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

DOI10.1016/J.ECONLET.2019.108669MaRDI QIDQ2327079zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

actuarial scienceBlack '76 modelCBD mortality modelsequity releaseno-negative equity guaranteeprudential regulation

Mathematics Subject Classification ID

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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)
• On the valuation of reverse mortgages with regular tenure payments
• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
• 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

(8)

• Longevity risk and capital markets: the 2019--20 update
• How profitable are equity release mortgages?
• On non-negative equity guarantee calculations with macroeconomic variables related to house prices
• An options-pricing approach to election prediction
• Discounting the Discounted Projection Approach
• Reverse mortgage and risk profile awareness: proposals for securitization
• Life care reverse mortgages: monitoring the net cashflows of a new hybrid insurance product
• Phase transitions in debt recycling

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