住房反向抵押贷款的精算定价研究

摘要本文综合全面分析了住房反向抵押贷款定价模型的主要影响参数，包括无风险利率、预期剩余寿命、房屋价值波动率、房屋折旧率等。对传统的住房反向抵押贷款精算定价模型进行了修正，构建了基于利率CIR模型下的一次性支付产品和终生年金产品定价模型，通过蒙特卡洛数值分析方法模拟贷款业务期间利率游走路径来反映贷款机构开展此项业务面临的风险，得出相对较为合理的定价结果。以实例进行应用分析，并对修正后的定价模型进行敏感性分析，分析各个参数变化对贷款额度的影响。结果表明，改进模型有利于降低贷款机构面临的利率风险，提高贷款机构开展此项业务的积极性，住房反向抵押贷款产品能显著改善老年人的生活水平，减轻社会养老保障的压力。45075
[毕业论文关键词]：住房反向抵押贷款；精算模型；CIR模型
Abstract
This paper comprehensive analysis the influence factors of housing reverse mortgage loan pricing model parameters, including the non risk interest rate, the expected remaining life, the value of housing, housing depreciation rate volatility. The traditional housing reverse mortgage loan actuarial pricing model is modified, to build the interest rate under the CIR model, a one-time payment of the product and the life annuity product pricing model based on the simulation of business loans, interest rates during the migration paths to reflect the risk of loan institutions to carry out the business faced by Monte Carlo numerical analysis method, the relative reasonable pricing results. An example is the applicationanalysis,ananalysisofthe pricing model after updating, analysis of influence of each parameter change on the amount of loans. The results show that, the improved model is helpful to reduce lending institutions face interest rate risk, improve the enthusiasm of lending institutions to carry out the business, housing reverse mortgage loan products can significantlyimprove oldpeople'slife level, reducethe cial pension pressure
[Key Words]:housing reverse mortgage loan；actuarial model ;CIR model
目   录
摘要   I
Abstract   II
住房反向抵押贷款的精算定价研究   1
1绪论   1
1.1选题背景   1
1.2研究意义   1
2 住房反向抵押贷款的风险分析   2
2.1 预期剩余寿命风险   2
2.2 利率风险   3
2.3 房屋价值波动风险   3
2.4 道德风险   4
3 模型构建与应用   5
3.1 模型构建过程   5
3.1.1 模型假设   5
3.1.2模型构建   6
3.1.3模型参数的确定   7
3.2模型应用   9
4 敏感性分析   11
4.1利率敏感性分析   11
4.2 房屋价值变动率敏感度分析   11
5 结论   12
5.1本文的主要研究成果：   12
5.2本文研究的不足之处有：   12
参考文献   14
致    谢   15
附录   16
住房反向抵押贷款的精算定价研究
1绪论
1.1选题背景
人类自步入21世纪以来，信息时代揭开了新的历史篇章，全球经济迎来一轮更迅猛的发展。科学技术进步提高生活和医疗水平，人类寿命得到大大延长，老年人口的数量大幅提升。人口老龄化趋势在全球范围内迅速加快，并逐渐演化为社会经济危机。在国家养老压力大，老年人收入低下，通货膨胀严重的背景下，以房养老反向抵押贷款应运而生。它作为一种新型的养老保障模式和金融创新的工具，受到全社会的积极关注。住房反向抵押贷款的精算定价研究:http://www.youerw.com/kuaiji/lunwen_46349.html