Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
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Recommendations
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Valuation of reverse mortgage
- On the valuation of reverse mortgages with regular tenure payments
- scientific article; zbMATH DE number 6342190
Cites work
- Consistent dynamic affine mortality models for longevity risk applications
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices
- Individual post-retirement longevity risk management under systematic mortality risk
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Modeling and forecasting U.S. mortality. (With discussion)
- On the valuation of reverse mortgages with regular tenure payments
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Securitization of longevity risk in reverse mortgages
- Securitization, structuring and pricing of longevity risk
Cited in
(30)- Longevity risk and capital markets: the 2015--16 update
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- To borrow or insure? Long term care costs and the impact of housing
- Prepayment risk in reverse mortgages: an intensity-governed surrender model
- Longevity risk and capital markets: the 2019--20 update
- Reverse mortgages through artificial intelligence: new opportunities for the actuaries
- Novel utility-based life cycle models to optimise income in retirement
- Pension schemes versus real estate
- The valuation of no-negative equity guarantees and equity release mortgages
- On the valuation of reverse mortgages with regular tenure payments
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- Pricing reverse mortgages in Spain
- Fair pricing of reverse mortgage without redemption right
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Securitization of longevity risk in reverse mortgages
- Aging in place, housing maintenance, and reverse mortgages
- Lifetime consumption and investment with housing, deferred annuities and home equity release
- Pricing models of dynamic reverse mortgage
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
- Longevity hedge effectiveness using socioeconomic indices
- Reverse mortgage and risk profile awareness: proposals for securitization
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension
- Optimal surrender policy for reverse mortgage loans
- Risk assessment in the reverse mortgage contract
- Reverse mortgages with long-term care cost coverage: the role of health state granularity in valuing prepayment options
- A two-generation model with altruism for reverse mortgage demand
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