| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | Lee, Yung-Tsung ; Wang, Chou-Wen ; Huang, Hong-Chih | en_US |
| dc.creator (作者) | 黃泓智 | zh_TW |
| dc.date (日期) | 2012.09 | en_US |
| dc.date.accessioned | 6-Mar-2014 16:23:30 (UTC+8) | - |
| dc.date.available | 6-Mar-2014 16:23:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Mar-2014 16:23:30 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64477 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 331168 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Insurance: Mathematics and Economics , 51(2), 430-441 | en_US |
| dc.subject (關鍵詞) | Reverse mortgages; Annuity payments; Option pricing; Dimension reduction | en_US |
| dc.title (題名) | On the valuation of reverse mortgages with regular tenure payments | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.insmatheco.2012.06.008 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/http://dx.doi.org/10.1016/j.insmatheco.2012.06.008 | en_US |
