金融重建基金即將在今年七月到期，屆時保障存款大眾權益、健全銀行經營與維繫金融安定之重責大任又將重回中央存款保險公司肩上。如何改革台灣存款保險中的定價制度，以使中央存款保險公司能再度膺此重任，尤為各界期待與關切的議題。本論文即以如何改革台灣存款保險中定價制度為研究主題。
    首先探討與定價攸關的各項議題，包括逆選擇與道德危險、保障額度與範圍、兩類最適存款保險費率的決定方法以及風險基準的存款保險費率能否解決道德危險問題等；其次回顧以選擇權評價模型計算風險基準的存款保險費率之重要文獻，主要為Merton (1977), Marcus and Shaked (1984) 與 Ronn and Verma (1986) 所提出的以選擇權評價為基礎的存款保險定價模型，因Ronn and Verma (1986) 較其他模型所具有的優勢，且考慮了監理姑息因素，故本論文選擇以此模型估計台灣32家上市銀行在1999至2001年的風險基準的存款保險費率。接著並參酌先進國家美加兩國在存款保險定價制度中改革之經驗，結合前章實證估計結果，提出對台灣存款保險最高保額、存保基金與風險基準存款保險費率改革之建議。
    本論文的主要發現：（1）所估計的台灣上市銀行的存款保險費率隨著時間的經過而增加，且隨著監理姑息程度的增加，所估計的保費也跟著增加；（2）不同的監理姑息程度將導致定價過高或過低不同的推論；因此，存款保險機構是否高估或低估存款保險費率端視其監理姑息程度而定；（3）以所估計的存保費率與實際費率比較，台灣的存款保險制度存在有定價偏低、費率範圍太窄、費率差距太小與級數太少等缺點，為改革之重點。
    本論文對台灣存款保險定價制度改革之建議為：（1）在最高保額方面，不建議增加被保存款上限；（2）在存款保險基金方面，建議訂定一個存保基金準備比率目標值（DRR），以作為適當保費設定之依據，從而能夠快速累積足夠的存款保險基金；同時當存保基金準備比率達到目標值後，應轉而採取區間目標值；（3）在保險費率之訂定方面，根據實證結果，為確保存款保險制度之公平與有效，應調高保險費率，否則需遵循比較嚴格地關閉有問題銀行的原則並採行立即糾舉措施，同時還應將存保費率範圍與各級費率差距拉大，費率級數也應增加，以確實反映受保機構之風險。
    本論文之主要貢獻：（1）第一篇以考慮了監理姑息之選擇權基礎之存款保險定價模型估計台灣上市銀行適當的存款保險費率之研究；（2）以實證結果歸納出台灣存款保險制度亟待改革的部分，並為台灣中央存款保險公司計畫調整其定價制度之行動提供實證支持；（3）以考慮了監理姑息之選擇權基礎之存款保險定價模型提供台灣中央存款保險公司改革定價制度之參考，此定價方法納入市場資訊與各被保機構對存保公司可能產生的潛在負債，並考慮監理姑息，有助於存保公司訂定公平且具彈性的費率，以便快速累積存款保險基金並提供銀行管理風險之誘因。（4）本論文對台灣存款保險定價制度提出了有價值的建議。

