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題名 Securitisation of Crossover Risk in Reverse Mortgages
作者 黃泓智;王昭文;苗莞琦
Huang, Hong-Chih ; Wang, Chou-Wen ; Miao, Yuan-Chi
貢獻者 風管系
關鍵詞 reverse mortgages; crossover risk; longevity risk; crossover bonds
日期 2011.1
上傳時間 21-Mar-2014 14:12:24 (UTC+8)
摘要 When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. With consideration of housing price risk, interest rate risk and longevity risk, we provide a three-dimensional lattice method that simultaneously captures the evolution of housing prices and short-term interest rates to calculate the fair valuation of reverse mortgages numerically. For a reverse mortgage insurer, the premium structure of reverse mortgage insurance is determined by setting the present value of the total expected claim losses equal to the present value of the premium charges. However, when the actual loss is higher than the expected loss, the insurer will incur an unexpected loss. To offset the potential loss, we also design two types of crossover bonds to transfer the unexpected loss to bond investors. Therefore, through the crossover bonds, reverse mortgage insurers can partially transfer crossover risk onto bond holders.
關聯 The Geneva Papers on Risk and Insurance - Issues and Practice, 36(4), 622-647
資料類型 article
DOI http://dx.doi.org/10.1057/gpp.2011.23
dc.contributor 風管系en_US
dc.creator (作者) 黃泓智;王昭文;苗莞琦zh_TW
dc.creator (作者) Huang, Hong-Chih ; Wang, Chou-Wen ; Miao, Yuan-Chien_US
dc.date (日期) 2011.1en_US
dc.date.accessioned 21-Mar-2014 14:12:24 (UTC+8)-
dc.date.available 21-Mar-2014 14:12:24 (UTC+8)-
dc.date.issued (上傳時間) 21-Mar-2014 14:12:24 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64808-
dc.description.abstract (摘要) When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. With consideration of housing price risk, interest rate risk and longevity risk, we provide a three-dimensional lattice method that simultaneously captures the evolution of housing prices and short-term interest rates to calculate the fair valuation of reverse mortgages numerically. For a reverse mortgage insurer, the premium structure of reverse mortgage insurance is determined by setting the present value of the total expected claim losses equal to the present value of the premium charges. However, when the actual loss is higher than the expected loss, the insurer will incur an unexpected loss. To offset the potential loss, we also design two types of crossover bonds to transfer the unexpected loss to bond investors. Therefore, through the crossover bonds, reverse mortgage insurers can partially transfer crossover risk onto bond holders.en_US
dc.format.extent 1511239 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) The Geneva Papers on Risk and Insurance - Issues and Practice, 36(4), 622-647en_US
dc.subject (關鍵詞) reverse mortgages; crossover risk; longevity risk; crossover bondsen_US
dc.title (題名) Securitisation of Crossover Risk in Reverse Mortgagesen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1057/gpp.2011.23en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1057/gpp.2011.23en_US