The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry‐wide Factors in Property–Liability Insolvency Prediction
研究了1994-2008年间风险资本比率等变量在预测财产责任保险公司破产中的表现，发现其准确性随时间不一致，且飓风暴露、利率变化等显著影响破产倾向。
Abstract This research analyzes the performance of the risk‐based capital (RBC) ratio and other variables in predicting insolvencies in the property–liability insurance industry during the period 1994–2008. The results indicate that the accuracy of the RBC ratio in predicting insolvencies is inconsistent over time and that some previously tested financial ratios that are part of the FAST system do not always reliably predict insurer insolvency. In addition, the insolvency propensity is found to be significantly related to an insurer's hurricane prone area exposure, changes in interest rates, the industry‐wide combined ratio, and the industry‐wide Herfindahl index of premiums written.