引入所得税的Merton模型存款保险定价研究

Study on Deposit Insurance Pricing Based on the Introduction of Income Tax in Merton Model

存款保险定价是存款保险制度建设中的核心内容,合理的保费厘定关乎存款保险制度的建立和存款机构的参与程度。从传统的Merton模型入手,在模型中引入了存款机构和保险公司所得税因素,将税盾效应应用于存款保险的定价中,建立了拓展的Merton模型。选取国内10家上市银行为样本,测算存款保险的保费费率,通过费率间的比较分析,得出引入所得税的拓展的存款保险定价模型能够明显降低保费费率,税盾效应显著。从风险测算和分阶段建立存款保险制度两个方面提出相关建议。

Deposit insurance pricing is the core content of the deposit insurance system, a reasonable premium is extremely relating to the establishment of the deposit insurance system in China as well as to the participation of depository institutions. Using traditional Merton model to start, this paper introduces the income tax of depository institutions and insurance companies which can produce tax shield effect for deposit insurance pricing, and a developed Merton model is established. Then ten listed bank companies are selected as samples to calculate the premium rates of deposit insurance, and some comparative analysis is followed. Finally, the conclusion that the application of the income tax in Merton model can significantly reduce the premiums is arrived. That means the tax shield effect is significant. And some recommendations like risk estimates and step by step to establish the deposit insurance system are suggested.