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...

The joint modelling of mortality rates for multiple populations has gained increasing popularity in areas such as government planning and insurance pricing. Sub-groups of a population often preserve similar mortality features with short-term deviations from the common trend. Recent studies...

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply the bivariate Lee-Carter model, the common factor...

Although a large number of mortality projection models have been proposed in the literature, relatively little attention has been paid to a formal assessment of the effect of model uncertainty. In this paper, we construct a Bayesian framework for embedding more than one mortality projection...

Over the past several decades, human life expectancy has been increasing rather consistently, driving concerns about longevity risk for pension plans and annuity providers. While extrapolative methods assume continued mortality declines, recent years have seen stagnation or even declines in life...

In this paper, we develop a number of new composite models for modelling individual claims in general insurance. All our models contain a Weibull distribution for the smallest claims, a lognormal distribution for the medium-sized claims, and a long-tailed distribution for the largest claims....