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Full-Text Articles in Management Sciences and Quantitative Methods
Applying A Two-Step Maximum Likelihood Method To Examine The Deposit Insurance Program Of Taiwan, David K. Wang, Chun-Chou Wu, Heng-Chih Chou
Applying A Two-Step Maximum Likelihood Method To Examine The Deposit Insurance Program Of Taiwan, David K. Wang, Chun-Chou Wu, Heng-Chih Chou
Journal of Marine Science and Technology
This paper examines the deposit insurance program of Taiwan. We adopt Duan et al. [4]’s deposit insurance pricing model, and estimate the deposit insurance premium by the Duan and Simonato two-step maximum likelihood method [5]. Our results show that the maximum likelihood estimates for the deposit insurance premium are considerably higher than the official rates currently charged by the Central Deposit Insurance Corporation (CDIC), the deposit insuring agency of Taiwan, indicating that the CDIC deposit insurance program appears to hand out a substantial subsidy to the banks in Taiwan. Our results also show that the CDIC in fact grants too …
Life Insurer Risk-Based Capital: An Option Pricing Approach, Samuel H. Cox, Arthur M.B. Hogan
Life Insurer Risk-Based Capital: An Option Pricing Approach, Samuel H. Cox, Arthur M.B. Hogan
Journal of Actuarial Practice (1993-2006)
This paper uses an option pricing framework to estimate life insurer risk-based capital. Stock market data and statutory asset and liability data are used to calculate the implied level of statutory risk-based capital for each of 18 insurers. We calculate the level of risk-based capital required to avoid subsidy from the guaranty fund. Our results suggest that less capital is required than that required under the New York actuarial risk-based capital formula. Firm rankings, however, are similar under both methods, although the methods are not directly comparable. We also determine the level of capital required if the subsidy provided to …