Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

DOI10.1016/J.INSMATHECO.2015.03.026zbMath1348.91179OpenAlexW3123039335WikidataQ59202975 ScholiaQ59202975MaRDI QIDQ492655

Katja Hanewald, Adam W. Shao, Michael Sherris

Publication date: 20 August 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.026

zbMATH Keywords

longevity riskstochastic mortalityequity release productsidiosyncratic house price riskWills-Sherris mortality model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical geography and demography (91D20)

Related Items (14)

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Cites Work

• Modeling and Forecasting U.S. Mortality
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Securitization, structuring and pricing of longevity risk
• 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
• Individual post-retirement longevity risk management under systematic mortality risk
• On the valuation of reverse mortgages with regular tenure payments
• Consistent dynamic affine mortality models for longevity risk applications
• Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices
• Securitization of Longevity Risk in Reverse Mortgages
• Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

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