Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

DOI10.1007/S11579-019-00245-XMaRDI QIDQ2299385zbMATH OpenOpenAlexFDO

Authors Tat Wing Wong

Publication date 21 February 2020

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-019-00245-x

zbMATH Keywords

deposit insurancegame optionbankruptcy costLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Applications of game theory (91A80) Jump processes on general state spaces (60J76)

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Cites work

• scientific article; zbMATH DE number 3296964 (Why is no real title available?)
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Cited in

(3)

• Insurance guaranty premiums and exchange options
• Pricing of deposit insurance considering capital forbearance and jump risk
• Strategic bank closure and deposit insurance valuation

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