The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks
扩展了期权定价方法，将抵押品价格波动分为异质性和系统性两部分，研究抵押贷款违约聚集、资产池分散化效应及保险人信息优势对保费定价的影响。
Abstract The recent financial crisis has posed new challenges to the pricing issue of mortgage insurance premiums. By extending an option‐based approach to this pricing issue, we attempt to tackle several key challenges including the clustering of mortgage defaults, the diversification effect of underlying property pools, and mortgage insurers' information advantages. Our model partitions the volatility of collateralized property prices into idiosyncratic volatility and systematic volatility. Our results demonstrate that although the rising number of pooled mortgage loans can reduce the volatility of average default losses, the increasing correlation between the collateralized properties can lead to the volatility clustering of these losses.