住房反向抵押贷款定价机制的研究

发布时间：2018-02-26 15:54

本文关键词： 定价模型住房反向抵押贷款风险因素　出处：《哈尔滨商业大学》2017年硕士论文　论文类型：学位论文

【摘要】：伴随着人口老龄化速度加快的趋势,社会养老压力逐日增加,政府支出的养老保障缺口也逐渐增大,可见传统的养老模式已经达不到退休人员日益剧增的日常需求,解决养老问题已是迫在眉睫。在国际经济一体化的时代,养老模式也存在互利共享的趋势,住房反向抵押贷款在国外早已盛行,它是一种包含房地产、保险行业、养老体制等领域引进的新兴金融产品。面对我国社会养老问题,该模式可以作为一种缓冲剂,不仅可以缓解政府对民众的养老压力,还可以直接和间接提高老年人及在岗人员的生活水平。本文结合国内外研究成果及住房反向抵押贷款产品的运行机制,重点讨论了该模式定价机制。一个金融产品能否被人们接受,其定价的合理性与科学性是其成功的关键。住房反向抵押贷款产品涉及的参与主体较多,无论侵犯了哪一个主体的利益,该产品都无法推行到金融市场中,供给与需求的双方既要保持积极性,又要规避其风险、保证产品的利大于弊,使得住房反向抵押贷款产品带来的经济效益达到最大化,真正实现其固有的价值。关于该产品的定价机制的研究,本文主要针对贷款利率、房产价值以及老年人预期寿命的风险性进行分析,结合国外开展住房反向抵押贷款产品的经验,寻找出定价中的相关因素,并对各影响因素及变量做出合理估算。同时,在综合借鉴国外三大基础定价模型的基础上,根据中国的现实情况将保险精算定价模型和涉及的变量与参数不断修正,取得更加准确的定价结果。本文研究了更具现实意义的双生命状态下的定价模型,因为在申请人的实际情况里,会存在夫妻二人共同生活的申请条件,且这种情况较为多见。研究思路主要以一次性趸领支付模型为核心,分别设立了单生命状态下的定价模型与双生命状态下的定价模型,并在预设的条件下,对以上两种定价模型进行参数估计,再分别对影响程度高的相关变量进行与定价结果相关的敏感性检验。最后,以金融发达的上海市为分析对象,通过蒙特卡罗方法对重要的变量,即利率的波动与房屋价值的波动过程进行路径模拟,检验得知住房反向抵押贷款模式的存在能够提升退休人群的晚年生活质量,老年人可以更加自由地支配其一生的收入与支出。本文的实证结果得出,无论是单生命状态还是双生命状态下,一次性趸领支付模型对贷款利率和房屋增长率的变化都非常敏感,尤其是双生命状态下的定价模型,因为其考虑的贷款期限受寿命较长者影响,在我国现行的养老环境下,这种检验结果对未来引进并实施住房反向抵押贷款产品有着不可或缺的意义。
[Abstract]:With the rapid aging of the population, the social pressure to provide for the aged increases day by day, and the gap of the old-age security of the government expenditure increases gradually. It can be seen that the traditional old-age pension model has not reached the daily needs of the retirees day by day. In the era of international economic integration, there is also a trend of mutual benefit and sharing in the pension model. Reverse mortgage loans for housing have long been prevalent in foreign countries. It is a kind of real estate and insurance industry. Introduction of emerging financial products in areas such as the pension system. In the face of social pension problems in China, this model can be used as a buffer, not only to alleviate the pressure on the government to provide for the aged to the public, It can also directly and indirectly improve the living standards of the elderly and the employed. This paper combines the domestic and foreign research results and the operating mechanism of the reverse mortgage products of housing. This paper mainly discusses the pricing mechanism of this model. Whether a financial product can be accepted by people, the rationality and scientificity of its pricing is the key to its success. No matter which main body's interests are infringed upon, the product cannot be carried out into the financial market. Both the supply and demand sides should maintain their enthusiasm and avoid their risks, so as to ensure that the advantages of the products outweigh the disadvantages. To maximize the economic benefits of the reverse mortgage products and realize their intrinsic value. On the pricing mechanism of this product, this paper mainly focuses on the loan interest rate, The value of real estate and the risk of life expectancy of the elderly are analyzed, combined with the experience of foreign countries to develop reverse mortgage products, to find out the relevant factors in pricing, and to make a reasonable estimate of the influencing factors and variables. At the same time, On the basis of synthetically drawing lessons from the three basic pricing models of foreign countries, the actuarial pricing model of insurance and the variables and parameters involved in it are revised continuously according to the reality of China. A more accurate pricing result. This paper studies a more realistic two-life pricing model, because in the case of the applicant, there will be an application condition for the couple to live together. And this kind of situation is more common. The main idea of the research is one-off payout model, the pricing model under the single life state and the pricing model under the double life state, and under the presupposition condition, the pricing model under the single life state and the double life state are set up respectively. The parameters of the two pricing models are estimated, and then sensitivity tests of the highly influential variables are carried out to test the sensitivity of the pricing results. Finally, the financial developed Shanghai is taken as the analysis object. Based on the Monte Carlo method, the path simulation of the fluctuation process of interest rate and house value is carried out, and the results show that the existence of reverse mortgage loan model can improve the quality of life of retired people in their later years. Older people can spend more freely on their lifetime income and expenditure. The empirical results of this paper show that, whether in a single life state or a dual life state, The lump-sum payment model is very sensitive to the change of the loan interest rate and the housing growth rate, especially the pricing model under the condition of double life, because the loan term considered is influenced by the older life, in the current pension environment of our country. The test results are indispensable for the introduction and implementation of reverse mortgage products in the future.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4

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