A simultaneous equation model is developed that jointly determines net interest margin and various maturity gaps. Using annual data for the majority of the population of insured commercial banks, this model is estimated for the years 1984 to 1987 (the only years for which repricing data were...

Previous empirical studies on catastrophe (CAT) bond premium calculations rely almost exclusively on actuarial models, and usually compare their accuracy strictly in terms of in-sample t and predictive power. We contribute to this literature by deriving a utility-based specification for pricing...