Prepayment risk in reverse mortgages: an intensity-governed surrender model
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Publication:2034152
DOI10.1016/j.insmatheco.2021.02.008zbMath1466.91269OpenAlexW3135717450MaRDI QIDQ2034152
Publication date: 21 June 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.02.008
Related Items (3)
On non-negative equity guarantee calculations with macroeconomic variables related to house prices ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
Cites Work
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- On the valuation of reverse mortgages with regular tenure payments
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
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- Actuarial Mathematics for Life Contingent Risks
- Pricing Interest-Rate-Derivative Securities
- Multistate Actuarial Models of Functional Disability
- Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
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