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Title提升老年經濟安全準備-反向房屋抵押貸款之應用
Creator鄭雅丰
Contributor黃泓智
鄭雅丰
Key Words反向房屋抵押貸款
高齡社會
老年經濟安全準備
房屋轉換計畫
Date2007
Date Issued2009-09-18
Summary高齡社會下，是否能夠準備足夠的退休金是每個人都很關心的重要議題。本研究探討反向房屋抵押貸款(Reverse Mortgages)在提升老年經濟安全準備之應用。以美英澳三國之反向房屋抵押貸款商品之形式為基礎，分析發行機構與消費者之風險，建立反向房屋抵押貸款之基本定價模型，模擬保險人和發行機構之損失分佈並作敏感度分析，最後提出反向房屋抵押貸款在提升老年經濟安全準備議題上之應用策略，期望本研究結果可為台灣高齡社會之經濟問題提供新的思考方向。
參考文獻 Allen, J., R. Amano, D. P. Byrne and A. W. Gregory (2007), “Canadian City Housing Prices and Urban Market Segmentation,” Bank of Canada Working Paper, Available from URL: http://dsp-psd.pwgsc.gc.ca/Collection/FB3-2-106-49E.pdf.
Arslan, Y. and B. Guler (2006), “Housing Prices and Interest Rates: A Theoretical Analysis,” Unpublished Ph. D. Dissertation, Department of Economic, Rochester U.
Berg, N., A. Y. Gu and D. Lien (2007), “Dynamic Correlation: A Tool for Hedging House Price Risk?” Journal of Real Estate Portfolio Management, Vol. 13, 18-28.
Boehm, T. P. and M. C. Ehrhardt (1994), “Reverse Mortgages an Interest Rate Risk,” Journal of the American Real Estate and Urban Economics Association, Vol.22, 387-408.
Caplin, A. (2000), “The Reverse Mortgage Market: Problems and Prospects,” forthcoming in Olivia Mitchell ed., Pension Research Council, Philadelphia, PA.
Davidoff, T. and G. Welke (2005), “Selection and Moral Hazard in the Reverse Mortgage Market,” Unpublished Ph. D. Dissertation, Haas School of Business, UC Berkeley.
DiVenti, T. R. and T. N. Herzog (1990), “Modeling Home Equity Conversion Mortgages,” Actuarial Research Clearing House, Vol. 2.
Eschtruth, A. D., W. Sun and A. Webb (2006), “Will Reverse Mortgages Rescue the Baby Boomers?” Center for Retirement Research at Boston College.
FSA Factsheet (2007), “Raising Money from Your Home,” Available from URL: http://www.moneymadeclear.fsa.gov.uk/pdfs/raise_home.pdf.
Gau, G. W. (1987), “Efficient Real Estimate Markets: Paradox or Paradigm?” Journal of the American Real Estate and Urban Economics Association, Vol.15, 1-12.
Rodda, D. T., K. Lam and A. Youn (2004), “Stochastic Modeling of Federal Housing Administration Home Equity Conversion Mortgages with Low-Cost-Refinancing,” Real Estate Economics, Vol. 32, 589-617.
Stucki, B. R. (2006), “Using Reverse Mortgages to Manage the Financial Risk of Long Term Care,” North American Actuarial Journal.
Szymanoski, E. J. Jr. (1994), “Risk and the Home Equity Conversion Mortgage,” Journal of the American Real Estate and Urban Economics Association, Vol. 22, 347-366.
Sutton, G. D. (2002), “Explaining Changes in House Prices,” BIS Quarterly Review, September, 46-55.
Tsatsaronis K. and H. Zhu (2004), “What Drives Housing Price Dynamics: Crosscountry Evidence,” BIS Quarterly Review, March, 65–78.
Venti, S. F. and D. A. Wise (2001), “Aging and Housing Equity: Another Look,” NBER Working Paper No.8608, November Press.
Zhu, H. (2006), “The Structure of Housing Finance Markets and House Prices in Asia,” BIS Quarterly Review, December, 55-69.
