Bayesian modeling of life risk and its applications to securitization

在过去的半个世纪里，世界各地的死亡率持续下降。这种下降在老年人中尤为明显，并导致了所谓的长寿风险。近年来，作为对冲系统性风险的一种方式，、对证券化的兴趣与日俱增。在Lee-Carter方法的框架下，我们提出了长寿风险的贝叶斯定价方法。具体到、，我们提出了一种贝叶斯方法来定价幸存者债券和设计的相关幸存者互换。我们的方法是基于使用熵最大化原理的未来存活率的预测分布的风险中和。通过将其应用于日本的死亡率，说明了该方法。

Over the last half century mortality has declined continuously around the world. The decline has been particularly dramatic in older ages and has caused what is known as longevity risk. In recent years、interest has grown in securitization as a way of hedging the systematic risk. 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. Our method is based on the risk-neutralization of the predictive distribution of future survival rates using the entropy maximization principle. The method is illustrated by applying it to Japanese mortality rates.