Liability Distributions for Mortgage Insurance

18 Pages Posted: 22 Nov 1999

See all articles by James B. Kau

James B. Kau

University of Georgia - Department of Insurance, Legal Studies, Real Estate

Donald C. Keenan

University of Cergy-Pontoise; University of Georgia

Taewon Kim

California State University, Los Angeles

Date Written: March 1998

Abstract

The option model in this paper derives not only the value of an insurance policy, but also more disagregated information concerning those precise circumstances under which defaults occurs, and hence, insurance payouts need be made. In other words, this paper demonstrates the option pricing techniques necessary to provide means of assessing, not just the fair market value of an insurance contract, but also the distribution of all possible claims, and the impact on these claims of any factor that might directly or even indirectly influence the default decision.

JEL Classification: G12, G21, G22

Suggested Citation

Kau, James B. and Keenan, Donald C. and Kim, Taewon, Liability Distributions for Mortgage Insurance (March 1998). Available at SSRN: https://ssrn.com/abstract=191950 or http://dx.doi.org/10.2139/ssrn.191950

James B. Kau (Contact Author)

University of Georgia - Department of Insurance, Legal Studies, Real Estate ( email )

Athens, GA 30602-6254
United States
706-542-9110 (Phone)
706-542-4295 (Fax)

Donald C. Keenan

University of Cergy-Pontoise ( email )

33 Boulevard du Port
Cergy-Pontoise Cedex, Cedex 95011
France

University of Georgia ( email )

510 Brooks Hall
Athens, GA 30602
United States
706-542-3668 (Phone)

Taewon Kim

California State University, Los Angeles ( email )

5151 State University Dr
Los Angeles, CA 90032
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
219
Abstract Views
1,675
rank
169,551
PlumX Metrics