政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/112017

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51620378 Online Users : 730

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/112017

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112017

Title:	Valuation of mortgage insurance contracts with counterparty default risk: Reduced-form approach
Authors:	Chang, Chia-Chien
Contributors:	風險管理與保險系
Keywords:	Correlated defaults;counterparty default risk;mortgage insurance premium structures;reduced-form model
Date:	2014
Issue Date:	2017-08-17 15:47:10 (UTC+8)
Abstract:	In the recent subprime mortgage crisis, which has caused banks and insurance companies to go bankrupt or into acquisition, the lender and insurer have exhibited not only correlated defaults when exposed to common risk factors but also counterparty default risk, which is triggered by mortgage defaults. Given the correlated defaults and the counterparty default risk, we use the reduced-form approach to derive the closed-form formulas of mortgage insurance contracts with premium refunds, annual premiums and upfront premiums. Regardless of the nature of the premium structures, the numerical analysis with parameter calibration demonstrates that both the correlated defaults and the counterparty default risk significantly impact mortgage insurance premiums, particularly in long-term mortgage loans. Copyright © ASTIN Bulletin 2014.
Relation:	ASTIN Bulletin, 44(2), 303-334
Data Type:	article
DOI link:	http://dx.doi.org/10.1017/asb.2014.4
DOI:	10.1017/asb.2014.4
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	587	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...