The Effects of macroeconomic factors on pricing mortgage insurance contracts

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<title>Effects of macroeconomic factors on pricing mortgage insurance contracts</title>
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<namePart>Yang, Chih-Yuan</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Chia-Chien Chang, Chou-Wen Wang, Chih-Yuan Yang</note>
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<topic>Contrato de seguro</topic>
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<topic>Primas</topic>
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<topic>Macroeconomía</topic>
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<topic>Factores de riesgo</topic>
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<topic>Precios</topic>
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<topic>Viviendas</topic>
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<topic>Modelos predictivos</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
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<text>03/09/2012 Volumen 79 Número 3  - septiembre 2012 , p. 867-895</text>
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