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

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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

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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:	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
資料類型:	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
顯示於類別:	[風險管理與保險學系] 期刊論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
430441.pdf	323Kb	Adobe PDF2	1328	檢視/開啟

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