Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk

2015 ◽  
Vol 63 ◽  
pp. 76-90 ◽  
Author(s):  
Adam W. Shao ◽  
Katja Hanewald ◽  
Michael Sherris
Keyword(s):  
Risk Analysis ◽  
House Price ◽  
Price Risk ◽  
Longevity Risk ◽  
Reverse Mortgage ◽  
Mortgage Pricing ◽  
House Price Risk

Hedging House Price Risk with Futures Contracts after the Bubble Burst

2014 ◽  
Author(s):  
Patrick J. Schorno ◽  
Steve Swidler ◽  
Michael D. Wittry
Keyword(s):  
House Price ◽  
Futures Contracts ◽  
Price Risk ◽  
Bubble Burst ◽  
House Price Risk

scholarly journals Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework

Risks ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 11
Author(s):  
Jackie Li ◽  
Atsuyuki Kogure ◽  
Jia Liu
Keyword(s):  
House Price ◽  
Interest Rate Risk ◽  
Price Risk ◽  
Multivariate Approach ◽  
Reverse Mortgage ◽  
Principle Of Maximum Entropy ◽  
Multivariate Risk ◽  
Reverse Mortgages ◽  
Principle Of Maximum ◽  
Financial Environment

In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results based on Australian data suggest that a reverse mortgage would be financially sustainable under the current financial environment and the model settings and assumptions.

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