English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 95844/126434 (76%)
Visitors : 31545066      Online Users : 424
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/112017

    Title: Valuation of mortgage insurance contracts with counterparty default risk: Reduced-form approach
    Authors: Chang, Chia-Chien
    Contributors: 風險管理與保險系
    Keywords: Correlated defaults;counterparty default risk;mortgage insurance premium structures;reduced-form model
    Date: 2014
    Issue Date: 2017-08-17 15:47:10 (UTC+8)
    Abstract: In the recent subprime mortgage crisis, which has caused banks and insurance companies to go bankrupt or into acquisition, the lender and insurer have exhibited not only correlated defaults when exposed to common risk factors but also counterparty default risk, which is triggered by mortgage defaults. Given the correlated defaults and the counterparty default risk, we use the reduced-form approach to derive the closed-form formulas of mortgage insurance contracts with premium refunds, annual premiums and upfront premiums. Regardless of the nature of the premium structures, the numerical analysis with parameter calibration demonstrates that both the correlated defaults and the counterparty default risk significantly impact mortgage insurance premiums, particularly in long-term mortgage loans. Copyright © ASTIN Bulletin 2014.
    Relation: ASTIN Bulletin, 44(2), 303-334
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1017/asb.2014.4
    DOI: 10.1017/asb.2014.4
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback