Valuation of reverse mortgages : an empirical investigation using portuguese data

Detalhes bibliográficos
Autor(a) principal: Gonçalves, Ana Cristina Santos
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/32136
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Valuation of reverse mortgages : an empirical investigation using portuguese dataReverse MortgageMortgagesEquity ReleaseLee-Carter ModelTermination ModelVector Auto-Regressive ModelRisk-Based CapitalDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThe increase of the average lifetime and the consequent population ageing is a growing reality in many countries, mainly due to the healthcares advancements and to the better living conditions in general. Portugal is not an exception and the need for long-term care services and their financing is raising. Reverse mortgages were originally conceived to assist retirees with limited income, to use their accumulated real wealth to cover daily living expenses and/or pay for health care. Considering the low-income level of most Portuguese retirees and the comparatively high levels of home ownership, the aim of this paper is to discuss the valuation of standard reverse mortgages contracts in Portugal using a stochastic approach for both biometric and financial risk factors. A vector autoregressive model is used to simulate the joint dynamics of economic variables like house price index, gross domestic product, consumer price index, mortgage rates and euro area yields. A stochastic mortality model (Poisson Lee-Carter age-period model) is used to project future mortality rates and to derive dynamic lifetables projections for the Portuguese population. All these results are used to calculate the reverse mortgage model and simulate results in different scenarios considering changes in relevant variables: initial borrower's age, initial house price, mortality rates, borrowing ratio, loan to value percentage and interest rate on the loan. The expected payoffs are compared and riskiness of the different scenarios is assessed using Value-at-Risk and Conditional Value-at-Risk.Bravo, Jorge Miguel VenturaRUNGonçalves, Ana Cristina Santos2018-03-09T16:22:10Z2018-02-232018-02-23T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32136TID:201868113enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:17:54Zoai:run.unl.pt:10362/32136Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:49.519856Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Valuation of reverse mortgages : an empirical investigation using portuguese data
title Valuation of reverse mortgages : an empirical investigation using portuguese data
spellingShingle Valuation of reverse mortgages : an empirical investigation using portuguese data
Gonçalves, Ana Cristina Santos
Reverse Mortgage
Mortgages
Equity Release
Lee-Carter Model
Termination Model
Vector Auto-Regressive Model
Risk-Based Capital
title_short Valuation of reverse mortgages : an empirical investigation using portuguese data
title_full Valuation of reverse mortgages : an empirical investigation using portuguese data
title_fullStr Valuation of reverse mortgages : an empirical investigation using portuguese data
title_full_unstemmed Valuation of reverse mortgages : an empirical investigation using portuguese data
title_sort Valuation of reverse mortgages : an empirical investigation using portuguese data
author Gonçalves, Ana Cristina Santos
author_facet Gonçalves, Ana Cristina Santos
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Gonçalves, Ana Cristina Santos
dc.subject.por.fl_str_mv Reverse Mortgage
Mortgages
Equity Release
Lee-Carter Model
Termination Model
Vector Auto-Regressive Model
Risk-Based Capital
topic Reverse Mortgage
Mortgages
Equity Release
Lee-Carter Model
Termination Model
Vector Auto-Regressive Model
Risk-Based Capital
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2018
dc.date.none.fl_str_mv 2018-03-09T16:22:10Z
2018-02-23
2018-02-23T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/32136
TID:201868113
url http://hdl.handle.net/10362/32136
identifier_str_mv TID:201868113
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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