摘要
本文运用Merton期权定价模型、RV期权定价模型和预期损失定价模型,计算我国16家商业银行的存款保险费率,并比较三种定价模型得出的费率结果。提出我国存款保险最优的定价模式,并对我国存款保险定价方法和费率水平提出建议。
Using Merton option pricing model, the RV option pricing model and the expected loss pricing model, this paper calculates 16 commercial banks＂ deposit insurance premium rates and compares the results made from the above three methods. The optimal pricing model is proposed and some sugges- tions on the deposit insurance pricing and premium are also proposed.
出处
《保险职业学院学报》
2016年第5期18-22,共5页
Journal of Insurance Professional College
关键词
存款保险
保险费
期权定价
预期损失定价
Deposit insurance
Insurance premium
Option pricing
Expected loss pricing
