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http://bura.brunel.ac.uk/handle/2438/15114
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Cerrato, M | - |
dc.contributor.author | Zhang, X | - |
dc.date.accessioned | 2017-09-04T13:49:36Z | - |
dc.date.available | 2017-12-11 | - |
dc.date.available | 2017-09-04T13:49:36Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Journal of Banking and Finance, 2017 | en_US |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/15114 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.subject | Insolvency | en_US |
dc.subject | Doubly Stochastic Poisson Process | en_US |
dc.subject | Insurance | en_US |
dc.subject | Reinsurance | en_US |
dc.title | Analysing the Determinants of Insolvency Risk For General Insurance Firms in the UK | en_US |
dc.type | Article | en_US |
dc.relation.isPartOf | Journal of Banking and Finance | - |
pubs.publication-status | Accepted | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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Fulltext.pdf | 1.85 MB | Adobe PDF | View/Open |
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