Reverse Mortgages: Contracting and Crossover Risk
开发了一个反向抵押贷款定价模型，借款人可选择一次性或年金方式收款，贷款余额随房价累积。模型评估了贷款余额超过房价时的违约交叉风险，并比较了寿险合同和证券化作为二级市场渠道的优劣。
A pricing model is developed for a reverse mortgage contract where the borrower receives payments either as a lump sum or in an annuity while the loan balance accumulates as a claim against the house. No underwriting criteria on income are applied. One risk of default is that the borrower will remain in the house after the negatively amortizing loan balance exceeds the value of the house. An explicit pricing model of the reverse mortgage permits the evaluation of this default “crossover” option. Alternative methods involving life insurance contracts and securitization are compared as secondary market channels.