Measuring Prospective Probabilities of Insolvency: An Application to the Life Insurance Industry
直接计算了多家上市寿险公司的破产概率，发现多数公司安全但部分风险较大，需监管关注，并检验了风险对参数的敏感性。
Recent developments in the life insurance industry suggest an increased need for a framework that can be systematically applied in evaluating insurers' financial viability. In this paper the probabilities of failure of several publicly traded life insurers are directly calculated. These probabilities are derived by assuming that asset returns are lognormally distributed and then calculating the parameters of that distribution for each insurer. As indicated by the findings, most life insurers are reasonably safe. However, the distribution of failure probabilities is skewed, so that several life insurers pose a large enough insolvency risk to warrant regulatory attention. In addition, the paper examines the sensitivity of insolvency risk to the estimated parameters of the basic framework.