Dynamic fund protection for property markets

Tak Kuen Siu*, Ha Nguyen, Ning Wang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Downloads (Pure)


This article aims to investigate, from an academic perspective, a potential application of dynamic fund protection to protect a mortgagor of a property against the downside risk due to falling property price. The valuation of the dynamic fund protection is discussed through modeling the property price and interest rate, which may be considered to be two key factors having a material impact on the mortgagor. Specifically, a mean-reverting process is used to describe the property price and the Heath-Jarrow-Morton theory is used to model the interest rate. The valuation is done via the use of a forward measure approach. The numerical solution to the pricing partial differential equation is obtained via applying the finite difference method. Numerical results with some model parameters being estimated from the data on an Australian residential property index and Australian zero-coupon yields and forward rates are provided. The implications of the numerical results for the potential implementation of the dynamic fund protection are discussed.

Original languageEnglish
Pages (from-to)383-402
Number of pages20
JournalNorth American Actuarial Journal
Issue number3
Early online date17 Aug 2021
Publication statusPublished - 2022


Dive into the research topics of 'Dynamic fund protection for property markets'. Together they form a unique fingerprint.

Cite this