document Type: Article

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