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

By A. Kogure, Yoshiyuki Kurachi. 2010

64 citations recorded by the source corpus.

Subfields: Demography, General Health Professions

View Paper: https://www.semanticscholar.org/paper/5bc82fc6a837ba915a841496b8ba1ffcf86124df

Citations in the corpus

• Mortality Regimes and Pricing (2011, unknown): “…processes to model mortality and/or longevity risk (e.g., Milevsky and Promislow 2001; Dahl 2004; Ballotta and Haberman 2006; Cairns et al. 2006; Cox et al. 2006; Dahl and Møller 2006; Gründl et al. 2006; Lin and Cox 2008; Kogure and Kurachi 2010; Wills and Sherris 2010; Yang et al. 2010).”
• The New Life Market (2013, unknown): “…other longevity-linked products (e.g., Blake et al., 2006a; Bauer, 2006; Bauer and Ruβ, 2006; Denuit et al., 2007; Barbarin, 2008; Bauer et al., 2010b; Chen and Cummins, 2010; Kogure and Kurachi, 2010; Dowd et al., 2011a; Lane, 2011; Li and Ng, 2011; Mayhew and Smith, 2011; and Zhou et al., 2011).”
• Pricing Mortality Securities with Correlated Mortality Indexes (2011, unknown): “In line with their Bayesian mortality models, Kogure and Kurachi (2010) present a Bayesian pricing approach, the entropy maximization principle, to risk neutralize the predictive distribution of future survival rates.”
• Multi-population mortality models: A factor copula approach (2015, unknown): “Maximum entropy principle (Li 2010, Kogure and Kurachi 2010, Li and Ng 2011).”