Callable's Reverse Mortgage Product Pricing Analysis

In2013, to solve the problem of pension funding gap, the Chinese governmentput forward the policy of " Reverse Mortgage " pilot, this is the first time the Chinesegovernment on the basis of business concept proposed by the aging of the populationpolicy response, its purpose is very intuitive, people hope to set stock assets,implement a group of bourgeois public pension, in an attempt to alleviate social,especially government pension policy in the field of real pressure. However, thesuccess of this product introduction and promotion in China, actually become thecommercial success of the government pension policies advocated by the key, andthis is important to the implementation of the policy on the one hand and lies:whether a reasonable and effective for the the pricing of financial products, as well aswhether the pricing power integrated mobilize the enthusiasm of the participants ofthe business side, the intention of promoting the supply and demand sides to reachagreement, a significant background in economics ethical use of research which iscarried out in this paper.On the technical points of this thesis is concerned,selected three main factors:the remaining life of the participants, the value of the house as well as lending rates.However, the value of the property as the basis for this series of financial products,the effectiveness of a direct relationship between the prices to a reasonable predictionof the outcome of the entire pricing, so select stochastic volatility model to simulatethe future trend of prices in order to raise as much as possible about future houseprices predictive ability; lending rate as the discount rate of future value of real estate,which also has implications for the rationality of the decision model, this paperchanges the path for more than5years and lending rates of financial institutions purejump process variable volatility description; for the remaining life of the elderly,which is an important factor to consider loan term, and therefore according to Chineselife insurance industry experience periodic table, using the law of large numbers of women to the survival probability forecast.In order to solve the pricing problem of the integrated financial products, thisarticle will introduce American option pricing theory to the reverse mortgage productpricing analysis, select Shanghai in July2002to June2013the price index used assamples, respectively, two modes of payment for Lump-sum and Annuity wereconstructed early redemption of the reverse mortgage product pricing model andempirical analysis using Monte Carlo Simulation methods. Think Lump-sumfacilitates decentralized participation in the borrower’s risk, but the Annuity paymentis conducive to risk-sharing and benefit sharing, and Annuity model is more suitablefor predicting the remaining life of the longer borrowers, while for predicting residuallife short, following payment model is more reasonable. Therefore, the borrower may,according to its residual life, factors such as risk appetite to choose to suit their ownproducts to improve their life level.