Reverse mortgage model with a Markov interest rate process

MaRDI QIDQ3501585zbMATH OpenFDO

Authors Shan Chen, Jiyang Tan, Xiangqun Yang

Publication date 3 June 2008

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)

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