隨著低死亡率及低生育率的影響且伴隨著人口老化的問題，在台灣退休準備金不足已是個嚴重且急迫的議題，加上台灣老年人口的高自有住宅率，反向抵押房屋貸款可視為除了國民年金、企業退休金、個人儲蓄等傳統退休金來源之外，另一項新的退休金來源。本篇研究主要去建立一個考慮配偶間死亡率相關的連生反向抵押房屋貸款評價模型，文中使用Lee-Carter模型配適真實死亡率資料，利用關聯結構(Copula)計算各年齡配偶間的聯合存活機率，再經由自我回歸整合移動平均(ARIMA)模型配適信義房價指數，接下來利用蒙地卡羅模擬、Wang轉換和條件Esscher轉換去評價無追索權的連生反向抵押房屋貸款的價值，本研究發現若忽略死亡率具相關性會導致商品價值被低估。 Because of low mortality rates and decreased fertility, as well as the subsequent increased aging problem, insufficient pensions have become a serious issue in Taiwan. Besides, the high home ownership rate for elders in Taiwan is the other reason that regard reverse mortgage as a new resource option for retirement except for tradition resources, such as public and private pensions, commercial annuities, individual savings and investments. The purpose of this paper is build a modeling and pricing framework, which consider the correlation between spouses’ mortality, to assess a suitable value of reverse mortgage. We propose Lee-Carter model to fit the actually mortality data, use copula approach to measure the joint survival probability at each age and model the house price index via ARIMA process. We employ the conditional Esscher transform to price the non-recourse provision of joint-live reverse mortgages by using Monte Carlo simulation with Antithetic variance reduction.
