@article{ART002471373},
author={Sung Jooho and KIM DAEHWAN and Dong-Hwa Lee},
title={Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2019},
volume={30},
number={2},
pages={55-81},
doi={10.23842/jif.2019.30.2.002}
TY - JOUR
AU - Sung Jooho
AU - KIM DAEHWAN
AU - Dong-Hwa Lee
TI - Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance
JO - Journal of Insurance and Finance
PY - 2019
VL - 30
IS - 2
PB - Korea Insurance Research Institute
SP - 55
EP - 81
SN - 2384-3209
AB - This paper aims to investigate the risk-based premium rates of the Korea Deposit Insurance Corporation (KDIC), particularly focusing on life insurance firms. To accomplish this, we employ the exchange option model based on the assumption that assets and liabilities follow lognormal diffusion processes. Further, we incorporate the discount rate of expenses based on a purchase-and-assumption to consider the characteristics of the life insurance sector. To estimate premium rates between 2010 and 2017, we use the empirical data of Korean life insurance firms and asset indexes from 2000 to 2016. The result provides evidence that life insurance companies in Korea have been generally charged higher premium rates than they should be charged. The result also shows that most of the healthy life insurance companies aid a smaller number of risky companies in Korea. Finally, our result indicates that premium rates tend to be more sensitive to correlation between assets and liabilities under capital deficiencies.
KW - Deposit insurance scheme;Risk-based premium;Option pricing model;Life insurance industry
DO - 10.23842/jif.2019.30.2.002
ER -
Sung Jooho, KIM DAEHWAN and Dong-Hwa Lee. (2019). Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance. Journal of Insurance and Finance, 30(2), 55-81.
Sung Jooho, KIM DAEHWAN and Dong-Hwa Lee. 2019, "Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance", Journal of Insurance and Finance, vol.30, no.2 pp.55-81. Available from: doi:10.23842/jif.2019.30.2.002
Sung Jooho, KIM DAEHWAN, Dong-Hwa Lee "Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance" Journal of Insurance and Finance 30.2 pp.55-81 (2019) : 55.
Sung Jooho, KIM DAEHWAN, Dong-Hwa Lee. Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance. 2019; 30(2), 55-81. Available from: doi:10.23842/jif.2019.30.2.002
Sung Jooho, KIM DAEHWAN and Dong-Hwa Lee. "Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance" Journal of Insurance and Finance 30, no.2 (2019) : 55-81.doi: 10.23842/jif.2019.30.2.002
Sung Jooho; KIM DAEHWAN; Dong-Hwa Lee. Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance. Journal of Insurance and Finance, 30(2), 55-81. doi: 10.23842/jif.2019.30.2.002
Sung Jooho; KIM DAEHWAN; Dong-Hwa Lee. Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance. Journal of Insurance and Finance. 2019; 30(2) 55-81. doi: 10.23842/jif.2019.30.2.002
Sung Jooho, KIM DAEHWAN, Dong-Hwa Lee. Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance. 2019; 30(2), 55-81. Available from: doi:10.23842/jif.2019.30.2.002
Sung Jooho, KIM DAEHWAN and Dong-Hwa Lee. "Exchange Option Pricing Approach to Deposit Insurance Premium for Korean Life Insurance" Journal of Insurance and Finance 30, no.2 (2019) : 55-81.doi: 10.23842/jif.2019.30.2.002