Hipoteca inversa: impacto del riesgo de longevidad en el caso español

  1. D. Atance 1
  2. A. Debón 2
  3. I. de la Fuente 1
  1. 1 Universidad de Alcalá
    info

    Universidad de Alcalá

    Alcalá de Henares, España

    ROR https://ror.org/04pmn0e78

  2. 2 Universidad Politécnica de Valencia
    info

    Universidad Politécnica de Valencia

    Valencia, España

    ROR https://ror.org/01460j859

Aldizkaria:
Anales del Instituto de Actuarios Españoles

ISSN: 0534-3232

Argitalpen urtea: 2021

Zenbakia: 27

Orrialdeak: 135-159

Mota: Artikulua

Beste argitalpen batzuk: Anales del Instituto de Actuarios Españoles

Laburpena

The demographic perspective in Spain highlights the need to incorporate new alternatives that allow the sustainability of the welfare state. Clearly, one of the main solutions will be the reverse mortgage, which allows the important real estate savings of the elderly to realese and to procure income complementary to public pensions. This article analyzes, from the point of view of longevity risk, the impact between the use of sex distinct mortality tables or unisex tables, showing he importance of global portfolio management by the bank.

Erreferentzia bibliografikoak

  • Akaike, H. (1974). Stochastic theory of minimal realization. IEEE Transactions on Automatic Control, 19(6):667–674.
  • Alai, D. H., Chen, H., Cho, D., Hanewald, K., and Sherris, M. (2014). Developing equity release markets: Risk analysis for reverse mortgages and home reversions. North American Actuarial Journal, 18(1):217–241.
  • Atance, D., Debón, A., and Navarro, E. (2020). A comparison of forecasting mortality models using resampling methods. Mathematics, 8(9):1550.
  • Ayuso, M., Bravo, J. M., and Holzmann, R. (2016). On the heterogeneity in longevity among socioeconomic groups: Scope, trends, and implications for Earnings–Related Pension Schemes. Global Journal of Human Social Sciences–Economics, 17(1):31–57.
  • Ayuso, M., Bravo, J. M., and Holzmann, R. (2017). Addressing longevity heterogeneity in pension scheme design and reform. Journal of Finance and Economics, 6(1):1–21.
  • Ayuso, M., Bravo, J. M., and Holzmann, R. (2021). Getting life expectancy estimates right for pension policy: period versus cohort approach. Journal of Pension Economics & Finance, 20(2):212–231.
  • Banco de España (2017). Guía de acceso a la hipoteca inversa. https://www.bde.es/f/webbde/Secciones/Publicaciones/Folletos/Ficheros/ GUIA.pdf (accedido 29 Marzo 2021).
  • Barrio Peña, A. and Devesa Carpio, J. E. (2013). La directiva de género y su impacto en el sector asegurador. Estado del bienestar: sostenibilidad y reformas.
  • Black, F., Derman, E., and Toy, W. (1990). A one–factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1):33–39.
  • Booth, H., Hyndman, R. J., Tickle, L., and De Jong, P. (2006). Lee–Carter mortality forecasting: a multi-country comparison of variants and extensions. Demographic Research, 15:289–310.
  • Bravo, J. M., Ayuso, M., Holzmann, R., and Palmer, E. (2021). Addressing the life expectancy gap in pension policy. Insurance: Mathematics and Economics, 99:200–221.
  • Cairns, A. J., Blake, D., and Dowd, K. (2006). A two–factor model for stochastic mortality with parameter uncertainty: theory and calibration. Journal of Risk and Insurance, 73(4):687–718.
  • Case, B. and Schnare, A. B. (1994). Preliminary evaluation of the HECM reverse mortgage program. Real Estate Economics, 22(2):301–346.
  • Chen, H., Cox, S. H., and Wang, S. S. (2010). Is the home equity conversion mortgage in the United States sustainable? evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional esscher transform. Insurance: Mathematics and Economics, 46(2):371–384.
  • Chetty, R., Stepner, M., Abraham, S., Lin, S., Scuderi, B., Turner, N., Bergeron, A., and Cutler, D. (2016). The association between income and life expectancy in the United States, 2001-2014. The Journal of the American Medical Association, 315(16):1750–1766.
  • Chinloy, P. and Megbolugbe, I. F. (1994). Reverse mortgages: contracting and crossover risk. Real Estate Economics, 22(2):367–386.
  • Cho, D., Hanewald, K., and Sherris, M. (2013). Risk management and payout design of reverse mortgages. UNSW Australian School of Business Research Paper No., (2013ACTL07).
  • Coale, A. and Guo, G. (1989). Revised regional model life tables at very low levels of mortality. Population Index, pages 613–643.
  • Coale, A. J. and Kisker, E. E. (1990). Defects in data on old–age mortality in the United States: New procedures for calculating mortality schedules and life tables at the highest ages. In Asian and Pacific Population Forum, volume 4, pages 1–31.
