The valuation of no-negative equity guarantees and equity release mortgages
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Publication:2327079
DOI10.1016/J.ECONLET.2019.108669zbMath1422.91340OpenAlexW2971936902WikidataQ127290558 ScholiaQ127290558MaRDI QIDQ2327079
Kevin Dowd, David Blake, Dean Buckner, John L. Fry
Publication date: 11 October 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/28939/1/28939.pdf
actuarial scienceprudential regulationequity releaseBlack '76 modelCBD mortality modelsno-negative equity guarantee
Related Items (4)
On non-negative equity guarantee calculations with macroeconomic variables related to house prices ⋮ An options-pricing approach to election prediction ⋮ How profitable are equity release mortgages? ⋮ Longevity risk and capital markets: the 2019--20 update
Cites Work
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- Evaluating the goodness of fit of stochastic mortality models
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- On the valuation of reverse mortgages with regular tenure payments
- OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
- A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
- A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
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