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來源文獻資料
摘要
外文摘要
引文資料
題名:
我國不動產逆向抵押貸款評價
書刊名:
住宅學報
作者:
陳勤明
/
洪志興
/
李宜熹
作者(外文):
Chen, Chin-ming
/
Hung, Chih-hsing
/
Lee, Yi-hsi
出版日期:
2017
卷期:
26:1
頁次:
頁85-100
主題關鍵詞:
逆向抵押貸款
;
年金
;
Reverse mortgage
;
Annuity
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:3
不動產逆向抵押貸款(reverse mortgage, RM)制度已受到高度重視並漸為普及,文獻上對其可貸年金之評價亦多所探討,惟其評價內容多未論及RM借方抵押房產續住權價值,及其死亡時房產繼承權問題。對此,本文以我國RM方案為例,納入此二因素考量,重新分析RM之生存與死亡收益,進而評估RM的價值。經試算發現我國RM年金給付水準略為低估,但若放寬房產剩餘價值可供繼承,則又出現高估現象。進一步分析也發現,只要契約約定房產剩餘價值歸屬繼承人,則難免形成RM總給付期望價值超越抵押不動產價值之財務缺口。基於擴大參與目的,本研究認為我國RM制度仍可放寬單身(無法定繼承人)長者的申辦限制,參酌市場利率、房屋租金率等生活條件因素,來訂定合宜年金金額,至於RM主辦者所承擔的虧損風險再透過社福預算或保險機制來達到財務平衡。
以文找文
The reverse mortgage (RM) has come into focus and has become popular in alleviating the financial strain on the government and in improving the living quality of the retiring elderly. While there is a large literature on the valuation of reverse annuity mortgages (RAMs), as yet no one has considered both the value of the house while the elderly are still living and the estate and inheritance issues. This study thus aims to reevaluate the benefits of RM both for those living and after death by including the two factors. Our financial analysis finds that the current payout level in terms of an annuity is undervalued. A further evaluation shows that the RM program may result in a financial gap for the lender as the total expected payout amount exceeding the collateral value and below the surplus value of the real estate belongs to the heir. Under the reasonable pricing formula proposed by this study, the residual risk loss could be balanced out by the social welfare budget and insurance mechanisms. Therefore, we suggest that Taiwan’s RM program could relax the application restriction due to the absence of legal heirs to the existence of legal heirs in order to include the participants.
以文找文
期刊論文
1.
Hilliard, Jimmy E.、Reis, Jorge(1998)。Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot。The Journal of Financial and Quantitative Analysis,33(1),61-86。
2.
Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。
3.
Huang, H. C.、Wang, C. W.、Miao, Y. C.(2011)。Securitization of crossover risk in reverse mortgages。The Geneva Papers on Risk and Insurance: Issues and Practice,36(4),622-647。
4.
Bardhan, Ashok、Karapandža, Raša、Urošević, Branko(2006)。Valuing Mortgage Insurance Contracts in Emerging Market Economics。The Journal of Real Estate Finance and Economics,32(1),9-20。
5.
Szymanoski, Edward J.(1994)。Risk and the Home Equity Conversion Mortgage。Journal of the American Real Estate and Urban Economics Association,22(2),347-366。
6.
Boehm, T. P.、Ehrhardt, M. C.(1994)。Reverse Mortgages an Interest Rate Risk。Journal of the American Real Estate and Urban Economics Association,22(2),387-408。
7.
Hosios, A. J.、Pesando, J. E.(1991)。Measuring Prices in Resale Housing Markets in Canada: Evidence and Implications。Journal of Housing Economics,1(4),303-317。
8.
Ito, T.、Hirono, K. N.(1993)。Efficiency of the Tokyo Housing Market。Bank of Japan Monetary and Economic Studies,11(1),1-32。
9.
Kau, J. B.、Keenan, D. C.、Muller, W. J.、Epperson, J.(1995)。The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment。Journal of Real Estate Finance and Economics,11(1),5-36。
10.
Tse, Y. K.(1995)。Modelling Reverse Mortgages。Asia Pacific Journal of Management,12(2),79-95。
11.
Yang, T. T.、Buist, H. I.、Megbolugbe, F.(1998)。An Analysis of Ex-Ante Probability of Mortgage Prepayment and Default。Real Estate Economics,26(4),651-676。
12.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
13.
Chen, Hua、Cox, Samuel H.、Wang, Shaun S.(2010)。Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher Transform。Insurance: Mathematics and Economics,46(2),371-384。
14.
Kau, James B.、Keenan, Donald C.(1995)。An Overview of the Option-Theoretic Pricing of Mortgages。Journal of Housing Research,6(2),217-244。
15.
Kau, J. B.、Keenan, D. C.(1999)。Catastrophic Default and Credit Risk for Lending Institutions。Journal of Finance Services Research,15(2),87-102。
16.
Kau, James B.、Keenan, Donald C.、Muller, Walter J. III(1993)。An Option-Based Pricing Model of Private Mortgage Insurance。The Journal of Risk and Insurance,60(2),288-299。
17.
Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1992)。A Generalized Valuation Model for Fixed-Rate Residential Mortgages。Journal of Money, Credit and Banking,24(3),279-299。
18.
Lee, Ronald D.、Carter, Lawrence R.(1992)。Modeling and forecasting US mortality。Journal of the American Statistical Association,87(419),659-671。
19.
Lee, Y. T.、Wang, C. W.、Huang, H. C.(2012)。On the Valuation of Reverse Mortgages with Regular Tenure Payments。Insurance: Mathematics and Economics,51(2),430-441。
20.
Li, Johnny Siu‐Hang、Hardy, Maiy R.、Tan, Ken Seng(2010)。On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms。The Journal of Risk and Insurance,77(2),499-522。
21.
Case, K. E.、Shiller, R. J.(1989)。The Efficiency of the Market for Single-Family Homes。The American Economic Review,79(1),125-137。
會議論文
1.
Nothaft, F. E.、Gao, A. H.、Wang, G. H. K.(1995)。The Stochastic Behavior of the Freddie Mac/Fannie Mae Conventional Mortgage Home Price Index。American Real Estate and Urban Economics Association Annual Meeting。San Francisco。
2.
Ma, S.、Kim, G.、Lew, K.(2007)。Estimating Reverse Mortgage Insurer's Risk Using Stochastic Models。The Asia-Pacific Risk and Insurance Association 2007 Annual Meeting。
研究報告
1.
Ma, S. R.、Deng, Y. H.(2006)。Insurance Premium Structure of Reverse Mortgage Loans in Korea。Daegu University。
2.
Wang, L.、Valdez, E. A.、Piggott, J.(2007)。Securitization of Longevity Risk in Reverse Mortgages。University of New South Wales。
圖書
1.
Geltner, David M.、Miller, Norman G.、Clayton, Jim、Eichholtz, Piet(2014)。Commercial Real Estate Analysis and Investments。OnCourse Learning。
2.
Institute and Faculty of Actuaries(2005)。Equity Release Report Volume II: Technical Supplement-Pricing Considerations。London:Institute and Faculty of Actuaries。
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