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-Reference-Cited by-同舟云学术

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

Published:2010-04 Issue:2 Volume:46 Page:371-384
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Chen Hua,Cox Samuel H.,Wang Shaun S.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference58 articles.

1. American Housing Survey for the United States, 2005. Current Housing Reports. US Department of Housing and Urban Development and US Census Bureau. Aug. 2006, P156

2. Esscher transforms and consumption-based models;Badescu;Insurance: Mathematics and Economics,2009

3. A regression method for real estate price index construction;Bailey;Journal of the American Statistical Association,1963

4. Bauer, D., Kramer, F.W., 2007. Risk and valuation of mortality contingent catastrophe bonds. Working Paper

5. Affine processes for dynamic mortality and actuarial valuations;Biffis;Insurance: Mathematics and Economics,2005

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