الأسس العلمية والعملية لتقييم الأداء فى شركات التأمين

Financial Ratios

(A Survey)

1

2

3

4

2

5

1

2 IRIS

3NAIC

4IRIS

5NAIC

-IRBC

-IIFAST

6

1

2

3U.K's Summary Ratio"

4

1

2(Chubb, 1998)

131892

2

1

291896

36Perspectives on insurance. By I. Pfeffer & D. Klock.

Edition 1974

3

1

23

12

34

56

79

4

25

2

351882918

441884522

6

3

1

Market StructureConduct &

Performance

2

18855

21

1885126

7

Concentration

Market Share

Firm Size

Growth

Foreign Competition

1 Firm Size

2 Market Share

3Foreign Competition

8

4

(Joy, 1983 P.499)

(Falk and Heintz, 1975 P. 762)

(The Review 1992)

(Daykin et al, 1984)

5

(Kimball. 1966, p 3)

(Nektarios. 1987, p 340-349)

(Schmit. 1986, p. 31)

6188451

McDowll, B. Deregulation and Competition in the Insurance Industry.

New York: Quorum Books, 1989.

Meier, K. J. The Political Economy of Regulation: The Case of

Insurance. State University of New Yorkpress: Suny, 1988.

9

1

1829

1892

1897

1882

SolvencyAsset Liability MatchingAsset

Liability Management

11

2 IRIS

(NAIC)

National Association of Insurance Commissioners

IRIS)Insurance Regulatory Information System

IRIS

IRIS11

12

918

188451

3418971

43

- A Study Presented to The Egyptian Insurance Supervisory Authority by

Faculty of Commarce - Cairo University - Mathematics & Insurance

Dept. and The Government Actuary Dep. (GAD), London, September

1996, pp. 231-234.

Pritchett, S. T., Schmit J. T., Doerpinghaus, H. I., and Athearn J. L., Risk

Management and Insurance, New York: West Publishing Company, 1996,

p 661.

12

123

456

79

1

1

822

1A(A)

222322

2

Pritchett S. & et al 1996.

13

3333

3

25

4

14

122

5

6

5412

6

1

2

1252

7

15

125

8

42

9

25

11

25

11

16

25

82818485

1

3NAIC

Best's Ratings and the NAIC's IRIS

(Denenberg, 1967), (Thornton & Meador, 1977), (Trieschmann & Pinches, 1973),

(Aetna Company, 1978)14, (Pinches & Trieschmann, 1974), (Eck 1979, 1982), (Aetna

Company, 1978), (Barrese, 1990), (Bar-Niv, 1983),(Ambrose, 1988), (Bar-Niv, 1990),

A Study Presented to The Egyptian Insurance Supervisory Authority,

OPCIT, , September 1996, pp. 219-221.

Cheong, I. "An Analysis of Solvency Regulation and Failure Prediction

in The U.S. Life Insurance Industry." Ph. D. Dissertation, Georgia State

University, 1991, PP 100-107.

American Insurance Association, Property/Liability Early Warning

Proposal, Prepared by Aetna Life & Casualty Company, 1987.

17

1

2

3Combined Ratio

4

5

6

7

9

4 IRIS

(NAIC)

IRISUnivariate

1

(Trieschmann & Pinches, 1973, p. 332.

1897143

18

2

3

4

IRIS

1

2

3

1

9

11

19

2

3

4

122

424262

62122

5NAIC

NAIC

NAIC

I(RBCRisk-based Capital

IIFinancial Analysis Tracking System (FAST)

IRBC

RBC

RBC (NAIC, 1993)

(Cummins, Harrington, and Niehaus, 1993)

20

1

2

3

4

RBC NAIC

1

2

3

4

Total

Adjusted Capital (TAC)) RBC

RBC

IIFinancial Analysis Tracking System (FAST)

NAIC's IRIS

1872 Financial Analysis Tracking System

(FAST) 1882 11

FAST

IRIS FAST 25

2IRIS

IRIS FAST FAST IRIS

21

FAST

FAST

NAIC FAST

RBC and FAST

1882NAIC

(RBCRisk-based Capital

(RBC

Financial

Analysis Tracking System (FAST) (RBC

1898

18821881FAST score

RBC

FAST

Grace, Harrington, and Klein (1995)

(12) Black, K., and Skipper, H., Life Insurance, 12th ed. Englewood

Cliiffs: Prentice Hall, Inc., 1994, p 1003.

