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Date of Publication:2014-01-01

Journal:运筹与管理

Issue:2

Page Number:206-212

ISSN No.:1007-3221

Abstract:It is generally considered that the overall costs of bank failures are higher than those in other indus-tries.This is due to the existence of negative externalities of bank failures , which may lead to additional loss of the default banks ’ assets .This paper establishes a pricing model of deposit insurance with consideration of bank -ruptcy externalities .It is taken into account that each default bank ’ s bankruptcy cost involves not only its assets loss caused by liquidation but also the externalities that may increase other banks ’ bankruptcy cost .Expected loss pricing method is used to calculate the net premium of deposit insurance while the additional premium is de -termined utilizing Shapley value .The total premium accordingly reflects each bank ’ s marginal contribution to the total bankruptcy cost of the whole banking system .Three scenarios are constructed to test the model .The results show that it is negatively correlated between the premium and the banking system ’ s acquisition ability of the bankruptcy assets , and this correlation becomes more significant when the economic situation deteriorates .Mean-while, the number of insured banks in the banking system impacts the premium negatively .

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