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- W3016825169 abstract "This paper studies various types of mortgage insurance contract which show different series of mortgage cash flow. The valuations of such contracts are expressed by analytical pricing formulas with the disposal cost and price discount incurred in repossessing and selling collaterals. The dynamics of housing price is assumed to follow a mean-reverting Lévy process. Sensitivity analysis shows that initial housing price and coverage rate, mean-reverting rate, and characteristics of individual housing price all play important roles in valuing MI contracts. Two actual costs increase the premium of MI contracts." @default.
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- W3016825169 date "2020-08-01" @default.
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- W3016825169 title "Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process" @default.
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- W3016825169 doi "https://doi.org/10.1016/j.physa.2020.124561" @default.
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