Study on the Pricing of Mortgage Default Insurance based on Options

Cen Zhao

doi:10.6981/FEM.202412_5(12).0027

Authors

Cen Zhao

DOI:

https://doi.org/10.6981/FEM.202412_5(12).0027

Keywords:

Mortgage Default Insurance; Option Pricing; Default Loss; Systemic Risk; Asset Portfolio.

Abstract

In the process of improving the mortgage default insurance system, the conclusion of an insurance contract and the setting of premiums are undoubtedly crucial issues. Currently, the close cooperation between banks and insurance companies in China has provided favorable external conditions for research on mortgage insurance pricing. However, most of the existing research on mortgage default insurance pricing in China has not fully considered the impact of fluctuations in the value of mortgaged properties on insurance pricing. This paper conducts a detailed study of the pricing methods and process of mortgage default insurance, offering an option-based pricing solution and providing a theoretical basis for relevant policymakers.

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References

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