Prepayment risk in reverse mortgages: an intensity-governed surrender model

DOI10.1016/j.insmatheco.2021.02.008zbMath1466.91269OpenAlexW3135717450MaRDI QIDQ2034152

Yung-Tsung Lee, Tianxiang Shi

Publication date: 21 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.02.008

zbMATH Keywords

reverse mortgagesurrenderprepaymentintensity processno-negative-equity guarantee

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (3)

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 ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

Cites Work

• Modeling and Forecasting U.S. Mortality
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Intensity-based framework for surrender modeling in life insurance
• 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
• Interest rate models -- theory and practice. With smile, inflation and credit
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• On the valuation of reverse mortgages with regular tenure payments
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• On the valuation of reverse mortgage insurance
• A DYNAMIC DISCRETE CHOICE MODEL OF REVERSE MORTGAGE BORROWER BEHAVIOR
• Natural Hedging of Life and Annuity Mortality Risks
• Actuarial Mathematics for Life Contingent Risks
• Pricing Interest-Rate-Derivative Securities
• Multistate Actuarial Models of Functional Disability
• Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

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