运筹与管理2011，Vol.20Issue(1)：150-156,7.
监管宽容下资本展期的存款保险定价模型
Deposit Insurance Pricing Model with Capital Extension under Regulatory Forbearance
摘要
Abstract
The deposit insurance system can release the risk of running on a deposit institution.Therefore it protects depositor' s benefit.The characteristics of deposit insurance contract with regulatory forbearance are as follows :if the deposit institution insured is incapable of paying deposit off on due time, it will not be settled immediately during the range of regulatory forbearance, but will be subsidized by deposit insurance agency.In order to determine deposit insurance fees accurately, on the foundation of the regulatory forbearance, this article introduces capital extension, i.e.deposit institution subsidized will operate further until capital extension ends.However , if the deposit institution is still insolvency with its assets again on the capital extension end, then it will be liquidated.Based on the above hypothesis, this article constructs a deposit insurance pricing model with capital extension under regulatory forbearance incorporating the subsidy into insurance fees as deposit institution' s contingent obligation.It depicts the correspondence between deposit insurance price and regulatory forbearance and capital extension through rigorous mathematical derivation.The conclusion indicats that the more of regulatory forbearance and the longer of capital extension, the higher is the price of deposit insurance.At last, an empirical analysis is presented with the model constructed in this article.关键词
金融工程/存款保险价格/监管宽容/资本展期分类
管理科学引用本文复制引用
孙晓琳,秦学志,陈田..监管宽容下资本展期的存款保险定价模型[J].运筹与管理,2011,20(1):150-156,7.基金项目
国家自然科学基金资助项目(70771018) （70771018）
教育部人文社科基金资助项目(05JA630005) （05JA630005）
教育部新世纪优秀人才支持计划基金资助项目(2005) （2005）
大连理工大学人文社会科学研究基金联合资助(助推辽宁振兴与和谐发展的信用体系优化研究) （助推辽宁振兴与和谐发展的信用体系优化研究）
