The valuation of no-negative equity guarantees and equity release mortgages
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Publication:2327079
actuarial scienceprudential regulationequity releaseBlack '76 modelCBD mortality modelsno-negative equity guarantee
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Cites work
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Evaluating the goodness of fit of stochastic mortality models
- 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)
- OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
- On the valuation of reverse mortgages with regular tenure payments
- 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
Cited in
(6)- An options-pricing approach to election prediction
- How profitable are equity release mortgages?
- Reverse mortgage and risk profile awareness: proposals for securitization
- Longevity risk and capital markets: the 2019--20 update
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- Discounting the Discounted Projection Approach
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