역모기지 조기상환율의 확률적 모델링에 관한 연구

This study deals with the subject of reverse mortgage prepayment rate, which has been rarely investigated into so far. Although a few researches on reverse mortgage termination rate has been done in countries like US where reverse mortgage prevails, these ones have the limitation of not discriminating the two causes that bring about reverse mortgage termination, user's death and prepayment. On the other hand, the need to tell the two causes apart is emphasized in this study, and the main focus afterward is being laid on modelling reverse mortgage prepayment rate. To achieve the research goals, real data from Korean publicly-insured reverse mortgage program, called Jutaekyeongum and other public open data were constructed properly to identify (through some statistical method) individualistic and macroeconomic variables which sway prepayment rate. Also, based on this analysis result, a new way of modelling reverse mortgage prepayment rate interworking with stochastic movements in accumulated housing price and average interest gap(between reverse mortgage interest rate and national mortgage interest rate) simultaneously is suggested. The modelling method proposed in this research is applicable both in risk assessment for reverse mortgage insurance and in valuation of reverse mortgage backed security which is anticipated to be a critical issue shortly.