Study On The Pricing Of Bank Deposit Surplus Reinsurance Based On Mixed Fractional Brown Motion

The deposit insurance system is a system that the bank pays certain insurance money to the deposit insurance institution, and when the crisis happens, the insurance institution can guarantee its solvencyIn this paper, we study the reinsurance of bank deposit based on the mixed fractional Brown motion:(1) introduced the classical Merton option pricing model and its expansion.?Black-Scholes option pricing formula;?Merton deposit insurance pricing model;?Marcus-Shaked deposit insurance pricing model;?Ronn - Verma deposit insurance pricing model.(2)On the basis of Merton option pricing model, this paper puts forward the following two bank deposit surplus reinsurance pricing models:?A pricing model of bank deposit surplus reinsurance based on Geometric Fractional Brown motion;?The model of bank deposit excess reinsurance pricing based on mixed fractional Brown motion.(3)Empirical analysis.?Determining China's listed banks deposit surplus reinsurance rates,and on the basis of the Commercial Bank of our country's deposit overflow factors and causes analysis of the effect of reinsurance premium;?Combined with the actual situation of the implementation of the bank deposit surplus reinsurance in China, this paper puts forward the corresponding countermeasures and suggestions on the pricing system of bank deposit surplus reinsurance.