Ronn, E.I. and Verma, A.L. (1986) Pricing risk-adjusted deposit insurance: An option-based model. Journal of Finance, 41, 871-895.
基于几何分数布朗运动的溢额再保险存款保险定价Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion
存款保险定价, 几何分数布朗运动, 溢额再保险Deposit Insurance Pricing, Geometric Fractional Brownian Motion, Excess Reinsurance
《Advances in Applied Mathematics》, Vol.4 No.2, 2015-05-05
在假定银行资产服从几何分数布朗运动的前提下，建立了溢额再保险存款保险定价模型，并利用保险精算方法推导出存款保险定价公式。最后选取了我国四大国有银行进行了实证分析，结果表明存款保险费率与银行资产波动率呈现一定的正相关性，且再保险费率均低于原保险费率。因此，所建立的基于几何分数布朗运动的溢额再保险的存款保险定价模型更能反映实际。Under the assumption of bank assets subject to geometric fractional Brownian motion, the deposit insurance pricing model of excess reinsurance is established. And the deposit insurance pricing formula is derived with actuarial methods. Finally, China’s four major state-owned banks’ empirical analysis shows that the deposit insurance rates and the volatility of bank assets showed some positive correlation, and the reinsurance premium rates were lower than the original. Therefore, the established deposit insurance pricing model of excess reinsurance based on geometric frac-tional Brownian motion is better to reflect reality.