Prepayment risk in reverse mortgages: an intensity-governed surrender model
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Publication:2034152
Recommendations
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and 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
- On the valuation of reverse mortgages with regular tenure payments
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
Cites work
- A dynamic discrete choice model of reverse mortgage borrower behavior
- Actuarial mathematics for life contingent risks
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- Intensity-based framework for surrender modeling in life insurance
- Interest rate models -- theory and practice. With smile, inflation and credit
- 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
- Modeling and forecasting U.S. mortality. (With discussion)
- Multistate actuarial models of functional disability
- Natural hedging of life and annuity mortality risks
- On the valuation of reverse mortgage insurance
- On the valuation of reverse mortgages with regular tenure payments
- Pricing interest-rate-derivative securities
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
Cited in
(11)- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- 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
- Reverse mortgage and risk profile awareness: proposals for securitization
- 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
- Optimal surrender policy for reverse mortgage loans
- The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance
- Life care reverse mortgages: monitoring the net cashflows of a new hybrid insurance product
- Reverse mortgages with long-term care cost coverage: the role of health state granularity in valuing prepayment options
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