住房反向抵押贷款是在世界人口老龄化趋势逐渐加剧的大背景下，逐渐兴 起的一种新型金融工具。它旨在改善老年人退休后的生活质量，缓解当前沉重 的社会养老压力。在美国，住房反向抵押贷款已经成为了其社会养老保障体系 中一种重要的补充养老方式，并取得了显著的效果。早在 20 世纪 90 年代，我 国就已经有学者开始研究和探讨将其引入中国市场的可行性。2007 年前后，北 京、上海、广州等一线城市纷纷掀起了一场关于住房反向抵押贷款的试点浪潮， 遗憾的是最终均以失败告终。政府层面上，银监局也曾于 2011 年对此进行了专 项调研，最终得出的结论是“房屋产权 70 年，以房养老难以推行”。为什么住 房反向抵押贷款在中国会出现这种“水土不服”的现象，又为何仍然有一批国 内学者大力推崇中国开展住房反向抵押贷款业务呢， 本文试图从住房反向抵押贷款产品自身的特性和运作机制出发，构建一个 比较清晰的分析框架来分析其在中国市场发展的适用性和可行性。并在综合借 鉴国外三大基础定价模型的基础上，根据中国的具体情况对保险精算定价模型 及其参数进行一些修正，以便提高产品定价的准确性。最后，以上海市为例， 通过蒙特卡罗模拟的方法对贷款利率和房价波动的路径进行全方位仿真模拟， 定价结果表明住房反向抵押贷款确实能显著提高上海市退休老人的收入水平， 从而保障其退休后的生活质量。同时，本文还发现无论是一次性趸领支付产品 还是终身年金支付产品对贷款利率和房屋折旧率的变化都非常敏感，这对我国 今后具体开展住房反向抵押贷款具有重要的现实意义。 关键词，反向抵押贷款 可行性 产品定价 蒙特卡罗模拟 II Abstract With the global trends in population aging, Reverse Mortgage Loan has appeared as a new financial tool, to improve the wellbeing of the old and ease their pressure in old age. In United States, Reverse Mortgage Loan has become an important part of social insurance systems of old-age, and has showed its social effect. Chinese scholars have being thinking about the possibility to bring in this mortgage, since the 1990s. In terms of government’s work, China's Bank Regulatory Commission conducted a professional investigation. The result, however, was not positive--it is not advisable to support the old-age by home mortgage, because the period of housing property is only 70 years in China. Why situation is different in ChinaWhy there are many experts still encouraging the development of Reverse Mortgage LoanBased on the characteristics and operation system of Reverse Mortgage Loan, this thesis aims to analyze the possibility and Applicability of promoting Reverse Mortgage Loan in China. In terms of pricing models, this thesis also revised the Actuarial Pricing Model of insurance products and its parameters, based on three fundamental pricing models from China and the abroad, to improve the veracity of product pricing. In the end, the changes of Shanghai’s lending rate and housing price were simulated sufficiently, using Monte Carlo Simulation. The pricing result showed that Reverse Mortgage Loan can improve the level of Shanghai retired residents’ income, and protect their quality of life after retirement. Meanwhile, we also find that both lump sum payments and annuity payments are sensitive to the changes of lending rate and housing price, which will have important practical significance for us to develop Reverse Mortgage Loan in the future. Keywords: Reverse Mortgage Loan Feasibility Product Pricing Monte Carlo Simulation III 目 录 第 1 章 绪论 ........................................................1 1.1 选题背景 ......................................................1 1.2 选题目的与意义 ................................................3 1.3 文献综述 ......................................................4 1.3.1 国外研究动态...............................................4 1.3.2 国内研究动态...............................................6 1.3.3 研究评述...................................................7 1.4 研究思路与技术路线 ............................................7 1.5 研究框架及内容 ................................................9 1.6 研究特色与贡献 ................................................9 第 2 章 住房反向抵押贷款概述 .......................................11 2.1 基本概念与产品特性 ...........................................11 2.1.1 住房反向抵押贷款的概念....................................11 2.1.2 产品特性..................................................11 2.1.3 贷款给付方式..............................................13 2.2 主要运作机制 .................................................14 2.3 理论基础 .....................................................16 2.3.1 生命周期理论与资源优化配置理论............................16 2.3.2 家庭代际财富传递理论......................................17 2.3.3 产权分割与资产流动性理论..................................18 2.4 国内外发展概况 ...............................................19 2.4.1 国外发展状况..............................................19 2.4.2 国内试点情况..............................................21 第 3 章 中国开展住房反向抵押贷款的可行性研究 .......................23 3.1 中国人口老龄化趋势及其特点....................................23 3.2 可行性分析....................................................26 3.2.1 消费群体的适用性 ..........................................26 IV 3.2.2 产品的适用性 ..............................................28 3.2.3 制度环境的适用性 ..........................................29 3.2.4 潜在供给者 ................................................32 第 4 章 住房反向抵押贷款的产品定价分析 .............................34 4.1 成本要素构成分析..............................................34 4.2 产品定价分析..................................................35 4.2.1 定价模型 ..................................................35 4.2.2 参数估计 ..................................................38 4.2.3 实证分析 ..................................................41 4.3 定价结果及敏感性分析..........................................44 4.3.1 定价结果 ..................................................44 4.3.2 敏感性分析 ................................................45 第 5 章 存在障碍与解决对策 .........................................49 5.1 存在障碍......................................................49 5.1.1 文化与心理障碍 ............................................49 5.1.2 制度障碍 ..................................................49 5.1.3 市场障碍 ..................................................50 5.2 解决对策......................................................51 5.2.1 政府的定位 ................................................51 5.2.2 运作机制设计 ..............................................52 5.2.3 制度环境建设 ..............................................52 第 6 章 结论与展望 .................................................54 6.1 主要结论......................................................54 6.2 不足与展望....................................................56