Fair valuation of mortgage insurance under stochastic default and interest rates

Wu Yang-Che; Huang Yi-Ting; Lin Shih-Kuei; Chuang Ming-Che

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Fair valuation of mortgage insurance under stochastic default and interest rates

机译：随机违约和利率下抵押贷款保险的公平估值

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摘要

Unlike most studies in the literature, in this study, we incorporate three main factors into the pricing method of mortgage insurance: interest rate, housing price, and hazard rate (default risks). The empirical analysis highlighted that the interest rate and housing price are positively correlated during July 2004 to November 2016 because of the monetary policy over this period. Subsequently, in the risk-neutral pricing framework, mortgage insurance of the fixed-rate mortgage is priced using a Monte Carlo simulation approach. The sensitivity analysis indicated that interest rate, housing price, and default rate are important factors for mortgage insurance. Moreover, because our model can measure the risks of the interest rate and hazard rate, insurance companies can use this model to price mortgage insurance to avoid a condition in which the insurance company does not have sufficient reserves to support compensation. (C) 2017 Elsevier Inc. All rights reserved.

机译：与文献中的大多数研究不同，在这项研究中，我们将三个主要因素纳入抵押保险的定价方法：利率，住房价格和风险率（违约风险）。实证分析强调，由于这一时期的货币政策，利率和房价在2004年7月至2016年11月之间呈正相关。随后，在风险中性定价框架中，使用蒙特卡洛模拟方法对固定利率抵押贷款的抵押保险进行定价。敏感性分析表明，利率，房价和违约率是抵押保险的重要因素。此外，因为我们的模型可以测量利率和风险率的风险，所以保险公司可以使用该模型对抵押保险定价，以避免保险公司没有足够的准备金来支持赔偿的情况。（C）2017 Elsevier Inc.保留所有权利。

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来源
《The North American journal of economics and finance》 |2017年第11期|433-447|共15页
作者
Wu Yang-Che; Huang Yi-Ting; Lin Shih-Kuei; Chuang Ming-Che;
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作者单位

Feng Chia Univ, Dept Finance, Taichung, Taiwan;

Taiwan Acad Banking & Finance, Taipei, Taiwan;

Natl Chengchi Univ, Dept Money & Banking, Taipei, Taiwan;

Natl Chengchi Univ, Dept Money & Banking, Taipei, Taiwan;

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正文语种 eng
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关键词
Mortgage insurance; Stochastic default rate; Loan-to-value;

机译：抵押保险;随机违约率;贷款至价值;

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3. An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options [J] . Nicholas J. Sharp, David P. Newton, Peter W. Duck The Journal of real estate finance and economics . 2008,第3期

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5. Macroeconomic implications of consumer default policies, mortgage bailout guarantees & unemployment insurance. [D] . Mitman, Kurt E. 2014

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Fair valuation of mortgage insurance under stochastic default and interest rates

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