Since the Financial Restructuring Fund will be ceded in the coming July of 2005, the Central Deposit Insurance Corporation (hence CDIC) will be required at that time to reassume the responsibilities of protecting the rights of depositors, keeping the sound operation of the banks, and maintaining the stability of financial system. How to reform the pricing scheme of Taiwan’s deposit insurance system in order to have the CDIC carry out its mandates again has been and still is the critical issue concerned. Thus, this thesis mainly focuses on the issue of how to reform the deposit insurance pricing system.
    In the beginning, I examine the major issues related to deposit insurance pricing including adverse selection and moral hazard, the coverage of deposit insurance, the two kinds of pricing mechanisms applied to decide optimal insurance premium rates, and whether the risk-based deposit insurance premiums can solve the moral hazard problem. Then, I review the literature that applies option-pricing models to the deposit insurance pricing, especially those developed by Merton (1977) and his follows (Marcus and Shaked 1984, Ronn and Verma 1986). Furthermore, since that Ronn and Verma (1986) model owned advantages over other models and considered insurers’ policies, that is, regulatory forbearance, I pick this model to perform an empirical estimation using the data for 32 Taiwan Stock Exchange (TSE) listed commercial banks to calculate the proper deposit insurance premiums of these banks during the period of 1999 to 2001. And then, by considering the reforms of the deposit insurance pricing occurred in U.S. and Canada combined with the former empirical results, I propose recommendations for the reforms on the coverage of deposit insurance, the deposit insurance fund and the risk-based deposit insurance premiums of Taiwan’s CDIC.
    The main findings are stated as follows: (1) the estimated deposit insurance premiums, in addition to increasing with time, are also increasing with the degree of regulatory forbearance. (2) Different degrees of regulatory forbearance will lead to different inferences regarding over- or under-charging. The extent to which the deposit insurer under- or over-prices the deposit insurance premiums will depend on the degree of regulatory forbearance. (3) While comparing Taiwan’s present risk-based assessment rates with our results, problems including the levels of premium rates being too low, the range too narrow, the spreads too small, the tiers too few become clear. Thus how to deal with these problems is the focal point of the reform.
    The recommendations of this thesis for the reforms of Taiwan’s deposit insurance pricing are stated as follows: (1) in the aspect of deposit insurance coverage, we suggest not to increase the insured-deposit limit for the nonce. (2) In the aspect of deposit insurance fund, we suggest that Taiwan’s CDIC should have its own DRR in order to set proper premium rates to accumulate sufficient funds, and that the fund should fluctuate within some bounds when the actual reserve ratio of deposit insurance fund hits the DRR. (3) In the aspect of assessing deposit insurance premiums, we suggest that in order to ensure the fairness and effectiveness of the deposit insurance system, the premium rates should be raised or stringent closure rule along with PCA should be adopted, the ranges and spreads of premium rates should be widen, and the number of tiers should be increased in order to reflect the risks insured institutions bear.
    The main contributions of this thesis are stated as follows: (1) it is the first study that applies option-based model, which is also incorporated regulatory forbearance to estimate proper deposit insurance premiums of Taiwan’s listed banks. (2) Utilizing the empirical results to induce the parts of Taiwan’s deposit insurance pricing that in urgent need for reforms, and the results also provide justifiability and empirical support for Taiwan CDIC’s intention to adjust its pricing system. (3) This thesis proposes an alternative option, which is an option-based and under regulatory forbearance model for Taiwan’s CDIC to reform its pricing system. This model incorporating market data and considering a bank’s potential liability to the insuring agency and regulatory forbearance helps CDIC in Taiwan set proper and elastic premium rates and provide incentives for insured banks to manage their risks. (4) The thesis proposes valuable recommendations for the reform of Taiwan’s deposit insurance pricing.

TABLE OF CONTENTS
                                                       Page
Chapter 1: Introduction                                   1

1.1 The Motivation of the Thesis                          1
1.2 The Purpose of the Thesis                             4
1.3 The Structure of the Thesis                           6

Chapter 2: Issues on and Option Models for Deposit 
           Insurance Pricing                              8

2.1. Introduction                                         8
2.2. Issues on Deposit Insurance Pricing                  9
  2.2.1. Adverse Selection and Moral Hazard in Deposit 
         Insurance                                        9
  2.2.2. The Scope and Level of Coverage                 11
  2.2.3. Choosing between Alternative Premium Systems    11
  2.2.4. Can Risk-Based Deposit Insurance Premiums Control
         Moral Hazard?                                   13
  2.2.5. Incentive Compatible Deposit Insurance Pricing 
         and Regulation Policy                           14
2.3. Option Models for Deposit Insurance Pricing         15
  2.3.1. Merton’s Option Models for Deposit Insurance 
         Pricing                                         15
  2.3.2. Marcus-Shaked and Ronn-Verma Models for Deposit 
         Insurance Pricing                               18
  2.3.3. Other Option Models for Deposit Insurance 
         Pricing                                         21
2.4. Summary of the Chapter                              24

