On the valuation of reverse mortgage insurance

DOI10.1080/03461238.2014.925967zbMath1401.91199OpenAlexW2024978034MaRDI QIDQ4576970

Yung-Tsung Lee, Chou-Wen Wang, Hong-Chih Huang

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.925967

zbMATH Keywords

option pricingreverse mortgagejump diffusion processexponential Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk ⋮ Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison ⋮ Prepayment risk in reverse mortgages: an intensity-governed surrender model

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