Reverse mortgage and risk profile awareness: proposals for securitization

DOI10.1002/ASMB.2664MaRDI QIDQ6580709

Roberto Tizzano, Gabriella Piscopo, Emilia Di Lorenzo, Marilena Sibillo

Publication date: 29 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

securitizationreverse mortgagereal estate marketaging populationcrossover risk

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Securitization, structuring and pricing of longevity risk
• Numerical solution of jump-diffusion LIBOR market models
• Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
• Prepayment risk in reverse mortgages: an intensity-governed surrender model
• Reverse mortgages through artificial intelligence: new opportunities for the actuaries
• How profitable are equity release mortgages?
• Pension schemes versus real estate
• The valuation of no-negative equity guarantees and equity release mortgages
• A theory of the term structure of interest rates
• Securitization of Longevity Risk in Reverse Mortgages
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

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