Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea-Reference-Cited by-同舟云学术

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Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea

Published:2017-03 Issue: Volume:30 Page:133-154
ISSN:1566-0141
Container-title:Emerging Markets Review
language:en
Short-container-title:Emerging Markets Review

Author:

Kim Joseph H.T.^ORCID,Li Johnny S.H.

Funder

National Research Foundation of Korea

Global Risk Institute

Natural Sciences and Engineering Research Council of Canada

Society of Actuaries Center of Actuarial Excellence Program

Publisher

Elsevier BV

Subject

Economics and Econometrics,Business and International Management

Reference44 articles.

1. Developing equity release markets: risk analysis for reverse mortgages and home reversions;Alai;N. Am. Actuar. J.,2014

2. Testing the asymmetric effects of financial conditions in South Africa: a nonlinear vector autoregression approach;Balcilar;J. Int. Financ. Mark. Inst. Money,2016

3. The entropic penalty approach to stochastic programming;Ben-Tal;Math. Oper. Res.,1985

4. Actuarial Mathematics (2 Ed.);Bowers,1997

5. No-arbitrage, change of measure and conditional Esscher transforms;Bühlmann;CWI Q.,1996

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1. The constraining impact mechanism of financial cognitive ability on the effective demand for housing reverse mortgages in China;International Review of Financial Analysis;2024-10

2. Analysis, modelling, and financial perspectives of reverse mortgage implementation in Colombia;Heliyon;2024-05

3. The reverse mortgage market in New Zealand: key drivers of loan determination;Applied Economics;2024-03-29

4. Enhancing Sell-Type Home Reversion Products for Retirement Financing;Risks;2024-01-29

5. On non-negative equity guarantee calculations with macroeconomic variables related to house prices;Insurance: Mathematics and Economics;2022-03

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