Kogure, Atsuyuki; Kurachi, Yoshiyuki - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 162-172
We present a Bayesian approach to pricing longevity risk under the framework of the Lee-Carter methodology. Specifically, we propose a Bayesian method for pricing the survivor bond and the related survivor swap designed by Denuit et al. (2007). Our method is based on the risk neutralization...