Macroeconomic Factors and Insurer Rating Transitions
38 Pages Posted: 24 Feb 2010
Date Written: February 14, 2010
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
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