阮玉梅、高淑芬、李怡娟、賈淑麗、李明德等(1999)，《長期照護概論》，台北：華杏，4-27，36-62，281-297。
陳雙卯(2002)，「海外指數連動債券之設計、評價與避險分析」，中山大學財務管理學系碩士論文。
吳淑瓊、王正、林萬億、吳玉琴、王榮璋(2001)，「建構長期照護體系先導計畫-第一年計畫」，內政部委託研究報告。
鄭文輝、沈淑芳(1995)，「老人扶養機構收費標準之研究」內政部委託研究報告。
鄭麗珍、黃泓智(2005)，「高齡化社會之老人經濟安全」，行政院國家科學委員會委託研究報告。
http://www.moneymadeclear.fsa.gov.uk/products_explained/types_of_equity_release.html
http://www.seniorsfinance.com.au/
http://www.fsa.gov.uk/
http://www.wgs.co.uk/services/equity.htm
Description碩士
國立政治大學
風險管理與保險研究所
94358008
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094358008
Typethesis
dc.contributor.advisor 黃泓智zh_TW
dc.contributor.author (Authors) 鄭雅丰zh_TW
dc.creator (作者) 鄭雅丰zh_TW
dc.date (日期) 2007en_US
dc.date.accessioned 2009-09-18-
dc.date.available 2009-09-18-
dc.date.issued (上傳時間) 2009-09-18-
dc.identifier (Other Identifiers) G0094358008en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34137-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 94358008zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 高齡社會下，是否能夠準備足夠的退休金是每個人都很關心的重要議題。本研究探討反向房屋抵押貸款(Reverse Mortgages)在提升老年經濟安全準備之應用。以美英澳三國之反向房屋抵押貸款商品之形式為基礎，分析發行機構與消費者之風險，建立反向房屋抵押貸款之基本定價模型，模擬保險人和發行機構之損失分佈並作敏感度分析，最後提出反向房屋抵押貸款在提升老年經濟安全準備議題上之應用策略，期望本研究結果可為台灣高齡社會之經濟問題提供新的思考方向。zh_TW
dc.description.tableofcontents 第一章 緒 論………………………………………………………………………….4
第一節 研究背景與研究動機……………………………………………………….4
第二節 研究目的…………………………………………………………………….6
第三節 文獻探討…………………………………………………………………….7
第四節 研究架構…………………………………………………………………….9
第二章 反向房屋抵押貸款商品介紹………………………………………………11
第一節 美國之房屋轉換貸款計畫………………………………………………....11
第二節 英國之反向房屋抵押貸款………………………………………………....12
第三節 澳洲之反向房屋抵押貸款………………………………………………....15
第四節 房屋轉換計畫……………………………………………………………....17
第五節 綜合比較…………………………………………………………………....18
第三章 反向房屋抵押貸款之風險因素…………………………………………....21
第一節 對發行機構之風險（Lender）………………………………………….....21
第二節 對消費者之風險（Borrower）…………………………………………….24
第四章 反向房屋抵押貸款定價之模型建構……………………………………....28
第一節 模型架構…………………………………………………...…………....….28
第二節 商品形式-有保險之反向房屋抵押貸款………………...……………...…32
第三節 商品形式-無保險之反向房屋抵押貸款…………………………………..36
第四節 商品形式-房屋轉換計畫…………………………………………………..40
第五節 敏感度分析………………………………………………………………... 43
第五章 反向房屋抵押貸款之應用……………….……………………………….. 50
第一節 反向房屋抵押貸款與退休生活費用需求………………………………... 50
第二節 反向房屋抵押貸款與長期看護費用需求………………………………... 54
第六章 結論與建議…………………………………………………………………62
附錄一 ……………………………………………..………………………………..65
附錄二 ………………………………………………………………………………67
附錄三 ……………………………………………..………………………………..71
參考文獻 …………………………………………….………………………………...72
表目錄
表1 反向房屋抵押貸款與房屋貸款之比較…………………………………………18
表2 反向房屋抵押貸款之三國比較…………………………………………………19
表3 反向房屋抵押貸款與房屋轉換計畫之比較……..………….………………….20
表4 房屋價值中位數…………………………………………………………………29
表5 貸款餘額中位數(無風險利率)………………………………………………….31
