Centro de Documentación de Fundación MAPFRE - The Effects of macroeconomic factors on pricing mortgage insurance contracts

MAP20120041677

The Effects of macroeconomic factors on pricing mortgage insurance contracts / Chia-Chien Chang, Chou-Wen Wang, Chih-Yuan Yang

Sumario: Numerous empirical studies, including Abraham and Hendershott (1996), Muellbauer and Murphy (1997), Leung (2004), and Oikarinen (2009), have identified a significant relationship between housing prices and macroeconomic factors. Using a linear regression on the comovement of macroeconomic factors and housing prices, this article employs an option-pricing framework to price and hedge the fair premia of mortgage insurance (MI). Our model provides improved performance in terms of MI premium pricing, especially during periods that are characterized by high housing prices. Ignoring the impacts of macroeconomic factors on housing prices will lead to an underestimation of MI premia

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/09/2012 Volumen 79 Número 3 - septiembre 2012 , p. 867-895

1. Contrato de seguro . 2. Primas . 3. Macroeconomía . 4. Factores de riesgo . 5. Precios . 6. Viviendas . 7. Modelos predictivos . 8. Hipotecas . I. Wang, Chou-Wen . II. Yang, Chih-Yuan . III. Título.