A simple approach to better deposit insurance pricing

Autor:	Sarah Kendall, Mark Levonian
Rok vydání:	1991
Předmět:	Economics and Econometrics Schedule Actuarial science Pricing schedule Consumption-based capital asset pricing model Economics Deposit insurance Rational pricing Market value Book value Finance Undercapitalization
Zdroj:	Journal of Banking & Finance. 15:999-1018
ISSN:	0378-4266
DOI:	10.1016/0378-4266(91)90110-8
Popis:	We examine the ability of simple insurance pricing schedules to match premiums with the values derived from a contingent-claim model of deposit insurance. We use a quadratic loss function to compare a flat-rate pricing system to alternative pricing schedules incorporating measures of risk. A simple two-bracket schedule that distinguishes between high and low capitalization is a substantial improvement. A pricing schedule under which the rate paid by low-capital banks depends on their degree of undercapitalization is better still. In addition, the gains from using market value measures of capital rather than book value are great.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4683489d6c6a11b6fffc740d87b41c7a https://doi.org/10.1016/0378-4266(91)90110-8 Zobrazit plný text záznamu