Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process

DOI10.1016/J.PHYSA.2020.124561OpenAlexW3016825169MaRDI QIDQ2141159

Xiaoye Gong, Yang-Che Wu, Ying Li, Wan-Shiou Yang

Publication date: 23 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.124561

zbMATH Keywords

Lévy processmean-reverting processdisposal costmoral hazard riskmortgage insurance

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Valuation of commodity derivatives in a new multi-factor model
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
• On the valuation of reverse mortgage insurance
• The Variance Gamma Process and Option Pricing

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