On the valuation of reverse mortgages with regular tenure payments
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Publication:2445355
DOI10.1016/J.INSMATHECO.2012.06.008zbMATH Open1284.91550OpenAlexW2005266978MaRDI QIDQ2445355FDOQ2445355
Authors: Yung-Tsung Lee, Chou-Wen Wang, Hong-Chih Huang 
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.008
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Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Cites Work
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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
Cited In (12)
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- Valuation of mortgage insurance contracts with counterparty default risk: reduced-form approach
- On the valuation of reverse mortgage insurance
- The valuation of no-negative equity guarantees and equity release mortgages
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- Valuation of reverse mortgage
- Optimal surrender policy for reverse mortgage loans
- Prepayment risk in reverse mortgages: an intensity-governed surrender model
- Pricing and securitization of multi-country longevity risk with mortality dependence
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