一类随机利率下的反向抵押贷款定价模型.pdfVIP

论 文 摘 要 反向抵押贷款起源于欧美发达国家，是为了提高老年人生活品质，保障老年 人生活而兴起的一种金融产品。主要涉及房地产评估、利率变化、寿命预期、社 会观念以及金融市场发展等多方面因素的影响。经过多年的发展，反向抵押贷款 的模式日趋完善，本文主要从给我国国情出发，研究在随机利率下的反向抵押贷 款的定价和风险评估。 不管从对老年人晚年生活负责，还是从减轻社会养老压力的角度。发展有效 的养老保障方式，对于弥补社会保障的不足，改善老年人生活状况，提高老年人 生活质量具有积极的意义。而住房的反向抵押贷款是一种成功的模式，值得我们 进行深入的探讨。尤其是在当今经济形式多样，变数增加，随机利率的条件下， 研究反向抵押贷款，具有更为重要的意义。 国内外现有的的文献和研究成果来看，从以房产价值开始了各种定价模型， 如基于房产定价模型、基于固定利率模型、基于预期寿命的定价模型。由于这项 业务涉及到了利率和寿命等因素，由此发展了反向抵押贷款的精算定价模型，但 是以上的研究都是基于固定利率来做的。本文的主要研究成果就是在随机利率下 对反向抵押贷款进行了定价，并且对多生命的情况进行了讨论。由于反向抵押贷 款兴起时间不长，并且在中国并没有完全开展开来，本文旨在做一个学术行的讨 论，在反向抵押贷款定价上进行一系列的理论研究。 关键词：反向抵押贷款，随机利率，定价评估，风险，房地产 ABSTRACT Reverse mortgage loans originated in Europe and the United States developed countries, is to improve the quality of life for the elderly, protect the lives of older persons and the rise of a financial product. Mainly related to real estate appraisal, changes in interest rates, was ordered to expectations, social attitudes and financial market development, the impact of various factors. After years of development, the reverse pattern of maturing mortgages, the paper mainly to Chinas national conditions, to study the stochastic interest rate reverse mortgage pricing and risk assessment. Whether from old age for the elderly, or pension from the social pressure to reduce the angle. Development of effective old-age security, is critical for make up for inadequate social security, improving their living conditions, improve the quality of life for the elderly has a positive meaning. The housing of reverse mortgage is a successful model, worthy of our in-depth discussion. Especially in todays economy diversified, variable increase in interest rates were studied under the reverse mortgage has more significance. Existing domestic and foreign literature and r