Pricing Reverse Mortgages under Exponential L''evy Processes

• Main Authors: Yu-Shin Wei, 魏郁欣
• Other Authors: Chou-Wen Wang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/45005305112392041121

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === The purpose of this study is to price reverse mortgages and to discuss about the details of the major risk. And, in the study is assumed that housing prices under exponential Lévy processes instead of geometric Brownian motion. Moreover, the Gompertz-Makeham mortality law modeled for the borrower. All of the above, the paper is investigated to find more appropriate annuities, and the result presents that the annuity payment increases with the borrowers'' age or the growing house price.