Forecasting survival probabilities and life expectancies is an important exercise for actuaries, demographers, and social planners. In this paper, we examine extensively a number of link functions on survival probabilities and model the evolution of period survival curves of lives aged 60 over...

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...