Valuation of no-negative-equity guarantees with a lower reflecting barrier

If the general level of house prices falls a long way, policymakers may introduce new policies which seek to support prices. This paper considers the effect of such interventions on the valuation of no-negative-equity guarantees (NNEG) in equity release mortgages. I model interventions by a reflecti...

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Veröffentlicht in:	Annals of actuarial science 2021-03, Vol.15 (1), p.115-143
1. Verfasser:	Thomas, R. Guy
Format:	Artikel
Sprache:	eng
Schlagworte:	Actuarial science Central banks Equity Hedging Housing prices Intervention Put & call options Reverse mortgages Valuation
Online-Zugang:	Volltext
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