Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk

Journal of Banking and Finance

Volumn 29, Issue 10, 2005, Pages 2435-2454

  Duan, Jin Chuan ^a   Yu, Min Teh ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b PROVIDENCE UNIVERSITY   (Taiwan)

Author keywords

Catastrophe; Guaranty fund; Option pricing; Risk based capital

Indexed keywords

EID: 23844520306     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.08.012     Document Type: Article

References (25)

1. R. Cooperstein G. Pennacchi S. Redburn The aggregate cost of deposit insurance: A multiperiod analysis Journal of Financial Intermediation 4 1995 242-271
2. J. Cox J. Ingersoll S. Ross The term structure of interest rates Econometrica 53 1985 363-384
3. J.D. Cummins Risk-based premiums for insurance guaranty funds Journal of Finance 43 1988 593-607
4. J.D. Cummins S.E. Harrington R. Klein Insolvency experience, risk-based capital, and prompt corrective action in property-liability insurance Journal of Banking and Finance 19 1995 511-527
5. N.A. Doherty J.R. Garven Price regulation in property-liability insurance: A contingent-claims approach Journal of Finance 41 1986 1031-1050
6. J.-C. Duan A. Moreau C.W. Sealey Deposit insurance and bank interest rate risk: Pricing and regulatory implications Journal of Banking and Finance 19 1995 1091-1108
7. J.-C. Duan J.-G. Simonato Estimating and testing exponential-affine term structure models by kalman filter Review of Quantitative Finance and Accounting 13 1999 111-135
8. J.-C. Duan M.-T. Yu Forbearance and pricing deposit insurance in a multiperiod framework Journal of Risk and Insurance 61 1994 575-591
9. J.-C. Duan M.-T. Yu Capital standard, forbearance and deposit insurance coverage under GARCH Journal of Banking and Finance 23 1999 1691-1706
10. M. Grace S. Harrington R. Klein Risk-based capital and solvency screening in property-liability insurance: Hypotheses and empirical tests Journal of Risk and Insurance 65 1998 213-243
11. L.-M. Han G.C. Lai R.C. Witt A financial-economic evaluation of insurance guaranty fund system: An agency cost perspective Journal of Banking and Finance 21 1997 1107-1129
12. E.J. Kane Three paradigms for the role of capitalization requirements in insured financial institutions Journal of Banking and Finance 19 1995 431-459
13. E.J. Kane Dynamic inconsistency of capital forbearance: Long-run vs. short-run effects of too-big-to-fail policymaking Pacific-Basin Finance Journal 9 2001 281-300
14. A. Kraus S. Ross The determination of fair profits for the property-liability insurance firm Journal of Finance 37 1982 1015-1028
15. J.H. McCulloch Interest-risk sensitive deposit insurance premia Journal of Banking and Finance 9 1985 137-156
16. R.C. Merton Option prices when underlying stock returns are discontinuous Journal of Financial Economics 3 1976 125-144
17. R.C. Merton An analytic derivation of the cost of deposit insurance and loan guarantee Journal of Banking and Finance 1 1977 3-11
18. R.C. Merton On the cost of deposit insurance when there are surveillance costs Journal of Business 51 1978 439-451
19. G. Pennacchi Alternative forms of deposit insurance: Pricing and bank incentive issues Journal of Banking and Finance 11 1987a 291-312
20. G. Pennacchi A reexamination of the over- (or under-) pricing of deposit insurance Journal of Money, Credit, and Banking 19 1987b 340-360
21. E. Ronn A. Verma Pricing risk-adjusted deposit insurance: An option-based model Journal of Finance 41 1986 871-895
22. A.M. Santomero D.F. Babbel Financial risk management by insurers: An analysis of the process Journal of Risk and Insurance 64 1997 231-270
23. D.C. Shimko The valuation of multiple claim insurance contracts Journal of Financial and Quantitative Analysis 27 1992 229-246
24. U.S. General Accounting Office, 1991. State Handling of Financially Troubled Property/Casualty Insurers, GAO/GGD-91-92, May
25. O.A. Vasicek An equilibrium characterization of the term structure Journal of Financial Economics 5 1977 177-188