Craig Turnbull (Author, A History of British Actuarial Thought with day job as Investment Director at Aberdeen Standard Investments) has just published this piece on the valuation of equity release mortgages.
As he notes, there is little that is fundamentally new, and there is little that Eumaeus would disagree with. He defends a deferment rate calibration of 3-3.5%, in line with our thinking, and finds the idea of dividing it by 5 as puzzling as everyone else (‘It is best left behind’).
He suggests a total volatility of 16%, again in line with our view.
The main innovation is his discussion of solvency capital requirements, which we have not dealt with, mainly because it is very difficult.
Recommended reading.