Journal ArticleDOI
The Impact of Firm Risk on Property-Liability Insurance Prices
TLDR
In this paper, the authors examined the impact of an insurer's level of insolvency risk on the prices the insurer obtains for its products in the property-liability insurance market.Abstract:
This article examines the impact of an insurer's level of insolvency risk on the prices the insurer obtains for its products in the property-liability insurance market. The measures of insolvency risk used are those implied by the option pricing model of insurance. The key finding is the existence of a negative relation between insolvency risk and insurance prices. This implies that property-liability insurers are penalized for default risk through lower prices, despite the existence of guaranty funds. Other firm-specific determinants of insurance prices are also identified. The results have significant implications for insurance researchers and regulators.read more
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Journal ArticleDOI
Investment risk taking by institutional investors
Janko Gorter,Jacob A. Bikker +1 more
TL;DR: The authors assesses the relevance of these conflicting incentives for Dutch pension funds and insurance firms over the period 1995 to 2009 and conclude that overall neither risk-shifting nor risk-management incentives seem to dominate.
Journal ArticleDOI
An Exploratory Analysis of Insurer Groups
L. Lee Colquitt,David W. Sommer +1 more
TL;DR: In this paper, the authors investigated the effect of insurer membership in a group on insurer behavior and found that a group affiliated insurer tends to be larger than a non-group insurer, is licensed in New York, is more likely to be a stock firm than a mutual, and is less geographically concentrated.
Journal ArticleDOI
Equity Capital, Internal Capital Markets, and Optimal Capital Structure in the US Property-Casualty Insurance Industry
J. David Cummins,Mary A. Weiss +1 more
TL;DR: In this article, the authors review the most pertinent literature on the sources and uses of equity capital in the US property-casualty (P-C) insurance industry and show that even the most highly diversified risk pools, uncertainty is not reduced to zero, and insurers must hold equity capital to credibly promise that claims will be paid even if losses are higher than expected.
Posted Content
Pricing Life Insurance: Combining Economic, Financial, and Actuarial Approaches
TL;DR: In this paper, the authors examined the pricing of term life insurance based on the economic approach of profit maximization, and incorporating the financial approach of stochastic interest rates, investment returns, and the insolvency option, while also including actuarial modeling of mortality risk.
Journal ArticleDOI
Insurability of Pandemic Risks
TL;DR: In this article, the authors analyze the scope for the private market for pandemic insurance and discuss the potential role of the financial market and the government in this area, based on a premise that pandemics are classified as catastrophic risks by the insurance industry, they start by providing a framework that explains theoretically how the catastrophe insurance supply and demand depend on the skewed and fat-tailed loss distributions and the co-movement between insurance stocks performance.
References
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Journal ArticleDOI
Elements of Econometrics.
Ian Domowitz,Jan Kmenta +1 more
TL;DR: The Elements of Econometrics as mentioned in this paper is a textbook for upper-level undergraduate and master's degree courses and may usefully serve as a supplement for traditional Ph.D. courses in economics.
Book
Elements of econometrics
TL;DR: The emphasis is on simplification whenever possible, assuming the readers know college algebra and basic calculus, and Jan Kmenta explains all methods within the simplest framework, and generalizations are presented as logical extensions of simple cases.
Journal ArticleDOI
Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets
David Mayers,Clifford W. Smith +1 more
TL;DR: In this article, the authors provide a foundation for a positive theory of insurance contracting with examples of its testable predictions and argue that incentive conflicts arise when discretionary action is authorized and that contractual provisions and organizational structures control sources of conflict within the insurance market.
Journal ArticleDOI
Price, Financial Quality, and Capital Flows in Insurance Markets
TL;DR: In this article, the authors developed a model of price determination in insurance markets, which predicts that the price of insurance, measured by the ratio of premiums to discounted losses, is inversely related to insurer default risk.
Journal ArticleDOI
Stock Versus Mutual Ownership Structures: The Risk Implications
TL;DR: In this paper, the authors provide empirical tests of the risk differences between two types of ownership structure in the property-liability insurance industry and provide empirical evidence that suggests stock insurers have more risk than mutuals where the risk inherent in future cash flows is proxied by the variance of the loss ratio.
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