论文信息 - An ordered logit model for the evaluation of Dutch non-life insurance companies

An ordered logit model for the evaluation of Dutch non-life insurance companies

SummaryThis paper described the development of a model which determines the financial solidity of Dutch non-life insurers. Since bankruptcies of Dutch insurance companies are very rare, the assessment texts made by the supervisor are used to classify the companies. Because three classes are distinguished instead of two, standard approaches cannot be applied. Instead, an ordered logit model is used. Solvency, profitability, investments, and market share are found to be the most significant aspects. The model correctly classified almost 90% of the companies in a ten-fold cross-validation procedure and 84% in an out of sample test.

Bert Kramer | B. Kramer

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