Chapter 3: Empirical Estimation of Deposit Insurance 
           Premiums Using Ronn-Verma Option Model for 
           Taiwan’s Commercial Banks                    25

3.1. Introduction                                        25
3.2. Empirical Model                                     27
3.3. Data                                                30
3.4. Empirical Findings                                  32
3.5. Implications of Empirical Results                   36
3.6. Summary of the Chapter                              37

Chapter 4: Proposal for Reforming Taiwan’s Deposit 
           Insurance Pricing                             53

4.1. Introduction                                        53
4.2. The Reforms of Deposit Insurance Pricing in U.S. and
     Canada                                              55
  4.2.1. The Reforms of the Coverage of Deposit Insurance
         in U.S. and Canada                              55
  4.2.2. The Reforms of the Deposit Insurance Funds in 
         U.S. and Canada                                 59
  4.2.3. The Reforms of Deposit Insurance Premiums in U.S. 
         and Canada                                      63
4.3. The Proposal for Reforming Taiwan’s Deposit 
     Insurance Pricing                                   70
  4.3.1. The Reform Proposal for the Coverage of Deposit 
         Insurance of Taiwan’s CDIC                     70
  4.3.2. The Reform Proposal for the Deposit Insurance 
         Funds of Taiwan’s CDIC                         72
  4.3.3. The Reform Proposal for the Deposit Insurance 
         Premiums of Taiwan’s CDIC                      75
4.4. Summary of the Chapter                              79

Chapter 5: Conclusions                                   82

5.1. The Findings of the Empirical Estimation on the 
     Risk-Based Deposit Insurance Pricing                83
5.2. The Proposal for Reforming Taiwan’s Deposit 
     Insurance Pricing                                   84


References                                               87
 
LIST OF FIGURES
Figures                                                 Page
Figure 3-1 Risk-based Deposit Insurance Premium, 1999, under various ρs                                         40
Figure 3-2 Risk-based Deposit Insurance Premium, 2000, under various ρs                                         41
Figure 3-3 Risk-based Deposit Insurance Premium, 2001, under various ρs                                         42
Figure 3-4 A Comparison of Risk-based Deposit Insurance Premiums for the Three Years, ρ=0.95                     43
Figure 3-5 A Comparison of the Actual and Weighted Average Premiums under Various ρs for the three Years            44
Figure 3-6 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 1999                        45
Figure 3-7 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 2000                        46
Figure 3-8 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 2001                        47
Figure 3-9 A Comparison of the Spreads under Various ρs for the Three Years                                      48

LIST OF TABLES
Tables                                                 Page
Table 2-1 Payoffs of Firms Credits with a Third-Party Guarantee                                                17
Table 3-1 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 1999                                  49
Table 3-2 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 2000                                  50
Table 3-3 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 2001                                  51
Table 3-4 Summary Statistics of Deposit Insurance Premiums (ρ = 0.95 )                                              52
Table 3-5 Comparisons of the Means, Ranges and Spreads of the Risk-adjusted Deposit Insurance Premiums             52
Table 4-1 A Comparison of the Coverage of Deposit Insurance among U.S., Canada and Taiwan                            59 
Table 4-2 The Reforms of Deposit Insurance Funding & Fund Management among U.S., Canada and Taiwan                62  
Table 4-3 The Percentage of Number of FDIC-Insured Institutions and Assessable Deposits in Risk Groups, 12/31/2002                                               64
Table 4-4 The Comparison of Risk Assessment and Intervention among U.S., Canada and Taiwan               69
Table 4-5 The Assigned Premium Rates for Each of the Nine Groups for the CDIC Insured Institutions                 77

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