Actuarial Pricing of Deposit Insurance

Christian Kerfriden and Jean Rochet
Additional contact information
Christian Kerfriden: GREMAQ, Université des Sciences Sociales, Place Anatole France, 31042 Toulouse cedex, France

The Geneva Risk and Insurance Review, 1993, vol. 18, issue 2, 130 pages

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

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.palgrave-journals.com/grir/journal/v18/n2/pdf/grir199340a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/grir/journal/v18/n2/full/grir199340a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Actuarial Pricing of Deposit Insurance (1993)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:genrir:v:18:y:1993:i:2:p:111-130

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10713

Access Statistics for this article

The Geneva Risk and Insurance Review is currently edited by Michael Hoy and Nicolas Treich

More articles in The Geneva Risk and Insurance Review from Palgrave Macmillan, International Association for the Study of Insurance Economics (The Geneva Association) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().