  • Consejo General del Notariado (2021). Centro de información del Notariado. http://www.notariado.org/liferay/web/cien/estadisticas-al-completo.
  • Consumer Financial Protection Bureau (2012). Report to congress on reverse mortgages. Iowa City, IA.
  • Cossette, H., Delwarde, A., Denuit, M., Guillot, F., and Marceau, E´. (2007). Pension plan valuation and mortality projection: a case study with mortality data. North American Actuarial Journal, 11(2):1–34.
  • Costa-Font, J. (2013). Housing–related well-being in older people: The impact of environmental and financial influences. Urban Studies, 50(4):657–673.
  • Cox, J. C., Ingersoll Jr, J. E., and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2):385–407.
  • Davidoff, T., Gerhard, P., and Post, T. (2017). Reverse mortgages: What homeowners (don´t) know and how it matters. Journal of Economic Behavior & Organization, 133:151–171.
  • De la Fuente, I., Navarro, E., and Serna, G. (2021). Estimating regulatory capital requirements for reverse mortgages. an international comparison. International Review of Economics & Finance, 74:239–252.
  • Debón, A., Haberman, S., Montes, F., and Otranto, E. (2021). Do different models induce changes in mortality indicators? That is a key question for extending the Lee-Carter model. International Journal of Environmental Research and Public Health, 18(4).
  • Debón, A., Montes, F., and Puig, F. (2008). Modelling and forecasting mortality in Spain. European Journal of Operational Research, 189(3):624–637.
  • Debón, A., Montes, F., and Sala, R. (2009). Tablas de mortalidad dinámicas. Una aplicación a la hipoteca inversa en España. Fundación ICO. Publicaciones de la Universitat de Valencia, Valencia.
  • Debón, A., Montes, F., and Sala, R. (2013). Pricing reverse mortgages in Spain. European Actuarial Journal, 3(1):23–43.
  • Denuit, M. and Goderniaux, A.-C. (2005). Closing and projecting lifetables using log–linear models. Bulletin of the Swiss Association of Actuaries, page 29.
  • Devesa-Carpio, J. E., Devesa-Carpio, M., Domínguez-Fabián, I., EncinasGoenechea, B., Meneu-Gaya, R., and Nagore-García, A. (2012). Análisis financiero-fiscal de la hipoteca inversa en España. Innovar, 22(45):111– 126.
  • Dillingh, R., Prast, H., Rossi, M., Brancati, C. U., et al. (2013). The psychology and economics of reverse mortgage attitudes: evidence from the netherlands. Center for Research on Pensions and Welfare Policies, (135).
  • Directiva del Consejo 2004/113/CE, de 13 de diciembre de 2004, por la que se aplica el principio de igualdad de trato entre hombre y mujeres al acceso a bienes y servicios y su suministro. Disponible en https://www.boe.es/buscar/doc.php?id=DOUE-L-2004-82937. pdf. (accedido 1 Julio 2021).
  • Equity Release Council (2021). Standards of equity release council. Disponible en: https://www.equityreleasecouncil.com/about/standards/ (accedido 2 Octubre 2021).
  • Eurostat (2019). Ageing europe –looking at the lives of older people in the EU. Retrieved from https://ec.europa.eu/eurostat/en/web/productsstatistical-books/-/ KS-02-19-681.
  • Fondo Monetario Internacional (FMI) (2012). Reporte Técnico. Disponible en imf.org//media/Websites/IMF/imported-flagshipissues/external/pubs/ft/GFSR/2012/01/pdf/c4pdf.ashx (accedido 4 Julio 2021).
  • Gil Bellosta, C. J., Viciana, F. J., and Perpinan Lamigueiro, O. (2020). pxR: PCAxis with R. R package version 0.42.4.
  • Haberman, S. and Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1):35–55.
  • Hancock, R. (1998). Housing wealth, income and financial wealth of older people in Britain. Ageing & Society, 18(1):5–33.
  • Hancok, R. (1998). Can housing wealth alleviate poverty among Britain’s older population? Fiscal Studies, 19(3):249–272.
  • Huan, C. and Mahoney, J. (2002). Equity release mortgages. Housing Finance International, 16(4):29.
  • Huang, H.-C., Wang, C.-W., and Miao, Y.-C. (2011). Securitisation of crossover risk in reverse mortgages. The Geneva Papers on Risk and Insurance–Issues and Practice, 36(4):622–647.
  • Hunt, A. and Blake, D. (2020). Identifiability in age/period/cohort mortality models. Annals of Actuarial Science, 14(2):500–536. Hyndman, R. J. and Khandakar, Y. (2008). Automatic time series forecasting: the forecast package for R. Journal of Statistical Software, 26(3):1–22.
  • Instituto Nacional de Estadística (INE) (2021a). Encuesta de condiciones de vida. Disponible en: https://www.ine.es/jaxiT3/Datos.htm?t=9994 (accedido 5 Julio 2021).
  • Instituto Nacional de Estadística (INE) (2021b). Población residente en espan˜a. Disponible en: https://ine.es/jaxiT3/Tabla.htm?t=31304 (accedido 1 Julio 2021).
  • Lee, R. D. and Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association, 87(419):659–671.
