PRICING RISK-ADJUSTED DEPOSIT INSURANCE - AN OPTION-BASED MODEL

被引：311
|
作者：
RONN, EI
VERMA, AK
机构：
来源：
JOURNAL OF FINANCE | 1986年 / 41卷 / 04期
关键词：
D O I：
10.2307/2328234
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：871 / 895
页数：25
相关论文
共 50 条
  • [21] A risk-adjusted approach to model (In)validation
    Mazzaro, MC
    Sznaier, M
    Lagoa, C
    PROCEEDINGS OF THE 2003 AMERICAN CONTROL CONFERENCE, VOLS 1-6, 2003, : 3809 - 3813
  • [22] A risk-adjusted CUSUM in continuous time based on the Cox model
    Biswas, Pinaki
    Kalbfleisch, John D.
    STATISTICS IN MEDICINE, 2008, 27 (17) : 3382 - 3406
  • [23] Option-based management of technology investment risk
    Benaroch, M
    IEEE TRANSACTIONS ON ENGINEERING MANAGEMENT, 2001, 48 (04) : 428 - 444
  • [24] Risk-adjusted efficiency of the insurance industry: evidence from China
    Huang, Wei
    Paradi, Joseph C.
    SERVICE INDUSTRIES JOURNAL, 2011, 31 (11): : 1871 - 1885
  • [25] The pricing of deposit insurance in the presence of systematic risk
    Lee, Shih-Cheng
    Lin, Chien-Ting
    Tsai, Ming-Shann
    JOURNAL OF BANKING & FINANCE, 2015, 51 : 1 - 11
  • [26] A simple approach to risk-based deposit insurance pricing.
    Oh, SY
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 390 - 390
  • [27] THE VALUATION OF FDIC DEPOSIT INSURANCE USING OPTION-PRICING ESTIMATES
    MARCUS, AJ
    SHAKED, I
    JOURNAL OF MONEY CREDIT AND BANKING, 1984, 16 (04) : 446 - 460
  • [28] Empirical testing of a risk-adjusted Hotelling model
    Young, D
    Ryan, DL
    RESOURCE AND ENERGY ECONOMICS, 1996, 18 (03) : 265 - 289
  • [29] The pricing of loan insurance based on the Gram-Charlier option model
    Zhang, Yaojie
    Wei, Yu
    Shi, Benshan
    CHINA FINANCE REVIEW INTERNATIONAL, 2018, 8 (04) : 425 - 440
  • [30] Sensitivity analysis of bank deposit insurance based on Merton pricing model
    Dong, P.-W. (dongpeiwu@bit.edu.cn), 2012, Beijing Institute of Technology (21):
12345