Actuarial Pricing of Deposit Insurance
AbstractUsing a pricing formula for options on coupon bonds (Jamshidian , El Karoui and Rochet ) 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, 111â€“130. doi:10.1007/BF01111465
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Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 93.289.
Length: 20 pages
Date of creation: 1993
Date of revision:
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Postal: GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.
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Web page: http://www-gremaq.univ-tlse1.fr/
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pricing ; insurance;
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- Reza Vaez-Zadeh & Danyang Xie & Edda Zoli, 2002. "MODIS: A Market-Oriented Deposit Insurance Scheme," Finance, EconWPA 0212001, EconWPA.
- Edda Zoli & Danyang Xie & Reza Vaez-Zadeh, 2002. "Modis," IMF Working Papers 02/207, International Monetary Fund.
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