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The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks

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  • Ming Pu
  • Gang-Zhi Fan
  • Chunsheng Ban

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  • Ming Pu & Gang-Zhi Fan & Chunsheng Ban, 2016. "The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 447-474, June.
    • Handle: RePEc:bla:jrinsu:v:83:y:2016:i:2:p:447-474
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    References listed on IDEAS

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    5. Faisal Baluch & Stanley Mutenga & Chris Parsons, 2011. "Insurance, Systemic Risk and the Financial Crisis," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(1), pages 126-163, January.
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    8. Quigley, John M. & Van Order, Robert, 1991. "Defaults on mortgage obligations and capital requirements for U.S. savings institutions : A policy perspective," Journal of Public Economics, Elsevier, vol. 44(3), pages 353-369, April.
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    10. James Kau & Donald Keenan & Alexey Smurov, 2006. "Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 183-196, November.
    11. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    12. Leung, Charles, 2004. "Macroeconomics and housing: a review of the literature," Journal of Housing Economics, Elsevier, vol. 13(4), pages 249-267, December.
    13. Chia-Chien Chang & Chou-Wen Wang & Chih-Yuan Yang, 2012. "The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(3), pages 867-895, September.
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    18. Ming‐Chi Chen & Chia‐Chien Chang & Shih‐Kuei Lin & So‐De Shyu, 2010. "Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 399-422, June.
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    25. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(2), pages 87-102, March.
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    28. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    29. Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, issue Oct.
    30. Mei, Jianping & Lee, Ahyee, 1994. "Is There a Real Estate Factor Premium?," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 113-126, September.
    31. Sanders, Anthony, 2008. "The subprime crisis and its role in the financial crisis," Journal of Housing Economics, Elsevier, vol. 17(4), pages 254-261, December.
    32. Ashok Bardhan & Raša Karapandža & Branko Urošević, 2006. "Valuing Mortgage Insurance Contracts in Emerging Market Economies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 9-20, February.
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    Cited by:

    1. Mats Wilhelmsson & Jianyu Zhao, 2018. "Risk Assessment of Housing Market Segments: The Lender’s Perspective," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    2. Wu, Yang-Che & Huang, Yi-Ting & Lin, Shih-Kuei & Chuang, Ming-Che, 2017. "Fair valuation of mortgage insurance under stochastic default and interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 433-447.

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