%0 Journal Article
%T Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7010011
%X 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 based on Australian data suggest that a reverse mortgage would be financially sustainable under the current financial environment and the model settings and assumptions. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/1/11