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Alternative Pricing Models of Deposit Insurance under Capital Forbearance
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Hong Mao
Published/Copyright:
April 1, 2009
In this paper, we present alternative pricing models of deposit insurance under capital forbearance. The investment behavior of deposit insurance companies and moral hazard of banks are considered and numerical analysis is carried out. We find that If the premium rate reflects forecasting instead of merely assessing the liability in determining premium rate, and considering the effect of the relationship between deposit’s interest rate and insolvency risk of banks, this can help decrease this moral hazard created after the issuance of the insurance contract.
Published Online: 2009-4-1
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
- Featured Article
- A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan
- Missing (Completely?) At Random: Lessons from Insurance Studies
- Elaborating a Catastrophic Loss Index for Insurance-linked Securities (ILS): A Continuous Model
- Valuing Surrender Options in Korean Interest Indexed Annuities
- Estimation of Capital Beta and Cost of Capital: A Focus on Japanese Property-liability Insurance Companies and Lines of Business
- Alternative Pricing Models of Deposit Insurance under Capital Forbearance
- A Comparison of Corporate Bankruptcy Models in Australia: The Merton vs. Accounting-based Models
- Country Study: 2008 Review of the Middle East and North Africa (MENA) Insurance Markets
