The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index

房價循環下不動產抵押貸款保險之評價：房價指數之實證

10.6545/JFS.2012.20(3).3

林士貴(Shih-Kuei Lin)；蔡怡純(I-Chun Tsai)；陳明吉(Ming-Chi Chen)；莊明哲(Ming-Che Chuang)

報酬不對稱 ； EM演算法 ； 房價指數 ； 馬可夫狀態轉換模型 ； 不動產抵押貸款保險契約 ； 波動叢集 ； Asymmetry ； expectation-maximization algorithm ； housing price index ； Markov regime-switching model ； mortgage insurance contracts ； volatility clustering

財務金融學刊

20卷3期（2012 / 09 / 30）

49 - 70

英文

不動產抵押貸款保險係指保險公司支付給遭受違約之貸款銀行一筆有上限補償金之保險契約。由於房價指數報酬具有房價循環、報酬不對稱與波動叢集等性質，Black-Scholes模型不適用於訂定保險價格，因此本研究利用馬可夫狀態轉換模型來更精確地描述房價報酬之性質並計算保費。最後，敏感度分析指出房價循環為影響不動產抵押貸款保險價格之重要因素。

Mortgage insurance (MI) is a contract under which an insurance company has an upper limit to compensate the default losses of mortgage banks or investors. Previous studies evaluate the MI premium under the Black-Scholes framework. However, the returns of the HPI exhibit housing price cycles, asymmetry and volatility clustering. In this paper, we utilize the Markov regime-switching framework which is more suitable than Black-Scholes model to address these characteristics of return. Finally, based on the sensitivity analysis, the housing price cycles of the HPI return is an important factor that influences MI premiums.

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