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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64477

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64477

Title:	On the valuation of reverse mortgages with regular tenure payments
Authors:	Lee, Yung-Tsung;Wang, Chou-Wen;Huang, Hong-Chih 黃泓智
Contributors:	風管系
Keywords:	Reverse mortgages;Annuity payments;Option pricing;Dimension reduction
Date:	2012.09
Issue Date:	2014-03-06 16:23:30 (UTC+8)
Abstract:	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.
Relation:	Insurance: Mathematics and Economics , 51(2), 430-441
Data Type:	article
DOI 連結:	http://dx.doi.org/http://dx.doi.org/10.1016/j.insmatheco.2012.06.008
DOI:	10.1016/j.insmatheco.2012.06.008
Appears in Collections:	[風險管理與保險學系] 期刊論文

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