Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12
three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …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 …