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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/64936

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64936

Title:	Estimation of Housing Price Jump Risks and Impact on the Valuation of Mortgage Insurance Contacts
Authors:	Chen, Ming-Chi;Chang, Chia-Chien;Lin, Shih-Kuei;Shyu, D. 林士貴
Contributors:	金融系
Date:	2010.06
Issue Date:	2014-03-27 10:00:32 (UTC+8)
Abstract:	Housing price jump risk and the subprime crisis have drawn more attention to the precise estimation of mortgage insurance premiums. This study derives the pricing formula for mortgage insurance premiums by assuming that the housing price process follows the jump diffusion process, capturing important characteristics of abnormal shock events. This assumption is consistent with the empirical observation of the U.S. monthly national average new home returns from 1986 to 2008. Furthermore, we investigate the impact of price jump risk on mortgage insurance premiums from shock frequency of the abnormal events, abnormal mean and volatility of jump size, and normal volatility. Empirical results indicate that the abnormal volatility of jump size has the most significant impact on mortgage insurance premiums.
Relation:	Journal of Risk and Insurance,77(2), 399-422
Data Type:	article
DOI link:	http://dx.doi.org/10.1111/j.1539-6975.2009.01326.x
DOI:	10.1111/j.1539-6975.2009.01326.x
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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