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Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models

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  • Florez-Lopez, Raquel

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  • Florez-Lopez, Raquel, 2007. "Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1488-1512, December.
    • Handle: RePEc:eee:ejores:v:183:y:2007:i:3:p:1488-1512
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    1. David Cummins, J. & Sommer, David W., 1996. "Capital and risk in property-liability insurance markets," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1069-1092, July.
    2. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 3-98, Wharton School Rodney L. White Center for Financial Research.
    3. Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
    4. Tabakis, Evangelos & Vinci, Anna, 2002. "Analysing and combining multiple credit assessments of financial institutions," Working Paper Series 123, European Central Bank.
    5. Adiel, Ron, 1996. "Reinsurance and the management of regulatory ratios and taxes in the property--casualty insurance industry," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 207-240, October.
    6. Grunert, Jens & Norden, Lars & Weber, Martin, 2005. "The role of non-financial factors in internal credit ratings," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 509-531, February.
    7. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 6(1), pages 3-38, January.
    8. Mike Adams & Bruce Burton & Philip Hardwick, 2003. "The Determinants of Credit Ratings in the United Kingdom Insurance Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 539-572, April.
    9. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
    10. Antonio Afonso, 2003. "Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 56-74, March.
    11. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
    12. repec:bla:jfinan:v:53:y:1998:i:4:p:1389-1413 is not listed on IDEAS
    13. Jennifer J. Gaver & Steven W. Pottier, 2005. "The Role of Holding Company Financial Information in the Insurer‐Rating Process: Evidence From the Property‐Liability Industry," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(1), pages 77-103, March.
    14. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
    15. Mike Adams & Bruce Burton & Philip Hardwick, 2003. "The Determinants of Credit Ratings in the United Kingdom Insurance Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3-4), pages 539-572.
    16. Berger, Lawrence A & Cummins, J David & Tennyson, Sharon, 1992. "Reinsurance and the Liability Insurance Crisis," Journal of Risk and Uncertainty, Springer, vol. 5(3), pages 253-272, July.
    17. Steven W. Pottier, 1997. "Life Insurer Risk Characteristics and the Rating Process," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 20(2), pages 111-130.
    18. Harrington, Scott E & Danzon, Patricia M, 1994. "Price Cutting in Liability Insurance Markets," The Journal of Business, University of Chicago Press, vol. 67(4), pages 511-538, October.
    19. Brunner, Antje & Pieter, Jan & Weber, Martin, 2000. "Information production in credit relationship: On the role of internal ratings in commercial banking," CFS Working Paper Series 2000/10, Center for Financial Studies (CFS).
    20. repec:fth:pennfi:67 is not listed on IDEAS
    21. Cantor, Richard & Packer, Frank, 1997. "Differences of opinion and selection bias in the credit rating industry," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1395-1417, October.
    22. Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 03-98, Wharton School Rodney L. White Center for Financial Research.
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    2. Patrycja Chodnicka -Jaworska & Piotr Jaworski, 2019. "Insurance Companies – What Determinates Their Credit Ratings," Faculty of Management Working Paper Series 52019, University of Warsaw, Faculty of Management.
    3. Van Laere, Elisabeth & Baesens, Bart, 2010. "The development of a simple and intuitive rating system under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 500-510, June.
    4. Murtaza Nasir & Nichalin Summerfield & Ali Dag & Asil Oztekin, 2020. "A service analytic approach to studying patient no-shows," Service Business, Springer;Pan-Pacific Business Association, vol. 14(2), pages 287-313, June.
    5. Haven, Emmanuel & Liu, Xiaoquan & Shen, Liya, 2012. "De-noising option prices with the wavelet method," European Journal of Operational Research, Elsevier, vol. 222(1), pages 104-112.
    6. Guotai Chi & Zhipeng Zhang, 2017. "Multi Criteria Credit Rating Model for Small Enterprise Using a Nonparametric Method," Sustainability, MDPI, vol. 9(10), pages 1-23, October.
    7. Abhijit Sharma & Diara Md. Jadi & Damian Ward, 2021. "Analysing the determinants of financial performance for UK insurance companies using financial strength ratings information," Economic Change and Restructuring, Springer, vol. 54(3), pages 683-697, August.

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