主 题：Breakeven Determination of Loan Limits for Reverse Mortgages under Information Asymmetry主讲人：蒲明 副教授
主持人：经济数学学院 王琪博士
时 间：2013年11月26日（星期二）下午4:00
地 点：柳林校区颐德楼H103
主办单位：经济数学学院 科研处
主讲人简介：
蒲明博士，保险学院副教授。1995-1999年在四川大学数学系基地班学习（基础数学），1999-2001年在四川大学研究生院读硕士（计算数学），2001-2007年在美国俄亥俄州立大学数学系读博士（数理金融），2008至今先后在西南财经大学经管院和保险学院任教。近年来，在《Journal of Real Finance and Economics》（外B级）、《经济研究参考》、《华东经济管理》国内外重要学术期刊发表论文多篇。
内容提要：
Since the loan limit of a reverse mortgage is a major concern for the borrower as well as the lender, this paper attempts to develop an option-based model to evaluate the loan limits of reverse mortgages. Our model can identify several crucial determinants for reverse mortgage loan limits, such as initial housing price, expected housing price growth, house volatility, mortality distribution, and interest rates. We also pay special attention to the important implication of mortgage lenders’ informational advantage on housing market risk. In reverse mortgage markets, the elderly borrowers typically hold far less or no information about the characteristics associated with the lenders’ underlying property pools, compared with the lenders. Such information asymmetry leads these two categories of market participants to generate different perspectives on the risk of the collateralized properties, which can be identified to be important in determining the maximum loan amounts of reverse mortgages. We further find that the maximum loan amount of a reverse mortgage decreases in the correlation between the systematic return and the return on its underlying housing property but increases with the number of the pooled reverse mortgages.
