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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.descriptionYes
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.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 science
dc.subjectBlack '76 model
dc.subjectCBD mortality models
dc.subjectEquity release
dc.subjectNo-negative equity guarantee
dc.subjectPrudential regulation
dc.titleThe valuation of no-negative equity guarantees and equity release mortgagesen_US
dc.status.refereedYes
dc.date.Accepted03/09/2019
dc.date.application05/09/2019
dc.typeArticle
dc.type.versionAccepted manuscript
dc.identifier.doihttps://doi.org/10.1016/j.econlet.2019.108669
dc.date.updated2020-01-05T11:28:49Z
refterms.dateFOA2020-01-13T15:12:26Z
dc.openaccess.statusopenAccess


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