@article{ART001640399},
author={오기석},
title={A Deposit Insurance Pricing Model - Discrete Time Framework Approach -},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2012},
volume={23},
number={1},
pages={35-57}
TY - JOUR
AU - 오기석
TI - A Deposit Insurance Pricing Model - Discrete Time Framework Approach -
JO - Journal of Insurance and Finance
PY - 2012
VL - 23
IS - 1
PB - Korea Insurance Research Institute
SP - 35
EP - 57
SN - 2384-3209
AB - Deposit insurance pricing models suggested in the previous literature have theoretical justifications because they are based upon option pricing models. When we use them to calculate deposit insurance premiums,we need instantaneous standard deviation of the rate of return of assets because they are based upon the continuous time framework. However,it is difficult to obtain instantaneous standard deviation. In this paper,we suggested a deposit insurance pricing model based upon the discrete time framework and conducted a simulation to analyze it. According to the analysis, the ratio of equity to deposit amount and investment policy have greater effects on the deposit insurance premium than financing policy of the financial institution.
KW - deposit insurance;discrete time framework;pricing model
DO -
UR -
ER -
오기석. (2012). A Deposit Insurance Pricing Model - Discrete Time Framework Approach -. Journal of Insurance and Finance, 23(1), 35-57.
오기석. 2012, "A Deposit Insurance Pricing Model - Discrete Time Framework Approach -", Journal of Insurance and Finance, vol.23, no.1 pp.35-57.
오기석 "A Deposit Insurance Pricing Model - Discrete Time Framework Approach -" Journal of Insurance and Finance 23.1 pp.35-57 (2012) : 35.
오기석. A Deposit Insurance Pricing Model - Discrete Time Framework Approach -. 2012; 23(1), 35-57.
오기석. "A Deposit Insurance Pricing Model - Discrete Time Framework Approach -" Journal of Insurance and Finance 23, no.1 (2012) : 35-57.
오기석. A Deposit Insurance Pricing Model - Discrete Time Framework Approach -. Journal of Insurance and Finance, 23(1), 35-57.
오기석. A Deposit Insurance Pricing Model - Discrete Time Framework Approach -. Journal of Insurance and Finance. 2012; 23(1) 35-57.
오기석. A Deposit Insurance Pricing Model - Discrete Time Framework Approach -. 2012; 23(1), 35-57.
오기석. "A Deposit Insurance Pricing Model - Discrete Time Framework Approach -" Journal of Insurance and Finance 23, no.1 (2012) : 35-57.
