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Actuarial Pricing of Deposit Insurance

Author

Listed:
  • Christian Kerfriden

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

  • Jean-Charles Rochet

    (GREMAQ and IDEI, Université 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

Suggested Citation

  • Christian Kerfriden & Jean-Charles Rochet, 1993. "Actuarial Pricing of Deposit Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 18(2), pages 111-130, December.
    • Handle: RePEc:pal:genrir:v:18:y:1993:i:2:p:111-130
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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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