This paper estimates and compares methods of constructing disaggregated house price indices from existing house price models using individual sales data for Sydney. Nine alternative house price models are selected to cover the most frequently used methods in the literature: the mean model,...

This paper quantifies the impacts of individual house price risk on the pricing of equity release products. An individual house price model is employed to explain house price variations by heterogeneous characteristics. A Vector Auto-Regression (VAR) model is adopted to project the overall house...

We assess the impact of housing, the availability of reverse mortgages and long-term care (LTC) insurance on a retiree's optimal portfolio choice and consumption decisions using a multi-period life cycle model that takes into consideration longevity risk, health shocks and house price risk. We...

Reverse mortgages provide an alternative source of funding for retirement income and health care costs. The two main risks that reverse mortgage providers face are house price risk and longevity risk. Recent real estate literature has shown that the idiosyncratic component of house price risk is...

We apply generalized linear models to evaluate disability transitions for individuals in old age based on a large sample of U.S. elderly. We estimate a multi-state model for long-term care insurance applications, and find significant differences in disability rate patterns and levels from the...

Multiple state functional disability models do not generally include systematic trend and uncertainty. We develop and estimate a multi-state latent factor intensity model with transition and recovery rates depending on a stochastic frailty factor to capture trend and uncertainty. We estimate the...

This paper presents a comprehensive assessment of premiums, reserves and solvency capital requirements for long-term care (LTC) insurance policies using Activities of Daily Living (ADLs) and U.S. data. We compare stand-alone policies, rider benefit policies (LTC insurance combined with whole...