Title :
An Estimate of Deposit Insurance Premium Considering Liquidity Risk
Author :
Horng, Min-Sun ; Kao, Liang-Fa ; Chen, Roger C Y
Author_Institution :
Dept. of Risk Manage. & Insurance, Nat. Kaohsiung First Univ. of Sci. & Technol., Kaohsiung
Abstract :
The purpose of this article is to employ a deposit insurance pricing model to estimate the costs of deposit insurance considering liquidity risk. We use Monte Carlo simulation method for the premium evaluation and analysis. Our empirical results find that the premiums levied by the Central Deposit Insurance Corporation (CDIC) are lower for those listed institutions over the sample period. The technical insolvency does have its role in the deposit insurance premium. Even it is much lower than the cost of real insolvency.
Keywords :
Monte Carlo methods; costing; estimation theory; insurance; risk analysis; Central Deposit Insurance Corporation; Monte Carlo simulation method; cost estimation; deposit insurance premium estimation; deposit insurance pricing model; liquidity risk; Banking; Costs; Government; Insurance; Maximum likelihood estimation; Pricing; Protection; Risk management; Safety; Technology management;
Conference_Titel :
Innovative Computing Information and Control, 2008. ICICIC '08. 3rd International Conference on
Conference_Location :
Dalian, Liaoning
Print_ISBN :
978-0-7695-3161-8
Electronic_ISBN :
978-0-7695-3161-8
DOI :
10.1109/ICICIC.2008.138
