Reverse mortgage and risk profile awareness: proposals for securitization

DOI10.1002/ASMB.2664MaRDI QIDQ6580709zbMATH OpenFDO

Authors Emilia Di Lorenzo, Gabriella Piscopo, Marilena Sibillo, Roberto Tizzano

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

reverse mortgagesecuritizationreal estate marketaging populationcrossover risk

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Developing equity release markets: risk analysis for reverse mortgages and home reversions
• How profitable are equity release mortgages?
• Numerical solution of jump-diffusion LIBOR market models
• Option pricing when underlying stock returns are discontinuous
• Pension schemes versus real estate
• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Reverse mortgages through artificial intelligence: new opportunities for the actuaries
• Securitization of longevity risk in reverse mortgages
• Securitization, structuring and pricing of longevity risk
• The valuation of no-negative equity guarantees and equity release mortgages

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