Actuarial Pricing Models of Reverse Mortgage with the Stochastic Interest Rate

DOI

10.2991/essaeme-15.2015.137How to use a DOI?

Keywords

Reverse mortgage, Actuarial pricing, Stochastic interest rate

Abstract

The aging problem became more important and serious in China in recent years. The reverse mortgage is an innovation model to support the aged people. In this study, the accumulation function model of interest force with a Wiener process and a negative-binomial distribution is proposed as the basis for the reverse mortgage. With the proposed model, a lump sum pricing model, annuity pricing model, linear increasing annuity pricing model for single-life and double-lives are provided. All of the models can be improved to solve the problem that the actuarial pricing models of reverse mortgage only could be calculated by the fixed interest rate.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - N.N. Jia
AU  - H. Yang
AU  - J.B. Yang
PY  - 2015/10
DA  - 2015/10
TI  - Actuarial Pricing Models of Reverse Mortgage with the Stochastic Interest Rate
BT  - Proceedings of the 2015 International Conference on Economics, Social Science, Arts, Education and Management Engineering
PB  - Atlantis Press
SP  - 639
EP  - 642
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-15.2015.137
DO  - 10.2991/essaeme-15.2015.137
ID  - Jia2015/10
ER  -