台灣傳統社會擁有「有土斯有財的觀念」，老年人在年輕的時候把所得拿去買房屋置產，導致退休時擁有之現金較少形成了有房子無現金(house rich , cash poor)的狀態，為了因應這種社會現象，台灣政府逐漸推行逆向抵押貸款(reverse mortgage)，使老年人可將房屋不動產變為流動性資產以換取生活費用，並在屋主死亡後將房屋轉移給貸款機構，使老年人不用向自己兒女低聲下氣換取金錢，活得開心、健康、更有尊嚴。
本論文企圖利用C.I.R模型(Cox,Ingersoll and Ross Model)與ARMA模型(Autoregressive moving average model)分別估計以房養老的利率風險與房價風險，再利用內政部所發行之簡易生命表估計壽命風險去構築逆向抵押貸款之損益兩平理論的年金設算，再透過新增與台灣現行逆向抵押貸款較為貼近之演算結果作為對照組，去比較其差距，發現理論模型與對照組差異巨大，本文認為造成差異的主要原因是因為逆向抵押貸款除了上述三項風險之外，另有其特定資產風險難以量化，如繼承權利、房屋修繕、道德危機、房屋折舊等問題，導致放款機構對於年金的估算相對保守，本文在文末給出建議以利於放款機構分散風險，並使逆向抵押貸款之發行與推廣更為順利。

Taiwanese traditional society have the concept of “Along with real estate comes about wealth ” when those old men were young, they spend their cash to buy houses, it led to when they were retired, they have no money to use, for handle this special situation, government implementation reverse mortgage. Reverse mortgage can make real estate more liquid as loan to make live expense for householder without moving out their house , when the homeowner die, the homeowner must pay the house to the borrower. Reverse mortgage can make old man don’t begging their children for money, and make them more happy, healthy and be respected.
This paper attempt to using C.I.R model(Cox, Ingersoll and Ross Model) and ARMA(Autoregressive moving average model) model to estimate reverse mortgage’s two risk factor: interest rate and house price separately, and using government published abridged life table to solve the problem of longevity risk factor to modelling the reverse mortgage price model as the theory model, and using additional model which is more likely Taiwanese reverse mortgage’s program be the comparison. Finally, we find that the theory model has a large difference from the comparison model ,this article find that the reasons that can’t be quantified and cause the large difference are the asset specific risk including: right of inheritance, house maintenance fee , moral hazard and house depretciation, these asset specific risk factors will cause the borrower give lender annuity much more conservative, in the end of article will give advance for borrower to avoid risk and make reverse mortgage more popular.

論文審定書 ............................................................................................................................... i
謝辭 ............................................................................................................................................ ii
摘要 ........................................................................................................................................... iii
Abstract ..................................................................................................................................... iv
目錄 ............................................................................................................................................ v
圖 次 ....................................................................................................................................... vi
表 次 ...................................................................................................................................... vii
第一章 緒論 .......................................................................................................................... 1
第一節 研究背景 ............................................................................................................. 1
第二節 研究動機與目的 ................................................................................................. 2
第三節 架構 ..................................................................................................................... 3
第二章 文獻回顧 .................................................................................................................. 5
第一節 逆向抵押貸款之定義 ......................................................................................... 5
第二節 相關文獻回顧 ..................................................................................................... 7
第三節 各國逆向抵押貸款實施情況 ............................................................................. 9
第三章 理論模型 ................................................................................................................ 14
第一節 模型建構 ........................................................................................................... 14
第二節 風險因子分析 ................................................................................................... 15
第三節 對照組之模型 ................................................................................................... 19
第四章 數值分析 ................................................................................................................ 21
第一節 理論模型之數值分析 ....................................................................................... 21
第二節 對照組之數值分析 ........................................................................................... 24
第三節 發現 ................................................................................................................... 26
第四節 對研究發現的可能解釋 ................................................................................... 27
第五節 理論模型之延伸 ............................................................................................... 28
vi
第五章 結論與建議 ............................................................................................................ 30
參考文獻 ................................................................................................................................. 33
附錄 ......................................................................................................................................... 36

中文部分
孟曉蘇及柴效武(2009)，《反向抵押貸款》，中國人民出版社，北京。
潘秀菊(2009)，“逆向抵押(反向抵押)制度-以房養老之可行性探討”，中華民國信託業商業同業公會研究計畫。
張雅萍(2016)，“ 高齡化社會的金融創新:逆向抵押貸款商品之研究 ”，國立中山大學財務管理系研究所碩士論文。
董茲莉(2017)，“ 退休金規劃：「以房養老」之實證研究 ”，國立台灣科技企業管理系碩士論文。
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英文部分
Cox, J.C., Ingersoll, J.E., and Ross, S.A.(1985). A theory of the term structure of interest rate. Econametrica,53,pp.385-407
Davidoff , T., Gerhard, P. and Post, T. (2017). Reverse mortgages: what homeowners (don’t) know and how it matters. Journal of Economic Behavior and Organization, 133, pp.151-171
Dillingh, R., Prast, H., Rossi, M., and Brancati, C.U.(2017).Who wants to have their and it eat too? Interest in reverse mortgage in the Netherland. Journal of Economic Behavior and Organization,38,pp.25-37
Szymannoski, E. J. Jr.(1994). Risk and the home equity conversion mortgage, Real Estate Economic,22(2), pp.347-366
Vasicek, O.(1977). An equilibrium characterization of the term of structure. Journal of Financial Economic,5(2),pp.177-88
Yang , S. S. (2011). Securitisation and tranching longevity and house price risk for reverse mortgage product. The Geneva Papers,36,pp.648-674

網路資料
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https://www.moi.gov.tw/stat/chart.aspx。
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https://www.chinatimes.com/realtimenews/20130731004134-260410 。
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https://www.reversemortgages.com/reverse-mortgage-statistics 。
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https://tw.stock.yahoo.com/news/%E4%BB%A5%E6%88%BF%E9%A4%8A%E8%80%81%E5%AF%A6%E6%96%BD%E9%80%BE2%E5%B9%B4-%E5%85%A8%E5%8F%B0%E9%80%BE2400%E4%BB%B6-083954873.html。
《Money101》，2018/09/26，「以房養老符合銀行條件還不夠 申請前不可不知的三個風險」，網址:
https://www.money101.com.tw/blog/%E4%BB%A5%E6%88%BF%E9%A4%8A%E8%80%81-%E9%8A%80%E8%A1%8C%E6%A2%9D%E4%BB%B6-%E7%94%B3%E8%AB%8B%E8%B3%87%E6%A0%BC%E8%88%87%E9%A2%A8%E9%9A%AA。
《信義房訊知識》，「房價指數」，網址:
https://www.sinyinews.com.tw/quarterly。
《內政部統計處》，2018/9/21，“106年簡易生命表”，網址:
https://www.moi.gov.tw/stat/node.aspx?Z=1&sn=6026。
王定傳，2016/08/08，「病死、猝死、中風亡…買到兩到三年死屋 不算凶宅無法求償」，《自由時報》，網址:
http://news.ltn.com.tw/news/society/paper/1019347。