Acturial pricing of deposit insurance.

Summary "Using a pricing formula for options on coupon bonds (Jamshidian (1989), El Karoui-Rochet (1990)) we are able to compute the actual pricing deposit for a commercial bank. Our formula takes into account the maturity structure of the bank's balances sheet, as well market parameters such as the term structure of interest rates and the volatilities of zero coupon bonds. The relation with asset liability management methods is explored.".