Valuation of reverse mortgage

DOI10.1007/978-981-15-5951-8_22MaRDI QIDQ5012205zbMATH OpenOpenAlexFDO

Authors

Publication date 31 August 2021

Published in Infosys Science Foundation Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-981-15-5951-8_22

zbMATH Keywords

joint annuityjump-diffusionlifetime modelreverse mortgagevaluationVasicek model

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

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Cites work

• An equilibrium characterization of the term structure
• Fair pricing of reverse mortgage without redemption right

Cited in

(13)

• Reverse mortgages through artificial intelligence: new opportunities for the actuaries
• The valuation of no-negative equity guarantees and equity release mortgages
• On the valuation of reverse mortgages with regular tenure payments
• Reverse mortgage model with a Markov interest rate process
• On the valuation of reverse mortgage insurance
• Fair pricing of reverse mortgage without redemption right
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Securitization of longevity risk in reverse mortgages
• Pricing models of dynamic reverse mortgage
• Pricing an insurance product that integrates reverse mortgage with long-term care insurance
• A Bayesian multivariate risk-neutral method for pricing reverse mortgages
• Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
• 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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