Annuity Pricing and Financial Risk Analysis of Reverse Mortgage in Taiwan

[[abstract]]由於平均餘命的增加，使得老年人需要準備更多的退休金。逆向不動產抵押貸款增加老年人晚年生活收入。而逆向不動產抵押貸款的發行機構主要面臨房價風險及利率風險。本研究以蒙地卡羅模擬法模擬房價風險、利率風險，求算出每期年金及下方風險5%下之最大可能損失值。結果顯示波動度、房價因子、利率因子，對逆向不動產抵押貸款發行單位之損益有影響。[[abstract]]The lengthening of life expectancy have caused seniors to need more retirement income Reverse mortgages enable elderly homeowners to generate income However the two main risks that reverse mortgage providers face are house price risk and interest rate risk With consideration of housing price risk and interest rate risk we use a Monte Carlo simulation method to calculate annual annuity payment and 5% Value at Risk The numerical results indicate that the profit and loss of reverse mortgage providers is influenced by impacts of volatilities housing price shock and interest rat