Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/142795
Autor:innen: 
Caporale, Guglielmo Maria
Cerrato, Mario
Zhang, Xuan
Datum: 
2016
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1591
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Insolvent
Doubly Stochastic
Insurance
Reinsurance
JEL: 
G22
C58
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
925.65 kB





Publikationen in EconStor sind urheberrechtlich geschützt.