Reverse mortgage model with a Markov interest rate process

zbMATH Open1150.60410MaRDI QIDQ3501585FDOQ3501585

Authors: Shan Chen, Jiyang Tan, Xiangqun Yang 

Publication date: 3 June 2008

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zbMATH Keywords

Markov chainstochastic interest ratestransition probabilitypricing formulareverse mortgage

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (7)

• How profitable are equity release mortgages?
• Mortgages and Markov Chains: A Simplified Evaluation Model
• On the valuation of reverse mortgage insurance
• Fair pricing of reverse mortgage without redemption right
• Pricing models of dynamic reverse mortgage
• Pricing reverse mortgages in Spain
• Valuation of reverse mortgage

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