Strategic bank closure and deposit insurance valuation

DOI10.1016/J.EJOR.2018.09.032zbMath1441.91080OpenAlexW2893534058WikidataQ129182485 ScholiaQ129182485MaRDI QIDQ2183313

Tat Wing Wong, Ka Wai Terence Fung, Kwai Sun Leung

Publication date: 26 May 2020

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.09.032

zbMATH Keywords

financedeposit insurancebankruptcy costIsraeli optiontoo big to fail

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness

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