Grace, Martin, Harrington, Scott E., and Klein, Robert W., Risk-Based

Capital and Solvency Screening: Hypotheses and Emperical Tests, National

Assoiation of Insurance Commissioners, 1998, pp. 1-36.

22

FAST

RBC1884

1885

NAIC RBC

RBC

RBC

FAST1882IRIS

screen and prioritize

RBC

RBC

RBC

RBCNAIC

RBC Draft

RBCactual capital

RBC

Klein (1993) NAIC

Willenborg (1992), BarNiv and McDonald (1992), and Lamm-Tennant,

Starks, and Stokes (1993).

Munch and Smallwood (1982) and Finsinger and Pauly (1984).

23

RBC FAST

FAST

2 FAST

FASTscores

6

IRIS

1- A. M. Best Company .

2- Moody's .

3- Standard & Poor's .

1A. M. Best Company

A. M. Best A++ A+ C F15

A+

- The Insurance Forum, September/October, 1993.

- Cheong, I. , OPCIT, 1991, pp 100-107.

- Nationwide Life Insurance Company: Nationwide Financial Ratings,

1998. On line http://www.nationwide.com/ insurance/company/ratings.html.

24

A. M. Best

Superior

Excellent

Very Good

Good

Fairly Good

Fair

A+

A & A-

B+

B-B

C+

C+ & C-

Source: A. M. Best Company, Explanation of Best's Ratings (Oldwick, N.J.: A.

M. Best Company, 1991), P 2-3.

2 :Moody's

Moody's

25

A++ .C

3:Standard & Poor's:

Standard & Poor's

Claims-paying ability422

222222

AAA .D

Overview: Standard & Poor's Insurer Claims-Paying Ability Ratings

(New York: Standard & Poor's Corporation, 1988), p 4-13.

The Wall Street Journal: April 9, 1991, A14.

25

A. M. Best

Company

IRIS

1

188215

52

19188916

26

NAIC

IRIS

52

2

9

1Insurance risk Ratio

2

3

4Earnings Ratio

5Surplus Relief Ratio

6

1885113

117

TRAC Insurance Services Ltd, Life TRAC Early Warning Solvency

Tests and Scores (Ratings), 1998. On line. http://www.trac.com/.

27

7

9

IRIS

3U.K's Summary Ratio"

122

solvent


OPCIT, September 1996, pp. 231-234.

28

4

1884

1887152153

29

1

Guaranty Funds

2Chubb

(Chubb, 1998)

1A. M.

Best Company

2

Krohm, G. C., "A Risk Manager's Guide to Insurer Insolvency," Risk

Management, December 1992, pp. 22-26.

Chubb's Brochure: What should you look for when evaluating an

insurance company?, 1998). On line. http://www.insurance.com/insurance

libarary.

30

3

4

5

131982

31892

38121891

12

1561889

31

2

1

422822

422822

122

2

IRIS

FAST


OPCIT, September 1996, p226-231.

32

2

19951996

1884188518851886

1

(1A)

IRIS

5556551278463686757

2

1

IRIS

11314212133427319319862132

3213241421835935231442

43239172133212242

51285562545541422975

6511121311911168

711121112121191212

18831884

1884188518851886

33

9

567

1235461555639433472

8483855323434363743

12512121313811188

11393445424849334538

12434657536257446449

Empirical Results

2

(1A) 1(1A)

322

9

NAIC

1NAIC

9

1.(1A)1 (1A)

NAIC

322

822

34

NAIC

222

127

3

33332

35

4

654

5

IRIS

35

9

2

128

29627292

9684

222322

6

11518

7

912

8

122

1886367424

1

36

111211

3948

124364

1

2

3

4

5

37

9

NAIC's IRIS12

11

NAIC's IRIS

IRisk-Based Capital (RBC)

