The Effects of macroeconomic factors on pricing mortgage insurance contracts

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      <subfield code="a">Chang, Chia-Chien</subfield>
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      <subfield code="a">The Effects of macroeconomic factors on pricing mortgage insurance contracts</subfield>
      <subfield code="c">Chia-Chien Chang, Chou-Wen Wang, Chih-Yuan Yang</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Macroeconomía</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/09/2012 Volumen 79 Número 3  - septiembre 2012 , p. 867-895</subfield>
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