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|Title:||Analysing the Determinants of Insolvency Risk For General Insurance Firms in the UK|
|Keywords:||Insolvency;Doubly Stochastic Poisson Process;Insurance;Reinsurance|
|Citation:||Journal of Banking and Finance, 2017|
|Abstract:||This paper estimates a reduced-form model to assess the insolvency risk of General Insurance (GI) firms in the UK. In comparison 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 insolvency risk. The empirical results suggest that macroeconomic and firm-specific factors both play important roles. Other key findings are the following: insolvency risk varies across firms depending on their business lines; there is default clustering in the GI industry; different reinsurance levels also affect the insolvency risk of insurance firms. The implications of these findings for regulators of GI firms under the newly launched Solvency II are discussed.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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