Securitization of longevity risk in reverse mortgages
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Recommendations
- Securitization, structuring and pricing of longevity risk
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Mortality risk modeling: applications to insurance securitization
- Valuation of reverse mortgage
- Reverse mortgages through artificial intelligence: new opportunities for the actuaries
Cites work
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- An equilibrium characterization of the term structure
- Catastrophe Risk Bonds
- Modeling and forecasting U.S. mortality. (With discussion)
- Optimal asset allocation in life annuities: a note.
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
Cited in
(21)- Longevity risk and capital markets: the 2015--16 update
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- Longevity risk and capital markets: the 2019--20 update
- Reverse mortgages through artificial intelligence: new opportunities for the actuaries
- Pension schemes versus real estate
- Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
- Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis
- On non-negative equity guarantee calculations with macroeconomic variables related to house prices
- scientific article; zbMATH DE number 6342190 (Why is no real title available?)
- Editorial: Longevity risk and capital markets: the 2013--14 update
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Longevity Risk and Capital Markets: The 2017–2018 Update
- Lifetime consumption and investment with housing, deferred annuities and home equity release
- Longevity Risk and Capital Markets: The 2012–2013 Update
- Developing equity release markets: risk analysis for reverse mortgages and home reversions
- A Bayesian multivariate risk-neutral method for pricing reverse mortgages
- Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages
- Reverse mortgage and risk profile awareness: proposals for securitization
- Securitization, structuring and pricing of longevity risk
- Securitizing and tranching longevity exposures
- Life care reverse mortgages: monitoring the net cashflows of a new hybrid insurance product
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