# 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

DOI: 10.12677/AAM.2015.42012, PDF, HTML, XML, 下载: 2,031  浏览: 6,657  科研立项经费支持

Abstract: 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.

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