Macroeconomic Factors and Insurer Rating Transitions

38 Pages Posted: 24 Feb 2010

See all articles by Yuling Wang

Yuling Wang

Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law

James M. Carson

University of Georgia

Date Written: February 14, 2010

Abstract

This paper examines macroeconomic factors and their relationship to property-liability insurer rating transitions. We find that intensities of insurer rating upgrades and downgrades are significantly related to macroeconomic and market covariates. In particular, controlling for firm-specific characteristics including rating history, firm size, business mix, and organizational form, results indicate that macroeconomic conditions are important to insurers’ upgrade intensity, while insurance market conditions are dominant in insurers’ downgrade transitions.

Keywords: Insurer Rating Transitions, Survival Analysis, Macroeconomic Factors

JEL Classification: C14, C41, E32, G24

Suggested Citation

Wang, Yuling and Carson, James M., Macroeconomic Factors and Insurer Rating Transitions (February 14, 2010). Available at SSRN: https://ssrn.com/abstract=1558456 or http://dx.doi.org/10.2139/ssrn.1558456

Yuling Wang

Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law ( email )

College of Business
Tallahassee, FL 32306
United States
850-6442777 (Phone)

James M. Carson (Contact Author)

University of Georgia ( email )

Athens, GA 30602-6254
United States

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