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dc.contributor.authorDowd, K.
dc.contributor.authorBuckner, D.
dc.contributor.authorBlake, D.
dc.contributor.authorFry, John
dc.date.accessioned2020-01-05T11:28:48Z
dc.date.accessioned2020-01-13T15:12:00Z
dc.date.available2020-01-05T11:28:48Z
dc.date.available2020-01-13T15:12:00Z
dc.date.issued2019-11
dc.identifier.citationDowd K, Buckner D, Blake D et al (2019) The valuation of no-negative equity guarantees and equity release mortgages. Economics Letters. 184: 108669.en_US
dc.identifier.urihttp://hdl.handle.net/10454/17567
dc.descriptionYesen_US
dc.description.abstractWe outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5, M6 and M7 mortality versions of the Cairns–Blake–Dowd (CBD) family of mortality models. Results indicate that the valuations of No-Negative Equity Guarantees are high relative to loan amounts and subject to considerable model risk but that the valuations of Equity Release Mortgage loans are robust to the choice of mortality model. Results have significant ramifications for industry practice and prudential regulation.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.econlet.2019.108669en_US
dc.rights© 2019 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.en_US
dc.subjectActuarial scienceen_US
dc.subjectBlack '76 modelen_US
dc.subjectCBD mortality modelsen_US
dc.subjectEquity releaseen_US
dc.subjectNo-negative equity guaranteeen_US
dc.subjectPrudential regulationen_US
dc.titleThe valuation of no-negative equity guarantees and equity release mortgagesen_US
dc.status.refereedYesen_US
dc.date.Accepted2019-09-03
dc.date.application2019-09-05
dc.typeArticleen_US
dc.date.EndofEmbargo2021-03-06
dc.type.versionAccepted manuscripten_US
dc.description.publicnotesThe full-text of this article will be released for public view at the end of the publisher embargo on 06 Mar 2021.en_US
dc.date.updated2020-01-05T11:28:49Z
refterms.dateFOA2020-01-13T15:12:26Z


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