Pricing of deposit insurance considering capital forbearance and jump risk

MaRDI QIDQ5376459zbMATH OpenFDO

Authors Fu Shuen Shie

Publication date 18 September 2018

Full work available at URL http://ijims.ms.tku.edu.tw/IJIMS/download.php?filename=39_1fadea0c.pdf&dir=recruit&title=Abstract

zbMATH Keywords

deposit insurancejump-diffusionscapital forbearanceregulatory closure policyself-closure policy

Mathematics Subject Classification ID

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(7)

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• A deposit insurance pricing with a multi-state regime-switching volatility
• Study on the deposit insurance pricing of the income tax on the excess of the income tax
• The pricing of deposit insurance considering regulatory capital and bankruptcy costs
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
• Risk management of deposit insurance corporations with risk-based premiums and credit default swaps

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