Valuation of reverse mortgages : an empirical investigation using portuguese data
Autor(a) principal: | |
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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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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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:RCAAP2024-05-22T17:31:16Zoai:run.unl.pt:10362/32136Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T17:31:16Repositório 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 |
mluisa.alvim@gmail.com |
_version_ |
1817545628808380416 |