  • Lee, Y.-T., Kung, K.-L., and Liu, I.-C. (2018). Profitability and risk profile of reverse mortgages: A cross–system and cross–plan comparison. Insurance: Mathematics and Economics, 78:255–266.
  • Lee, Y.-T., Wang, C.-W., and Huang, H.-C. (2012). On the valuation of reverse mortgages with regular tenure payments. Insurance: Mathematics and Economics, 51(2):430–441.
  • Ley 41/2007 de 7 de diciembre por la que se modifica la Ley 2/1981, de 25 de marzo, de Regulación del Mercado Hipotecario y otras normas del sistema hipotecario y financiero, de regulación de las hipotecas inversas y el seguro de dependencia y por la que se establece determinada norma tributaria. Available at: https://www.boe.es/boe/dias/2007/12/08/pdfs/A50593-50614.pdf. (accedido 28 Diciembre 2020).
  • Lindbergson, M. (2001). Mortality among the elderly in Sweden 1988–1997. Scandinavian Actuarial Journal, 2001(1):79–94.
  • Mayer, C. and Simons, K. (1994). Home equity conversions and the liquidity of housing wealth. Journal of the American Real Estate and Urban Economics Association, 22(2):235–255.
  • Ministerio de Fomento España (2021). Valor tasado de la vivienda. Disponible en https://www.fomento.gob.es/BE2/?nivel=2orden=35000000 (accedido 1 Julio 2021).
  • Perks, W. (1932). On some experiments in the graduation of mortality statistics. Journal of the Institute of Actuaries, 63(1):12–57.
  • R Core Team (2020). R: A Language and Environment for Statistical Computing. R. Foundation for Statistical Computing, Vienna, Austria.
  • Reed, R. and Gibler, K. M. (2003). The case for reverse mortgages in Australia: applying the USA experience. In PRRES 2003: Proceedings of the 9th Annual Conference of the Pacific Rim Real Estate Society 2003, pages 1–13. Pacific Rim Real Estate Society. Renshaw, A. E. and Haberman, S. (2006). A cohort–based extension to the Lee–Carter model for mortality reduction factors. Insurance: Mathematics and Economics, 38(3):556–570.
  • Sánchez, A. J. Q. (2009). La hipoteca inversa: ¿una opción realmente atractiva? Revista del Ministerio de Trabajo e Inmigración, (81):135–148.
  • Shan, H. (2011). Reversing the trend: The recent expansion of the reverse mortgage market. Real Estate Economics, 39(4):743–768.
  • Shao, A. W., Hanewald, K., and Sherris, M. (2015). Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. Insurance: Mathematics and Economics, 63:76–90.
  • Sharma, T., French, D., and McKillop, D. (2020). Risk and equity release mortgages in the UK. The Journal of Real Estate Finance and Economics, pages 1–24.
  • Szymanoski Jr, E. J. (1994). Risk and the home equity conversion mortgage. Real Estate Economics, 22(2):347–366.
  • Thatcher, A. R., Kannisto, V., and Vaupel, J. W. (1998). The force of mortality at ages 80 to 120.
  • Tse, Y. K. (1995). Modelling reverse mortgages. Asia Pacific Journal of Management, 12(2):79–95.
  • Tunaru, R. S. and Quaye, E. (2019). UK equity release mortgages: a review of the no-negative equity guarantee. The United Kingdom: Institute and Faculty of Actuaries Actuarial Research Centre Research Report.
  • Turner, H. and Firth, D. (2020). Generalized nonlinear models in R: An overview of the gnm package. R package version 1.1-1.
  • Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2):177–188.
  • Villegas, P. C. and Rambaud, S. C. (2007). Análisis matemático-financiero de las hipotecas inversas: el caso español. In Anales de economía aplicada 2007, pages 623–639. Asociación Española de Economía Aplicada, ASEPELT.
  • Wang, C.-W., Huang, H.-C., and Lee, Y.-T. (2016). On the valuation of reverse mortgage insurance. Scandinavian Actuarial Journal, 2016(4):293–318.
  • Wang, L., Valdez, E. A., and Piggott, J. (2008). Securitization of longevity risk in reverse mortgages. North American Actuarial Journal, 12(4):345–371.
  • Weinrobe, M. (1988). An insurance plan to guarantee reverse mortgages. Journal of Risk and Insurance, pages 644–659.
  • Whait, R. B., Lowies, B., Rossini, P., McGreal, S., and Dimovski, B. (2019). The reverse mortgage conundrum: Perspectives of older households in Australia. Habitat International, 94:102073.
  • Wills, S. and Sherris, M. (2008). Integrating financial and demographic longevity risk models: an Australian model for financial applications. UNSW Australian School of Business Research Paper, (2008ACTL05).
  • Yang, S. S. (2011). Securitisation and tranching longevity and house price risk for reverse mortgage products. The Geneva Papers on Risk and Insurance–Issues and Practice, 36(4):648–674.
  • Zhai, D. H., Stesney, L. A., and Adelson, M. (2000). Reverse mortgage securitizations: understanding and gauging the risks. Structure Finance. Moody’s Investors Service Special Report.