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Actuarial Pricing of Deposit Insurance

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  • Christian Kerfriden

    (GREMAQ, Universit� des Sciences Sociales, Place Anatole France, 31042 Toulouse cedex, France)

  • Jean-Charles Rochet

    (GREMAQ and IDEI, Universit� des Sciences Sociales, Place Anatole France, 31042 Toulouse cedex, France)

Abstract

Using a pricing formula for options on coupon bonds (Jamshidian [1989], El Karoui and Rochet [1990]) we are able to compute the actuarial pricing of deposit insurance for a commercial bank. Our formula takes into account the maturity structure of the bank's balance sheet, as well as market parameters such as the term structure of interest rates and the volatilities of zero coupon bonds. The relation with asset liability management methods is explored. The Geneva Papers on Risk and Insurance Theory (1993) 18, 111–130. doi:10.1007/BF01111465

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal The Geneva Papers on Risk and Insurance Theory.

Volume (Year): 18 (1993)
Issue (Month): 2 (December)
Pages: 111-130

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Handle: RePEc:pal:genrir:v:18:y:1993:i:2:p:111-130

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Cited by:
  1. Edda Zoli & Danyang Xie & Reza Vaez-Zadeh, 2002. "Modis," IMF Working Papers 02/207, International Monetary Fund.
  2. Reza Vaez-Zadeh & Danyang Xie & Edda Zoli, 2002. "MODIS: A Market-Oriented Deposit Insurance Scheme," Finance 0212001, EconWPA.

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