政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64477

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 113392/144379 (79%)
造访人次 : 51194098 在线人数 : 932

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

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

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/64477

题名:	On the valuation of reverse mortgages with regular tenure payments
作者:	Lee, Yung-Tsung;Wang, Chou-Wen;Huang, Hong-Chih 黃泓智
贡献者:	風管系
关键词:	Reverse mortgages;Annuity payments;Option pricing;Dimension reduction
日期:	2012.09
上传时间:	2014-03-06 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
数据类型:	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
显示于类别:	[風險管理與保險學系] 期刊論文

文件中的档案:

档案	大小	格式	浏览次数
430441.pdf	323Kb	Adobe PDF2	1328	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

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.

数据加载中.....