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Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework

Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12

In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price … three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would …

Persistent link: https://www.econbiz.de/10012018623

Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages

Di Lorenzo, Emilia; Piscopo, Gabriella; Sibillo, Marilena - In: Computational management science 21 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014442633

Reverse mortgages and the liquidity of housing wealth

Mayer, Christopher J.; Simons, Katerina Victorovna - 1993

Persistent link: https://www.econbiz.de/10000887818

Analyzing an elder's desire for a reverse mortgage using an economic model that considers house bequest motivation, random death time and stochastic house price

Chiang, Shu Ling; Tsai, Ming-shann - In: International review of economics & finance : IREF 42 (2016), pp. 202-219

Persistent link: https://www.econbiz.de/10011625110

A microeconomic model for the decision of reverse mortgage borrowers to sell their house early and its application on the estimation of termination rates

Chiang, Shu Ling; Tsai, Ming-shann - In: The journal of real estate finance and economics 61 (2020) 2, pp. 288-312

Persistent link: https://www.econbiz.de/10012293176

Profitability and risk profile of reverse mortgages : a cross-system and cross-plan comparison

Lee, Yung-Tsung; Kung, Ko-Lun; Liu, I-Chien - In: Insurance / Mathematics & economics 78 (2018), pp. 255-266

Persistent link: https://www.econbiz.de/10011825290

Determining an optimal principal limit factor for reverse mortgages under economics-based models

Chiang, Shu Ling; Tsai, Ming-shann; Wang, Chien-an - In: The journal of real estate finance and economics 63 (2021) 4, pp. 565-597

Persistent link: https://www.econbiz.de/10012653290

Breakeven determination of loan limits for reverse mortgages under information asymmetry

Pu, Ming; Fan, Gang-Zhi; Deng, Yongheng - In: The journal of real estate finance and economics 48 (2014) 3, pp. 492-521

Persistent link: https://www.econbiz.de/10010402354

(When) do banks react to anticipated capital reliefs?

Arnould, Guillaume; Guin, Benjamin; Ongena, Steven; … - 2020

publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk …

Persistent link: https://www.econbiz.de/10012421476

Regulatory capital and incentives for risk model choice under Basel 3

Liu, Fred; Stentoft, Lars - In: Journal of financial econometrics 19 (2021) 1, pp. 53-96

Persistent link: https://www.econbiz.de/10012504312