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In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results...
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beeinflußt sowohl den Erwartungswert als auch die Volatilität zukünftiger Einkommensströme. Aus diesem Grund führt das Zinsrisiko …
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