不動產逆向抵押貸款評價與提前解約之分析Analyzing the Pricing and Termination of Reverse Mortgages

我國自2013年3月1日開始試辦不動產逆向抵押貸款(reverse mortgage, RM)以來，國人對此類商品漸漸熟悉，越來越多的金融機構也開始推出RM合約。RM合約的相關研究，包含了如計價避險、社會福利或保險以及法規等不同方♛的討論。本研究以計價方♛為討論主軸，建 構一評價模型，探討我國RM合約評價問題。本文目的除了評價RM合約價值，也利用實質選擇權理論(real option theory)分析發生提前解約的最佳條件為何。本文之貢獻除了對RM合約提出不同訂價的觀點外，也提供提前解約時最低房價方便的估計方式。實證顯示，RM合約生效初期提前解約的門檻偏低，造成提前解約的可能性較高。
關鍵詞：計價問題、實質選擇權、不動產逆向抵押貸款、提前解約

Following the government of Taiwan’s introduction of the concept of the reverse mortgage (RM), RMs have become available and been noticed in Taiwan since March 1st, 2013. Several financial institutions in Taiwan have also introduced different types of RMs. Studies on RMs mainly focus on pricing and hedging, the social-welfare effect, and policies. In this study, we establish a model to price RMs. In addition, we apply real option theory to estimate the optimal conditions under which a borrower should terminate a RM. This study provides a different analysis in terms of pricing an RM, and estimates the optimal house price at which the RM should be terminated. The empirical evidence shows that the likelihood of an RM being terminated is higher at the beginning of the duration of the contract.
Key words: pricing problems, real options, reverse mortgage, termination of contract