Research On The Risk Of Housing Reverse Mortgage With The Stochastic Interest Rate

With our country entering aging stage,our country and society are facing pressure of economy.It is urgent to find a new way to support the old people.As a financial innovation,reverse mortgage can be a good solution to the problem.The key to reverse mortgage being successfully put into practice lies in a proper way to price the product.The pricing of the reverse mortgage is affected by many factors,i.e.the house value,expected residual life and loan interest rate,in reality,promoting of this policy to our motherland encounters numerous difficulties and complications,i.e.,the risk identification and assessment is one of the several essential issues that must be addressed very carefully.In this paper,the risk of housing reverse mortgage with the stochastic interest rate were studied.Firstly,from the trend of current aging population illustrate the background information meaning and the study state of this work.Summarize the basic structure of the paper,introduce the meaning of housing reverse mortgage and the relevant theoretical basis,put forward the basis framework of this paper.Secondly,according to the analysis and studied the theories of the risk of housing reverse mortgage,the theoretical of mortgage,and analyzed the characteristics of the concept of reverse mortgages;carried out the risk of the reverse mortgages,the main factors affecting life expectancy risk,interest rate risk and house value risk were analyzed.Thirdly,to solve the problem that the traditional basic actuarial pricing model only could be calculated by the fixed interest rate,standard Wiener process and Poisson process united built the accumulation function of interest force,analyzed the models by using experiential mortality table,the assumption for the age at death was given,and deduced death force evenly distributed(short for UDD)with the assumption of the housing reverse mortgage pricing model then with the stochastic interest rate.Fourthly,in the numerical simulation,the initial values of parameter were set up by collecting data,and Matlab was used to calculate the original pricing models with the UDD assumption,the results showed that the loan values of standard Wiener process and Poisson process united built pricing models were higher than that of pricing models with the traditional model,that is the double stochastic process would be more attractive to borrowers.The influence on the loan due to the change of different parameters for the actuarial pricing models with the stochastic interest rate,concluded that the loan interest rates was more sensitive than average grows rate and depreciation rate of the house value and increasing pension model are greatly influenced by the loan interest rate,state that the constructed models conforms to the actual situation and has extensive practical application value.