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https://ah.lib.nccu.edu.tw/handle/140.119/64477
題名: | On the valuation of reverse mortgages with regular tenure payments | 作者: | Lee, Yung-Tsung ; Wang, Chou-Wen ; Huang, Hong-Chih 黃泓智 |
貢獻者: | 風管系 | 關鍵詞: | Reverse mortgages; Annuity payments; Option pricing; Dimension reduction | 日期: | 2012 | 上傳時間: | 6-Mar-2014 | 摘要: | For the valuation of reverse mortgages with tenure payments, this article proposes a specific analytic valuation framework with mortality risk, interest rate risk, and housing price risk that helps determine fair premiums when the present value of premiums equals the present value of contingent losses. The analytic valuation of reverse mortgages with tenure payments is more complex than the valuation with a lump sum payment. This study therefore proposes a dimension reduction technique to achieve a closed-form solution for reverse annuity mortgage insurance, conditional on the evolution of interest rates. The technique provides strong accuracy, offering important implications for lenders and insurers. | 關聯: | Insurance: Mathematics and Economics , 51(2), 430-441 | 資料類型: | article | DOI: | http://dx.doi.org/http://dx.doi.org/10.1016/j.insmatheco.2012.06.008 |
Appears in Collections: | 期刊論文 |
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