260 /342
美國產險業
CEO
更迭與再保險需求
260
percentage of premiums in long-tail lines, coastal states premium, tax shield, ROA, and
group.
Ln
(
na
)
i,t
is proxy for firm size which is the natural logarithm of net admitted assets
(Mayers and Smith, 1990; Hoyt and Khang, 2000; Garven and Lamm-Tennant, 2003; Weiss
and Chung, 2004; Cole and McCullough, 2006; Garven et al., 2014; Wang et al., 2008).
Herfindahl
i,t
is line of business concentration as measured by Herfindahl index = Σ(
PW
i
/
TPW
)
2
, where
PW
i
is the value of written premiums in line
i
and
TPW
is the insurer’s total
written premiums (Mayers and Smith, 1990; Garven and Lamm-Tennant, 2003).
Geoherfindahl
i,t
(Geographic Herfindahl Index) is a measure of geographic concentration
(e.g., Cole and McCullough, 2006). The Geographic Herfindahl index is defined as Σ(
PW
i
/
TPW
)
2
where
PW
i
is the value of written premiums in state
i
, and
TPW
is the insurer’s total
written premiums.
Leverage
i,t
(Leverage) is defined as 1 minus the surplus-to-assets ratio.
UnderwritingRisk
i,t
(Underwriting Risk) is measured as the standard deviation of the loss
ratio. The loss ratio is defined as the ratio of loss incurred plus loss adjustment expenses
incurred divided by premiums earned (Angoff, 2005
22
). This is a major measurement with
respect to insurer risk. 2
year_Loss_Development
i,t
(Two Year Loss Development) is definied
as the development in estimated losses and loss expenses incurred two years before the
current year and prior year scaled by policyholders’ surplus (Cole and McCullough, 2006).
Coastal_prem
i,t
(Coastal Premium) is measured as the percentage of sum of the premium
when the insurer is domiciled in a hurricane-prone state (Alabama, Arkansas, Connecticut,
Delaware, Florida, Georgia, Louisiana, Maine, Maryland, Massachusetts, Mississippi, New
Hampshire, New Jersey, New York, North Carolina, Pennsylvania, Rhode Island, South
Carolina, Texas, Vermont, and Virginia) divided by total net written premium (Chen and Yan,
2012
23
).
Long–tail
i,t
(Percentage of Long-tail Lines), is premiums of long-tail lines divided by
total net written premiums. Long-tail lines or short-tail lines are determined by the length of
the loss payout period, as defined by Schedule P of the NAIC annual financial statement.
Tax_ex
i,t
(Tax-exempt) is measured as the ratio of tax-exempt investment income to total
investment income (Garven and Lamm-Tennant, 2003; Wang et al., 2008).
ROA
i,t
(ROA) is
22 Angoff (2005) notes that adjusted loss ratio, defined as the ratio of losses incurred (including loss
expenses incurred) divided by premiums earned, represents the pure cost of insurance coverage.
23 Chen and Yan (2012) use the coastal state dummy variable: 1 = if the insurer is domiciled in a hurricane-
prone state (Alabama, Arkansas, Connecticut, Delaware, Florida, Georgia, Louisiana, Maine, Maryland,
Massachusetts, Mississippi, New Hampshire, New Jersey, New York, North Carolina, Pennsylvania,
Rhode Island, South Carolina, Texas, Vermont, and Virginia) and 0 = otherwise. They defined the variable
based on Landscape of Natural Disasters of
USATODAY.com