论文标题
股权抵押贷款中的定价和对冲无负股权保证
Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages
论文作者
论文摘要
我们使用离散时间模型为在权益释放抵押贷款（ERMS）或反向抵押贷款中发现的无负股权保证（NNEG）的定价和对冲提供了实用的超级策略。与许多关于NNEG和行业实践的论文相反，我们在不完整的市场环境中工作，因此在大多数定价措施下，死亡和房地产价格并非独立。我们给出理论上的结果和数值插图，以表明市场完整性的假设导致Nneg的大量低估。通过引入过量的再保险资产，我们表明，可以降低ERMS投资组合的超越成本，而随着投资组合中的生活数量的增加，平均成本迅速下降。除现金外，所有的对冲资产都有一年的期限，使得从非处方衍生产品提供商提供的物业对冲资产更现实。我们概述了如何建立实用的多个周期定价和对冲模型。尽管该模型确定的价格将高于完整性假设下的价格，但它们的价格大大低于英国审慎监管机构规定的同等价值测试。
We provide a practical superhedging strategy for the pricing and hedging of the No-Negative-Equity-Guarantee (NNEG) found in Equity-Release Mortgages (ERMs), or reverse mortgages, using a discrete-time model. In contrast to many papers on the NNEG and industry practice we work in an incomplete market setting so that deaths and property prices are not independent under most pricing measures. We give theoretical results and numerical illustrations to show that the assumption of market completeness leads to a considerable undervaluation of the NNEG. By introducing an Excess-of-Loss reinsurance asset, we show that it is possible to reduce the cost of the superhedge for a portfolio of ERMs with the average cost decreasing rapidly as the number of lives in the portfolio increases. All the hedging assets, with the exception of cash, have a term of one year making the availability of a property hedging asset from over-the-counter derivative providers more realistic. We outline how a practical multi-period ERM pricing and hedging model can be built. Although the prices identified by this model will be higher than prices under the completeness assumption, they are considerably lower than those under the Equivalent Value Test mandated by the UK's Prudential Regulatory Authority.
