The valuation of no-negative equity guarantees and equity release mortgages

DOI10.1016/J.ECONLET.2019.108669zbMath1422.91340OpenAlexW2971936902WikidataQ127290558 ScholiaQ127290558MaRDI QIDQ2327079

Kevin Dowd, David Blake, Dean Buckner, 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

zbMATH Keywords

actuarial scienceprudential regulationequity releaseBlack '76 modelCBD mortality modelsno-negative equity guarantee

Mathematics Subject Classification ID

Related Items (4)

On non-negative equity guarantee calculations with macroeconomic variables related to house prices ⋮ An options-pricing approach to election prediction ⋮ How profitable are equity release mortgages? ⋮ Longevity risk and capital markets: the 2019--20 update

Cites Work

• Modeling and Forecasting U.S. Mortality
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• 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
• Evaluating the goodness of fit of stochastic mortality models
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• On the valuation of reverse mortgages with regular tenure payments
• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages

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