表6 貸款餘額中位數(無風險利率加2%)…………………………………………...30
表7 有保險之反向房屋抵押貸款-一次給付之模擬結果摘要……………………...33
表8 有保險之反向房屋抵押貸款-固定期間給付之模擬結果摘要………………...36
表9 無保險之反向房屋抵押貸款-一次給付之模擬結果摘要..…………………….38
表10 無保險之反向房屋抵押貸款-固定期間之模擬結果摘要.……………………..40
表11 房屋轉換計畫-一次給付之模擬結果摘要…………………….………………..42
表12 房屋轉換計畫-年金給付之模擬結果摘要……………………………………...43
表13 反向房屋抵押貸款-性別與年齡之敏感度分析………………………………...44
表14 反向房屋抵押貸款-貸款利率之敏感度分析…………..……………………….45
表15 反向房屋抵押貸款-房價報酬率與變動標準差之敏感度分析………………...45
表16 反向房屋抵押貸款-可貸款額度之敏感度分析………………………………...46
表17 房屋轉換計畫-性別與年齡之敏感度分析……………………………………...47
表18 房屋轉換計畫-折價比率之敏感度分析………………………………………...48
表19 房屋轉換計畫-房價報酬率與變動標準差之敏感度分析……………………...48
表20 有保險之反向房屋抵押貸款之年金給付金額表………………………………54
表21 不同給付形式之反向房屋抵押貸款每年可領之金額…………………………59
圖目錄
圖1 房價預測模擬圖…………………………………………………………………28
圖2 利率預測模擬圖…….…………………………………………………………...30
圖3 一次給付-保險人之理賠分佈….………………………………………………..32
圖4 一次給付型-保險人之理賠分佈(扣除沒有理賠之部分) ……………………...33
圖5 房屋轉換計畫-發行機構之損益分佈(資金成本為3%)………………………..39
圖6 房屋轉換計畫-發行機構之損益分佈(資金成本為5%)………………………..40		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094358008en_US
dc.subject (關鍵詞) 反向房屋抵押貸款zh_TW
dc.subject (關鍵詞) 高齡社會zh_TW
dc.subject (關鍵詞) 老年經濟安全準備zh_TW
dc.subject (關鍵詞) 房屋轉換計畫zh_TW
dc.title (題名) 提升老年經濟安全準備-反向房屋抵押貸款之應用zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allen, J., R. Amano, D. P. Byrne and A. W. Gregory (2007), “Canadian City Housing Prices and Urban Market Segmentation,” Bank of Canada Working Paper, Available from URL: http://dsp-psd.pwgsc.gc.ca/Collection/FB3-2-106-49E.pdf.zh_TW
dc.relation.reference (參考文獻) Arslan, Y. and B. Guler (2006), “Housing Prices and Interest Rates: A Theoretical Analysis,” Unpublished Ph. D. Dissertation, Department of Economic, Rochester U.zh_TW
dc.relation.reference (參考文獻) Berg, N., A. Y. Gu and D. Lien (2007), “Dynamic Correlation: A Tool for Hedging House Price Risk?” Journal of Real Estate Portfolio Management, Vol. 13, 18-28.zh_TW
dc.relation.reference (參考文獻) Boehm, T. P. and M. C. Ehrhardt (1994), “Reverse Mortgages an Interest Rate Risk,” Journal of the American Real Estate and Urban Economics Association, Vol.22, 387-408.zh_TW
dc.relation.reference (參考文獻) Caplin, A. (2000), “The Reverse Mortgage Market: Problems and Prospects,” forthcoming in Olivia Mitchell ed., Pension Research Council, Philadelphia, PA.zh_TW
dc.relation.reference (參考文獻) Davidoff, T. and G. Welke (2005), “Selection and Moral Hazard in the Reverse Mortgage Market,” Unpublished Ph. D. Dissertation, Haas School of Business, UC Berkeley.zh_TW
dc.relation.reference (參考文獻) DiVenti, T. R. and T. N. Herzog (1990), “Modeling Home Equity Conversion Mortgages,” Actuarial Research Clearing House, Vol. 2.zh_TW
