Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257849 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 1 [Article No.:] 11 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
reverse mortgage
house price risk
interest rate risk
longevity risk
risk-neutralisation
principle of maximum entropy
Bayesian modelling
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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