本文關(guān)鍵詞： 定價(jià)模型 住房反向抵押貸款 風(fēng)險(xiǎn)因素　出處：《哈爾濱商業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：伴隨著人口老齡化速度加快的趨勢(shì),社會(huì)養(yǎng)老壓力逐日增加,政府支出的養(yǎng)老保障缺口也逐漸增大,可見傳統(tǒng)的養(yǎng)老模式已經(jīng)達(dá)不到退休人員日益劇增的日常需求,解決養(yǎng)老問題已是迫在眉睫。在國(guó)際經(jīng)濟(jì)一體化的時(shí)代,養(yǎng)老模式也存在互利共享的趨勢(shì),住房反向抵押貸款在國(guó)外早已盛行,它是一種包含房地產(chǎn)、保險(xiǎn)行業(yè)、養(yǎng)老體制等領(lǐng)域引進(jìn)的新興金融產(chǎn)品。面對(duì)我國(guó)社會(huì)養(yǎng)老問題,該模式可以作為一種緩沖劑,不僅可以緩解政府對(duì)民眾的養(yǎng)老壓力,還可以直接和間接提高老年人及在崗人員的生活水平。本文結(jié)合國(guó)內(nèi)外研究成果及住房反向抵押貸款產(chǎn)品的運(yùn)行機(jī)制,重點(diǎn)討論了該模式定價(jià)機(jī)制。一個(gè)金融產(chǎn)品能否被人們接受,其定價(jià)的合理性與科學(xué)性是其成功的關(guān)鍵。住房反向抵押貸款產(chǎn)品涉及的參與主體較多,無論侵犯了哪一個(gè)主體的利益,該產(chǎn)品都無法推行到金融市場(chǎng)中,供給與需求的雙方既要保持積極性,又要規(guī)避其風(fēng)險(xiǎn)、保證產(chǎn)品的利大于弊,使得住房反向抵押貸款產(chǎn)品帶來的經(jīng)濟(jì)效益達(dá)到最大化,真正實(shí)現(xiàn)其固有的價(jià)值。關(guān)于該產(chǎn)品的定價(jià)機(jī)制的研究,本文主要針對(duì)貸款利率、房產(chǎn)價(jià)值以及老年人預(yù)期壽命的風(fēng)險(xiǎn)性進(jìn)行分析,結(jié)合國(guó)外開展住房反向抵押貸款產(chǎn)品的經(jīng)驗(yàn),尋找出定價(jià)中的相關(guān)因素,并對(duì)各影響因素及變量做出合理估算。同時(shí),在綜合借鑒國(guó)外三大基礎(chǔ)定價(jià)模型的基礎(chǔ)上,根據(jù)中國(guó)的現(xiàn)實(shí)情況將保險(xiǎn)精算定價(jià)模型和涉及的變量與參數(shù)不斷修正,取得更加準(zhǔn)確的定價(jià)結(jié)果。本文研究了更具現(xiàn)實(shí)意義的雙生命狀態(tài)下的定價(jià)模型,因?yàn)樵谏暾?qǐng)人的實(shí)際情況里,會(huì)存在夫妻二人共同生活的申請(qǐng)條件,且這種情況較為多見。研究思路主要以一次性躉領(lǐng)支付模型為核心,分別設(shè)立了單生命狀態(tài)下的定價(jià)模型與雙生命狀態(tài)下的定價(jià)模型,并在預(yù)設(shè)的條件下,對(duì)以上兩種定價(jià)模型進(jìn)行參數(shù)估計(jì),再分別對(duì)影響程度高的相關(guān)變量進(jìn)行與定價(jià)結(jié)果相關(guān)的敏感性檢驗(yàn)。最后,以金融發(fā)達(dá)的上海市為分析對(duì)象,通過蒙特卡羅方法對(duì)重要的變量,即利率的波動(dòng)與房屋價(jià)值的波動(dòng)過程進(jìn)行路徑模擬,檢驗(yàn)得知住房反向抵押貸款模式的存在能夠提升退休人群的晚年生活質(zhì)量,老年人可以更加自由地支配其一生的收入與支出。本文的實(shí)證結(jié)果得出,無論是單生命狀態(tài)還是雙生命狀態(tài)下,一次性躉領(lǐng)支付模型對(duì)貸款利率和房屋增長(zhǎng)率的變化都非常敏感,尤其是雙生命狀態(tài)下的定價(jià)模型,因?yàn)槠淇紤]的貸款期限受壽命較長(zhǎng)者影響,在我國(guó)現(xiàn)行的養(yǎng)老環(huán)境下,這種檢驗(yàn)結(jié)果對(duì)未來引進(jìn)并實(shí)施住房反向抵押貸款產(chǎn)品有著不可或缺的意義。
[Abstract]:With the rapid aging of the population, the social pressure to provide for the aged increases day by day, and the gap of the old-age security of the government expenditure increases gradually. It can be seen that the traditional old-age pension model has not reached the daily needs of the retirees day by day. In the era of international economic integration, there is also a trend of mutual benefit and sharing in the pension model. Reverse mortgage loans for housing have long been prevalent in foreign countries. It is a kind of real estate and insurance industry. Introduction of emerging financial products in areas such as the pension system. In the face of social pension problems in China, this model can be used as a buffer, not only to alleviate the pressure on the government to provide for the aged to the public, It can also directly and indirectly improve the living standards of the elderly and the employed. This paper combines the domestic and foreign research results and the operating mechanism of the reverse mortgage products of housing. This paper mainly discusses the pricing mechanism of this model. Whether a financial product can be accepted by people, the rationality and scientificity of its pricing is the key to its success. No matter which main body's interests are infringed upon, the product cannot be carried out into the financial market. Both the supply and demand sides should maintain their enthusiasm and avoid their risks, so as to ensure that the advantages of the products outweigh the disadvantages. To maximize the economic benefits of the reverse mortgage products and realize their intrinsic value. On the pricing mechanism of this product, this paper mainly focuses on the loan interest rate, The value of real estate and the risk of life expectancy of the elderly are analyzed, combined with the experience of foreign countries to develop reverse mortgage products, to find out the relevant factors in pricing, and to make a reasonable estimate of the influencing factors and variables. At the same time, On the basis of synthetically drawing lessons from the three basic pricing models of foreign countries, the actuarial pricing model of insurance and the variables and parameters involved in it are revised continuously according to the reality of China. A more accurate pricing result. This paper studies a more realistic two-life pricing model, because in the case of the applicant, there will be an application condition for the couple to live together. And this kind of situation is more common. The main idea of the research is one-off payout model, the pricing model under the single life state and the pricing model under the double life state, and under the presupposition condition, the pricing model under the single life state and the double life state are set up respectively. The parameters of the two pricing models are estimated, and then sensitivity tests of the highly influential variables are carried out to test the sensitivity of the pricing results. Finally, the financial developed Shanghai is taken as the analysis object. Based on the Monte Carlo method, the path simulation of the fluctuation process of interest rate and house value is carried out, and the results show that the existence of reverse mortgage loan model can improve the quality of life of retired people in their later years. Older people can spend more freely on their lifetime income and expenditure. The empirical results of this paper show that, whether in a single life state or a dual life state, The lump-sum payment model is very sensitive to the change of the loan interest rate and the housing growth rate, especially the pricing model under the condition of double life, because the loan term considered is influenced by the older life, in the current pension environment of our country. The test results are indispensable for the introduction and implementation of reverse mortgage products in the future.
【學(xué)位授予單位】：哈爾濱商業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.4

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