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Document type:
Zeitschriftenaufsatz 
Author(s):
Kolbe, A.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Valuation of Reverse Mortgages under (limited) Default Risk 
Abstract:
In this paper we develop a consistent valuation framework for reverse mortgages based on reduced-formintensity models as used in credit risk modelling. Within our modelling framework we explicitly calculate the probability that the total loan amount exceeds the house value at ter- mination of the contract and derive the maximum payment(s) which can be made to the homeowner under certain constraints. We apply our results to data from the German market and discuss implications for the design of re...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
European Journal of Finance 
Journal listet in FT50 ranking:
nein 
Year:
2010 
Journal volume:
16 
Journal issue:
Pages contribution:
305-327 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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