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Actuarial Pricing of Deposit Insurance

Author

Listed:
  • Kerfriden, C.
  • Rochet, J.C.

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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Suggested Citation

  • Kerfriden, C. & Rochet, J.C., 1993. "Actuarial Pricing of Deposit Insurance," Papers 93.289, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:93.289
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    Cited by:

    1. Reza Vaez-Zadeh & Danyang Xie & Edda Zoli, 2002. "MODIS: A Market-Oriented Deposit Insurance Scheme," Finance 0212001, University Library of Munich, Germany.
    2. João A. C. Santos, 2000. "Bank capital regulation in contemporary banking theory: a review of the literature," BIS Working Papers 90, Bank for International Settlements.
    3. Ms. Edda Zoli & Danyang Xie & Reza Vaez-Zadeh, 2002. "Modis: A Market-Oriented Deposit Insurance Scheme," IMF Working Papers 2002/207, International Monetary Fund.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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    Keywords

    pricing ; insurance;

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