Arbeitspapier
Analysing the determinants of credit risk for general insurance firms in the UK
Abstract This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm-specific factors both play important roles. Other key findings are the following: credit risk varies across firms depending on their business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of insurance firms. The implications of these findings for regulators of GI firms under the coming Solvency II are discussed.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1591
- Klassifikation
-
Wirtschaft
Insurance; Insurance Companies; Actuarial Studies
Financial Econometrics
- Thema
-
Insolvent
Doubly Stochastic
Insurance
Reinsurance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Cerrato, Mario
Zhang, Xuan
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Cerrato, Mario
- Zhang, Xuan
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2016
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