EconPapers    
Economics at your fingertips  
 

The Cost of Delay in a Mortgage/Credit Loan Portfolio

Jang Jiwook
Additional contact information
Jang Jiwook: Macquarie University

Asia-Pacific Journal of Risk and Insurance, 2009, vol. 4, issue 1, pages 1-14

Abstract: Using an actuarial model, we examine the cost of delay in mortgage/credit loan payments. It is assumed that the default arrival process follows the Poisson process and the loss sizes are assumed to be independent and an identical truncated exponential. We also assume that the delay between default occurrence and partially (or fully) recovered payment is an independent identical truncated exponential random variable. For the recovery rate random variable, we simply use its expectation. Using the relationship between the shot noise process and accumulated/discounted aggregate losses process and applying the piecewise deterministic Markov processes theory, we obtain the explicit expressions for the expected value of losses and the expected value of part (or whole) of the loan recovered with the delay. Based on these moments, we define and predict the cost of delay in a mortgage/credit loan portfolio and their numerical examples are provided.

Date: 2009
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.degruyter.com/view/j/apjri.2009.4.1/apj ... .1048.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bpj:apjrin:v:4:y:2009:i:1:n:5

Ordering information: This journal article can be ordered from
http://www.degruyter.com/view/j/apjri

Access Statistics for this article

Asia-Pacific Journal of Risk and Insurance is edited by Michael R. Powers

More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Series data maintained by Peter Golla ().

 
Page updated 2013-10-04
Handle: RePEc:bpj:apjrin:v:4:y:2009:i:1:n:5