dc.relation.reference (參考文獻) Eschtruth, A. D., W. Sun and A. Webb (2006), “Will Reverse Mortgages Rescue the Baby Boomers?” Center for Retirement Research at Boston College.zh_TW
dc.relation.reference (參考文獻) FSA Factsheet (2007), “Raising Money from Your Home,” Available from URL: http://www.moneymadeclear.fsa.gov.uk/pdfs/raise_home.pdf.zh_TW
dc.relation.reference (參考文獻) Gau, G. W. (1987), “Efficient Real Estimate Markets: Paradox or Paradigm?” Journal of the American Real Estate and Urban Economics Association, Vol.15, 1-12.zh_TW
dc.relation.reference (參考文獻) Rodda, D. T., K. Lam and A. Youn (2004), “Stochastic Modeling of Federal Housing Administration Home Equity Conversion Mortgages with Low-Cost-Refinancing,” Real Estate Economics, Vol. 32, 589-617.zh_TW
dc.relation.reference (參考文獻) Stucki, B. R. (2006), “Using Reverse Mortgages to Manage the Financial Risk of Long Term Care,” North American Actuarial Journal.zh_TW
dc.relation.reference (參考文獻) Szymanoski, E. J. Jr. (1994), “Risk and the Home Equity Conversion Mortgage,” Journal of the American Real Estate and Urban Economics Association, Vol. 22, 347-366.zh_TW
dc.relation.reference (參考文獻) Sutton, G. D. (2002), “Explaining Changes in House Prices,” BIS Quarterly Review, September, 46-55.zh_TW
dc.relation.reference (參考文獻) Tsatsaronis K. and H. Zhu (2004), “What Drives Housing Price Dynamics: Crosscountry Evidence,” BIS Quarterly Review, March, 65–78.zh_TW
dc.relation.reference (參考文獻) Venti, S. F. and D. A. Wise (2001), “Aging and Housing Equity: Another Look,” NBER Working Paper No.8608, November Press.zh_TW
dc.relation.reference (參考文獻) Zhu, H. (2006), “The Structure of Housing Finance Markets and House Prices in Asia,” BIS Quarterly Review, December, 55-69.zh_TW
dc.relation.reference (參考文獻) 阮玉梅、高淑芬、李怡娟、賈淑麗、李明德等(1999)，《長期照護概論》，台北：華杏，4-27，36-62，281-297。zh_TW
dc.relation.reference (參考文獻) 陳雙卯(2002)，「海外指數連動債券之設計、評價與避險分析」，中山大學財務管理學系碩士論文。zh_TW
dc.relation.reference (參考文獻) 吳淑瓊、王正、林萬億、吳玉琴、王榮璋(2001)，「建構長期照護體系先導計畫-第一年計畫」，內政部委託研究報告。zh_TW
dc.relation.reference (參考文獻) 鄭文輝、沈淑芳(1995)，「老人扶養機構收費標準之研究」內政部委託研究報告。zh_TW
dc.relation.reference (參考文獻) 鄭麗珍、黃泓智(2005)，「高齡化社會之老人經濟安全」，行政院國家科學委員會委託研究報告。zh_TW
dc.relation.reference (參考文獻) http://www.moneymadeclear.fsa.gov.uk/products_explained/types_of_equity_release.htmlzh_TW
dc.relation.reference (參考文獻) http://www.seniorsfinance.com.au/zh_TW
dc.relation.reference (參考文獻) http://www.fsa.gov.uk/zh_TW
dc.relation.reference (參考文獻) http://www.wgs.co.uk/services/equity.htmzh_TW