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
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Recommendations
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- On the valuation of reverse mortgage insurance
- Prepayment risk in reverse mortgages: an intensity-governed surrender model
- Valuation of reverse mortgage
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
Cites work
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- Actuarial risk measures for financial derivative pricing
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- An equilibrium characterization of the term structure
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
- Esscher transforms and consumption-based models
- Generalized autoregressive conditional heteroscedasticity
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- Modeling and forecasting U.S. mortality. (With discussion)
- Securitization of catastrophe mortality risks
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- THE GARCH OPTION PRICING MODEL
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
Cited in
(25)- 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
- Modeling and pricing longevity derivatives using Skellam distribution
- Reverse mortgages through artificial intelligence: new opportunities for the actuaries
- Pension schemes versus real estate
- Livestock mortality catastrophe insurance using fatal shock process
- The valuation of no-negative equity guarantees and equity release mortgages
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Pricing and securitization of multi-country longevity risk with mortality dependence
- On the valuation of reverse mortgages with regular tenure payments
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- On the valuation of reverse mortgage insurance
- Multi-population mortality models: a factor copula approach
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds
- Detecting and modelling the jump risk of \(\text{CO}_2\) emission allowances and their impact on the valuation of option on futures contracts
- Lifetime consumption and investment with housing, deferred annuities and home equity release
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- Discounting the Discounted Projection Approach
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
- Longevity bond premiums: the extreme value approach and risk cubic pricing
- Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension
- Reverse mortgages with long-term care cost coverage: the role of health state granularity in valuing prepayment options
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