The Analysis Of Profits And The Annuity About Implementing Reverse Mortgage In Taiwan
Date Issued
2014
Date
2014
Author(s)
Wu, Yue-Shan
Abstract
The study mainly discusses about implementing the reverse mortgage system in Taiwan recently as the background, and researches on the perspective of the reverse mortgage companies who will encounter several risks, such as the longevity risk, the interest rate risk and the house price risk. Therefore, by respectively applying Lee-Carter model, CIR model and ARMA-GARCH model, three dynamic random variables are able to easily predict in the future period time while the Monte Carlo simulation method are primarily used in this research. Furthermore, three predicted random variables in the specific point of time in the future are able be added to our reverse mortgage model which is designed to calculating the profits of the companies and the amount of the reverse mortgage annuity with the amount allocated for each payment. Moreover, discussing the degree of changes of the interest rates, the average number of years of life expectancy and the house prices, individually affect the profit and annuity payment of reverse mortgage. Finally, using the house prices linked to the interest rates, which seems closer to the actual state of the situation, to discuss the changes of the profit levels of the reverse mortgage and the commitment level annuity payments. During the house prices correlated the interest rate risk factor, we can observe whether both of the sensitivity of profits and annuities increase when the mutual interaction of the two risk factors in the study.
Subjects
逆向房貸
利率風險
房屋價格風險
蒙地卡羅模擬
SDGs
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-103-R01723064-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):2281a484c4b35e9297df79fe020aa0fc