Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145006
Authors: 
Caporale, Guglielmo Maria
Cerrato, Mario
Zhang, Xuan
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 5971
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.
Subjects: 
insolvent
doubly stochastic
insurance
reinsurance
JEL: 
G22
C58
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.