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

DOI10.1016/j.insmatheco.2009.12.003zbMath1231.91154OpenAlexW3124353576MaRDI QIDQ659238

Hua Chen, Shaun S. Wang, S. H. jun. Cox

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.003

zbMATH Keywords

conditional Esscher transformhome equity conversion mortgage (HECM)mortality modelingnon-recourse provision

Mathematics Subject Classification ID

Related Items (22)

Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ On the valuation of reverse mortgage insurance ⋮ On non-negative equity guarantee calculations with macroeconomic variables related to house prices ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk ⋮ Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison ⋮ Pricing and securitization of multi-country longevity risk with mortality dependence ⋮ On the valuation of reverse mortgages with regular tenure payments ⋮ Longevity bond premiums: the extreme value approach and risk cubic pricing ⋮ To borrow or insure? Long term care costs and the impact of housing ⋮ 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 ⋮ Pension schemes versus real estate ⋮ Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions ⋮ A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages ⋮ Prepayment risk in reverse mortgages: an intensity-governed surrender model ⋮ Modeling and pricing longevity derivatives using Skellam distribution ⋮ Livestock mortality catastrophe insurance using fatal shock process ⋮ Reverse mortgages through artificial intelligence: new opportunities for the actuaries ⋮ The valuation of no-negative equity guarantees and equity release mortgages ⋮ Detecting and modelling the jump risk of CO₂emission allowances and their impact on the valuation of option on futures contracts ⋮ Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk

Cites Work

• Modeling and Forecasting U.S. Mortality
• Esscher transforms and consumption-based models
• Affine processes for dynamic mortality and actuarial valuations
• Actuarial risk measures for financial derivative pricing
• Securitization of catastrophe mortality risks
• Generalized autoregressive conditional heteroscedasticity
• A Theory of the Term Structure of Interest Rates
• THE GARCH OPTION PRICING MODEL
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• An equilibrium characterization of the term structure
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: 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