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題名 Fair valuation of mortgage insurance under stochastic default and interest rates
作者 林士貴
Wu, Yang-Che
Huang, Yi-Ting
Lin, Shih-Kuei
Chuang, Ming-Che
貢獻者 金融系
關鍵詞 Loan-to-value ; Mortgage insurance ; Stochastic default rate
日期 2017-11
上傳時間 18-Sep-2017 15:40:45 (UTC+8)
摘要 Unlike most studies in the literature, in this study, we incorporate three main factors into the pricing method of mortgage insurance: interest rate, housing price, and hazard rate (default risks). The empirical analysis highlighted that the interest rate and housing price are positively correlated during July 2004 to November 2016 because of the monetary policy over this period. Subsequently, in the risk-neutral pricing framework, mortgage insurance of the fixed-rate mortgage is priced using a Monte Carlo simulation approach. The sensitivity analysis indicated that interest rate, housing price, and default rate are important factors for mortgage insurance. Moreover, because our model can measure the risks of the interest rate and hazard rate, insurance companies can use this model to price mortgage insurance to avoid a condition in which the insurance company does not have sufficient reserves to support compensation.
關聯 The North American Journal of Economics and Finance, Volume 42, Pages 433-447
資料類型 article
DOI https://doi.org/10.1016/j.najef.2017.08.003
dc.contributor 金融系zh_TW
dc.creator (作者) 林士貴zh_TW
dc.creator (作者) Wu, Yang-Cheen_US
dc.creator (作者) Huang, Yi-Tingen_US
dc.creator (作者) Lin, Shih-Kueien_US
dc.creator (作者) Chuang, Ming-Cheen_US
dc.date (日期) 2017-11
dc.date.accessioned 18-Sep-2017 15:40:45 (UTC+8)-
dc.date.available 18-Sep-2017 15:40:45 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2017 15:40:45 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/113070-
dc.description.abstract (摘要) Unlike most studies in the literature, in this study, we incorporate three main factors into the pricing method of mortgage insurance: interest rate, housing price, and hazard rate (default risks). The empirical analysis highlighted that the interest rate and housing price are positively correlated during July 2004 to November 2016 because of the monetary policy over this period. Subsequently, in the risk-neutral pricing framework, mortgage insurance of the fixed-rate mortgage is priced using a Monte Carlo simulation approach. The sensitivity analysis indicated that interest rate, housing price, and default rate are important factors for mortgage insurance. Moreover, because our model can measure the risks of the interest rate and hazard rate, insurance companies can use this model to price mortgage insurance to avoid a condition in which the insurance company does not have sufficient reserves to support compensation.en_US
dc.format.extent 935282 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) The North American Journal of Economics and Finance, Volume 42, Pages 433-447en_US
dc.subject (關鍵詞) Loan-to-value ; Mortgage insurance ; Stochastic default rateen_US
dc.title (題名) Fair valuation of mortgage insurance under stochastic default and interest ratesen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.najef.2017.08.003
dc.doi.uri (DOI) https://doi.org/10.1016/j.najef.2017.08.003