On the valuation of reverse mortgages with regular tenure payments

DOI10.1016/J.INSMATHECO.2012.06.008MaRDI QIDQ2445355zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dimension reductionoption pricingreverse mortgagesannuity payments

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(12)

• Pricing and securitization of multi-country longevity risk with mortality dependence
• 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

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