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- W3124177890 abstract "This paper investigates the relationship between a debtor country's external financial indicators and the cost sassociated with the insurance of export credits to that country. For this purpose a stylized model of export credit insurance (ECI) is developed, the central idea being that ECI is similar to a contingent claim such as a European put option. Thus, tools from option pricing theory were used to calculate the price of ECI, implying that not only the current financial position but also the volatility of the changes in that position determine such costs. The empirical results of a statistical analysis of the premium rates for ECI, applied by a private export credit insurer to 77 developing countries during 1993, provide some support for these hypotheses. In particular, the reserves-over-imports ratio of a debtor country and the volatility of the rates of change of this ratio appear to contribute significantly to the premium rates which apply to that country. Thus, the paper provides evidence that option pricing parameters do play a role in practical insurance pricing, even if this pricing is not explicitly based on these parameters. Premium rates are set as if an underlying option market operated. Thus, the trade of countries with volatile external financial positions is saddled with higher costs than that of countries with more stable positions." @default.
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- W3124177890 date "1997-02-21" @default.
- W3124177890 modified "2023-09-23" @default.
- W3124177890 title "An Option-Pricing Approach to the Costs of Export Credit Insurance" @default.
- W3124177890 hasPublicationYear "1997" @default.
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