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A Deposit Insurance Pricing Model - Discrete Time Framework Approach -

  • Journal of Insurance and Finance
  • 2012, 23(1), pp.35-57
  • Publisher : Korea Insurance Research Institute
  • Research Area : Social Science > Business Management

오기석 1

1초당대학교

Accredited

ABSTRACT

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.

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