The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the values of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

As a result of Solvency II, academics and practitioners anticipate further consolidation in the insurance industry as the new regulatory framework rewards well-diversified insurers with lower capital requirements and challenges smaller insurers to meet the (operational) regulatory requirements....

In this paper, we use financial valuation techniques to measure the unfunded liabilities associated with the PBGC single‐employer pension insurance program. This is an alternative approach to the calculations of expected future PBGC payouts in the PBGC Exposure Reports. The PBGC insurance is...

The article addresses the issue of stress testing based on the probability of bankruptcy and a rating migration matrix. The analysis is conducted on a sample of listed companies in Poland in the years 1998-2016, and the forecasts are made for the years 2016-2018. Particular attention is paid to...

This study investigates scope economies, organizational form, and insolvency risk for a sample of takaful firms in 19 countries. Firm efficiency is estimated using data envelopment analysis, performance is also gauged using return on equity and return on assets, and insolvency risk is measured...

Using propensity score matching and survival analysis, we examine the performance of FHA- and privately-insured home purchase mortgages relative to uninsured mortgages. Privately-insured loans are more likely to default than uninsured loans with comparable risk characteristics, indicating the...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company....

In this paper, we discuss our research on the effects of regulatory forbearance on the outcomes for high-risk and distressed property-casualty insurance companies. A fundamental question that has been examined in the extant literature is whether greater regulatory forbearance tends to increase...