Huang, Hong-Chih; Wang, Chou-Wen; Miao, Yuan-Chi - In: The Geneva Papers on Risk and Insurance - Issues and … 36 (2011) 4, pp. 622-647
When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. With consideration of housing price risk, interest rate risk and longevity risk,...