Fair pricing of reverse mortgage without redemption right

zbMATH Open1408.91103MaRDI QIDQ4609293FDOQ4609293

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Publication date: 29 March 2018

Recommendations

• Valuation of reverse mortgage
• Pricing an insurance product that integrates reverse mortgage with long-term care insurance
• Pricing models of dynamic reverse mortgage
• Reverse mortgage model with a Markov interest rate process
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

zbMATH Keywords

jump-diffusionreverse mortgageforce of mortalityVasicek modelfair pricingperpetual annuity

Mathematics Subject Classification ID

Cited In (8)

• On the valuation of reverse mortgages with regular tenure payments
• On the valuation of reverse mortgage insurance
• Pricing models of dynamic reverse mortgage
• Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
• Pricing an insurance product that integrates reverse mortgage with long-term care insurance
• Pricing reverse mortgages in Spain
• Valuation of reverse mortgage
• Reverse mortgage model with a Markov interest rate process

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