CAJ | 학술논문

随着我国人口老龄化程度日益加剧，养老服务需求随之增大，“以房养老”作为新型的养老模式应运而生。反向抵押贷款作为针对老年人可能面临的“房子富人、现金穷人”尴尬而设计出的一种金融创新工具，能否对其进行科学合理定价，是“以房养老”顺利开展的关键。在风险中性条件下，同时考虑房产价值、利率和预期寿命三大主要因素的动态性，创新性地采用借款者向保险公司缴纳保证保险的保费现值等于贷款者向保险公司预期索赔损失的现值，对无赎回权的反向终身年金抵押贷款进行定价，采用CIR模型、LC模型以及跳跃扩散模型分别对利率、死亡率以及房价动态波动性进行拟合。结果显示：借款者可获得的年金额度与其年龄和房屋价值呈正相关关系，与利率呈负相关关系。在对定价结果进行敏感性分析时发现：房价的波动对所支付年金额度的影响最大；在对死亡率进行分析时发现：若忽略借款者死亡率的改善，则支付年金额度将被高估。
수착아국인구노령화정도일익가극，양로복무수구수지증대，“이방양로”작위신형적양로모식응운이생。반향저압대관작위침대노년인가능면림적“방자부인、현금궁인”감개이설계출적일충금융창신공구，능부대기진행과학합리정개，시“이방양로”순리개전적관건。재풍험중성조건하，동시고필방산개치、리솔화예기수명삼대주요인소적동태성，창신성지채용차관자향보험공사격납보증보험적보비현치등우대관자향보험공사예기색배손실적현치，대무속회권적반향종신년금저압대관진행정개，채용CIR모형、LC모형이급도약확산모형분별대리솔、사망솔이급방개동태파동성진행의합。결과현시：차관자가획득적년금액도여기년령화방옥개치정정상관관계，여리솔정부상관관계。재대정개결과진행민감성분석시발현：방개적파동대소지부년금액도적영향최대；재대사망솔진행분석시발현：약홀략차관자사망솔적개선，칙지부년금액도장피고고。
Pension service demand is increasing with the growing aging population, and "the Housing Endowment" emerges to be a new pattern of old-age support as require. Reverse mortgage is schemed out to be a ifnancial instrument to solve "house rich, cash poor" problem that may occur among the elderly, and reasonable pricing is the key to make" the Housing Endowment" run smoothly. Under the risk-neutral conditions, dynamic natures should be taken into account by three main factors those are property value, interest rate and life expectancy. The present value of innovative uses of the borrower to pay the loan guarantee insurance premiums equal to the losses claimed by the insurance company is now expected value, without any right of redemption for a lifetime annuity reverse mortgage loan pricing, using CIR model, LC models and jump diffusion models for interest rates, respectively, mortality and prices to ift the dynamic volatility. The results show that the annuity value amounts of borrowers are positive correlation with their ages as well as the house values, and negative correlation with interest rates; Sensitivity analysis of pricing results expose that the lfuctuations on the housing prices impact the payment of annuity amount most. And it can be found from the analysis of mortality that if we neglect to improve the borrower mortality, the amount of the annuity payment will be overestimated.