An application of risk theory to mortgage lending

DOI10.1080/03461238.2021.1995781MaRDI QIDQ5865323zbMATH OpenOpenAlexFDO

Authors

Publication date 13 June 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/03461238.2021.1995781

zbMATH Keywords

double-debt problemexponential functionalFredholm integro-differential equationrenewal-reward processruin probabilitystochastic fixed-point equation

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Actuarial mathematics (91G05)

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Cites work

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• Explicit ruin formulas for models with dependence among risks
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• Exponential functionals of Lévy processes
• Exponential functionals of Lévy processes and variable annuity guaranteed benefits
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• Heavy tails for an alternative stochastic perpetuity model
• scientific article; zbMATH DE number 1138789 (Why is no real title available?)
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• On some exponential functionals of Brownian motion
• Power estimates for ruin probabilities
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• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• Risk processes with dependence and premium adjusted to solvency targets
• Ruin probabilities
• Stochastic Models with Power-Law Tails
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(10)

• Unemployment insurance and mortgages
• Minimizing the payments and borrower risk in a mortgage
• On the design of mortgages and the need for indexation
• Default Probabilities for Mortgages
• Household Risk Management and Optimal Mortgage Choice
• Determination of Loan Interest Rate Considering Bankruptcy and Mortgage Collection Costs
• Improving Risk Sharing and Borrower Incentives in Mortgage Design
• On a Flexible Loan Repayment Method Depending on Borrower’s Asset with an Early Termination Clause
• Credit risk analysis of mortgage loans: An application to the Italian market
• On loss distributions from installment-repaid loans

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