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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 2012.09
上傳時間 6-Mar-2014 16:23:30 (UTC+8)
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
dc.contributor 風管系en_US
dc.creator (作者) Lee, Yung-Tsung ; Wang, Chou-Wen ; Huang, Hong-Chihen_US
dc.creator (作者) 黃泓智zh_TW
dc.date (日期) 2012.09en_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), 430-441en_US
dc.subject (關鍵詞) Reverse mortgages; Annuity payments; Option pricing; Dimension reductionen_US
dc.title (題名) On the valuation of reverse mortgages with regular tenure paymentsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.insmatheco.2012.06.008en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.insmatheco.2012.06.008en_US