On the valuation of reverse mortgage insurance

DOI10.1080/03461238.2014.925967zbMath1401.91199OpenAlexW2024978034MaRDI QIDQ4576970

Yung-Tsung Lee, Chou-Wen Wang, Hong-Chih Huang

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.925967

zbMATH Keywords

option pricingreverse mortgagejump diffusion processexponential Lévy process

Mathematics Subject Classification ID

Related Items (4)

Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk ⋮ Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison ⋮ Prepayment risk in reverse mortgages: an intensity-governed surrender model

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