Valuation of Reverse Mortgages with Default Risk Models

Author:

Bernard CaroleORCID,Kolkiewicz Adam,Tang JunsenORCID

Funder

FWO

Publisher

Springer Science and Business Media LLC

Subject

Urban Studies,Economics and Econometrics,Finance,Accounting

Reference41 articles.

1. Bardhan, A., Karapandža, R., & Urošević, B. (2006). Valuing mortgage insurance contracts in emerging market economies. Journal of Real Estate Finance and Economics, 32, 9–20.

2. Bauer, D., & Ruß, J. (2006). Pricing longevity bonds using implied survival probabilities, Unpublished working paper. University of Ulm.

3. Bielecki, TR, & Rutkowski, M. (2013). Credit risk: modeling valuation and hedging. New York: Springer Science & Business Media.

4. Case, KE, & Shiller, RJ (1989). The efficiency of the market for single-family homes. American Economic Review, 79, 125.

5. Chen, H., Cox, S.H., & Wang, S.S. (2010). Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform. Insurance: Mathematics and Economics, 46, 371–384.

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1. Re-Evaluating the Major Factors in the Low Origination Rate of the Reverse Mortgage Market;Review of Pacific Basin Financial Markets and Policies;2023-05-18

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