@article{ART001747032},
author={Oh Kiseok},
title={A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2013},
volume={24},
number={1},
pages={113-137}
TY - JOUR
AU - Oh Kiseok
TI - A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -
JO - Journal of Insurance and Finance
PY - 2013
VL - 24
IS - 1
PB - Korea Insurance Research Institute
SP - 113
EP - 137
SN - 2384-3209
AB - This paper extends Oh(2012) into the deposit insurance targeting insurers as the insured. The pricing models for deposit insurance targeting insurers as the insured suggested in the literature have theoretical justifications. However, it is difficult to calculate risk-based deposit insurance premiums with them because they are based upon the continuous time framework. Since the pricing model for deposit insurance targeting insurers as the insured suggested in this paper is based upon DTMCC(discrete time model for contingent claims) it is possible to calculate risk-based deposit insurance premiums with the model. According to the simulation using the model, the effects of the underwriting and investment policies of an insurer on its risk-based deposit insurance premium are similar. Meanwhile, the effects are smaller than those of the ultimate solvency of an insurer.
KW - deposit insurance targeting insurers as the insured;discrete time framework;pricing model;risk-based deposit insurance premiums;simulation
DO -
UR -
ER -
Oh Kiseok. (2013). A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -. Journal of Insurance and Finance, 24(1), 113-137.
Oh Kiseok. 2013, "A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -", Journal of Insurance and Finance, vol.24, no.1 pp.113-137.
Oh Kiseok "A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -" Journal of Insurance and Finance 24.1 pp.113-137 (2013) : 113.
Oh Kiseok. A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -. 2013; 24(1), 113-137.
Oh Kiseok. "A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -" Journal of Insurance and Finance 24, no.1 (2013) : 113-137.
Oh Kiseok. A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -. Journal of Insurance and Finance, 24(1), 113-137.
Oh Kiseok. A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -. Journal of Insurance and Finance. 2013; 24(1) 113-137.
Oh Kiseok. A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -. 2013; 24(1), 113-137.
Oh Kiseok. "A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -" Journal of Insurance and Finance 24, no.1 (2013) : 113-137.
