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Dynamic Financial Models of Life Insurers

Author

Listed:
  • Mark Browne
  • James Carson
  • Robert Hoyt

Abstract

The Society of Actuaries seeks to provide actuaries of life insurance companies with a systematic approach for estimating the adverse effects of economic developments that could impede insurer performance. Toward that end, this study combines market and economic factors with insurerspecific data to form dynamic financial models of life insurers. Empirical analysis is based on annual data from 1985 through 1995 for 1,593 life insurers. By identifying important exogenous and insurer-specific factors related to life insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The study also identifies and describes several Web sites that provide access to relevant economic and financial data.

Suggested Citation

  • Mark Browne & James Carson & Robert Hoyt, 2001. "Dynamic Financial Models of Life Insurers," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(2), pages 11-26.
    • Handle: RePEc:taf:uaajxx:v:5:y:2001:i:2:p:11-26
    DOI: 10.1080/10920277.2001.10595981
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    Citations

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    Cited by:

    1. Yu‐Luen Ma & B. Elango, 2008. "When Do International Operations Lead to Improved Performance? An Analysis of Property‐Liability Insurers," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 11(1), pages 141-155, March.
    2. Katja Hanewald & Thomas Post & Helmut Gründl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 458-475, July.
    3. Yakob Rubayah & Yusop Zulkornain & Radam Alias & Ismail Noriszura, 2012. "Solvency Determinants of Conventional Life Insurers and Takaful Operators," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-25, June.
    4. Muhammed Altuntas & Gerrit Gößmann, 2016. "The Relationship Between Home Market Performance and Internationalization Decisions: Evidence From German Insurance Groups," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(1), pages 37-71, March.
    5. Martin Eling & Ruo Jia & Philipp Schaper, 2022. "The magic triangle: growth, profitability and safety in the insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(2), pages 321-348, April.
    6. Elango, B., 2009. "Minimizing effects of 'liability of foreignness': Response strategies of foreign firms in the United States," Journal of World Business, Elsevier, vol. 44(1), pages 51-62, January.
    7. Batsirai Winmore Mazviona & Mbakisi Dube & Tendai Sakahuhwa, 2017. "An Analysis of Factors Affecting the Performance of Insurance Companies in Zimbabwe," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(1), pages 1-2.
    8. Eling, Martin & Jia, Ruo & Schaper, Philipp, 2017. "Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety," Working Papers on Finance 1716, University of St. Gallen, School of Finance.
    9. Yu‐Luen Ma & Yayuan Ren, 2021. "Insurer risk and performance before, during, and after the 2008 financial crisis: The role of monitoring institutional ownership," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 351-380, June.
    10. Kanitsorn Terdpaopong & Robert C. Rickards, 2021. "Thai Non-Life Insurance Companies’ Resilience and the Historic 2011 Floods: Some Recommendations for Greater Sustainability," Sustainability, MDPI, vol. 13(16), pages 1-19, August.
    11. Željko Vojinović & Sunčica Milutinović & Dario Sertić & Bojan Leković, 2022. "Determinants of Sustainable Profitability of the Serbian Insurance Industry: Panel Data Investigation," Sustainability, MDPI, vol. 14(9), pages 1-22, April.
    12. Chen-Ying Lee, 2014. "The effects of firm specific factors and macroeconomics on profitability of property-liability insurance industry in Taiwan," Journal of Business & Management (COES&RJ-JBM), , vol. 2(1), pages 221-227, January.
    13. Chen-Ying Lee, 2014. "The Effects of Firm Specific Factors and Macroeconomics on Profitability of Property-Liability Insurance Industry in Taiwan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(5), pages 681-691, May.

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