Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238): Difference between revisions

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Language	Label	Description	Also known as
English	Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform	scientific article

Statements

instance of

scholarly article

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title

Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (English)

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Insurance Mathematics \& Economics

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publication date

10 February 2012

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zbMATH Keywords

home equity conversion mortgage (HECM)

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non-recourse provision

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mortality modeling

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conditional Esscher transform

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2009.12.003

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cites work

Esscher transforms and consumption-based models

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Affine processes for dynamic mortality and actuarial valuations

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Generalized autoregressive conditional heteroscedasticity

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Q3847819

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Q4221330

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A Theory of the Term Structure of Interest Rates

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THE GARCH OPTION PRICING MODEL

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Actuarial risk measures for financial derivative pricing

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Modeling and Forecasting U.S. Mortality

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Securitization of catastrophe mortality risks

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Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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An equilibrium characterization of the term structure

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Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model

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State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates

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Identifiers

zbMATH Open document ID

1231.91154

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DOI

10.1016/j.insmatheco.2009.12.003

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:659238

@@ Property / full work available at URL @@
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+Normal rank
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+W3124353576
@@ Property / OpenAlex ID: W3124353576 / rank @@
+Normal rank
@@ Property / cites work @@
+Esscher transforms and consumption-based models
@@ Property / cites work: Esscher transforms and consumption-based models / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Q3847819
@@ Property / cites work: Q3847819 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4221330
@@ Property / cites work: Q4221330 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Actuarial risk measures for financial derivative pricing
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting U.S. Mortality
@@ Property / cites work: Modeling and Forecasting U.S. Mortality / rank @@
+Normal rank
@@ Property / cites work @@
+Securitization of catastrophe mortality risks
@@ Property / cites work: Securitization of catastrophe mortality risks / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+Q5715915
@@ Property / cites work: Q5715915 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4213180
@@ Property / cites work: Q4213180 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4220653
@@ Property / cites work: Q4220653 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5715975
@@ Property / cites work: Q5715975 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
+Normal rank
@@ Property / cites work @@
+State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
+Normal rank