  We provide a practical superhedging strategy for the pricing and hedging of
the No-Negative-Equity-Guarantee (NNEG) found in Equity-Release Mortgages
(ERMs), or reverse mortgages, using a discrete-time model. In contrast to many
papers on the NNEG and industry practice we work in an incomplete market
setting so that deaths and property prices are not independent under most
pricing measures. We give theoretical results and numerical illustrations to
show that the assumption of market completeness leads to a considerable
undervaluation of the NNEG. By introducing an Excess-of-Loss reinsurance asset,
we show that it is possible to reduce the cost of the superhedge for a
portfolio of ERMs with the average cost decreasing rapidly as the number of
lives in the portfolio increases. All the hedging assets, with the exception of
cash, have a term of one year making the availability of a property hedging
asset from over-the-counter derivative providers more realistic. We outline how
a practical multi-period ERM pricing and hedging model can be built. Although
the prices identified by this model will be higher than prices under the
completeness assumption, they are considerably lower than those under the
Equivalent Value Test mandated by the UK's Prudential Regulatory Authority.
