The valuation of no-negative equity guarantees and equity release mortgages
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Publication:2327079
DOI10.1016/J.ECONLET.2019.108669zbMATH Open1422.91340OpenAlexW2971936902WikidataQ127290558 ScholiaQ127290558MaRDI QIDQ2327079FDOQ2327079
Authors: Kevin Dowd, Dean Buckner, David Blake, John L. Fry 
Publication date: 11 October 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/28939/1/28939.pdf
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Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- 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
- On the valuation of reverse mortgages with regular tenure payments
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- 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
- OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
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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