RBC

RBC

II:Financial Analysis Tracking System (FAST)

IRIS

25

IRIS

38

6Financial

Analysis Tracking System (FAST) RBC

988281

FAST score

RBC

FAST

7

- -A Best

Company

9

8

12

39

11

12

13

1

1885

113117

2

1886357429

32918963

6Perspectives on insurance. By I. Pfeffer & D. Klock. Edition 1974

41897

5

188318841884188518851886

40

6

19

188916

7

35918

9

1892

8

341897

143

12

1887152153

11

21188516

12

6

18843882

13

1885

14

44522

1- A . M. Best Company, Explanation of Best's Ratings (Oldwick, N.J.: A. M. Best

Company, 1991), P 2-3. 2- A Study Presented to The Egyptian Insurance Supervisory Authority by

Faculty of Commerce - Cairo University - Mathematics & Insurance

Dept. and The Government Actuary Dep. (GAD), London, September

1996.

41

3- Ambrose, Jan M., and Seward, J. Allen. "Bests Ratings, Financial Ratios and Prior

Probabilities in Insolvency Protection," The Journal of Risk and Insurance, no. 55,

June 1988, pp. 229-244. 4- American Insurance Association, Property/Liability Early Warning Proposal, Prepared

by Aetna Life & Casualty Company, 1978. 5- Bar-Niv, Ran, "Insolvency Prediction for Property-Liability Insurers: New Statistical

Measures and the Effects of Alternative Accounting Practices. "Ph. D. Dissertation,

Ohio State University, 1983.

6- ____________, "Accounting Procedures, Market Data, Cash-Flow Figures, and

Insolvency Classification: The Case of the Insurance Industry," Accounting Review, no.

65, July 1990, pp. 578-604. 7- ____________, and Hershbarger, Robert A. "Classifying Financial Distress in the Life

Insurance Industry," The Journal of Risk and Insurance, no. 57, March 1990, pp. 110-

136.

8- ____________, and Smith, Michael L. Detecting Financial Distress in P/C," Risk

Management, February, 1987, pp. 38-45.

9- ____________, and McDonald, J. "Identifying Financial Distress in the Insurance

Industry: A Synthesis of Methodological and Empirical Issues," The Journal of Risk

and Insurance, 1992.

10- Barrese, James. "Assessing the Financial Condition of Insurers," CPCU Journal,

no. 43, March 1990, pp. 37-46.

11- Black, K., and Skipper, H., Life Insurance, 12th ed. Englewood

Cliiffs: Prentice Hall, Inc., 1994, pp 975-1018.

12- Cheong, I. "An Analysis Of Solvency Regulation and Failure

Prediction In The U.S. Life Insurance Industry." Ph. D. Dissertation,

Georgia State University, 1991, PP 100-107.

13- Chubb's Brochure: What should you look for when evaluating an

insurance company?, 1998). On line.

http://www.insurance.com/insurance library.

14- Cummins, J. D., Harrington, S., and Niehaus, J. "An Economic

Analysis of Risk-Based Capital Requirements in the Property-Liability

Insurance Industry, Journal of Insurance Regulation, 1993.

15- Daykin, C. D., Devitt, E. R., Khan, M. R., and Mccaughn, J. P. "The

Solvency of General Insurance Company," The Journal of Institute of

Actuaries, Vol. 3, Part 2, 1984. 16- Denenberg, Herbert S. "Is 'A-Plus" Really a Passing Grade?," The Journal of Risk

and Insurance, no. 34, September 1967, pp. 371-384. 17- Eck, James R. "A Critical Analysis of State Regulation of

Insurance." Ph. D. Dissertation, University of Illinois at Urbana -

Champaing, 1979.

18- _____________. "Detecting Financially Troubled Property-Liability

Insurers," Journal of Business Research, no. 10, 1982, pp. 445-458. 19- Finsinger, J., and Pauly, M. "Reserves Levels and Reserve Requirements for Profit-

Maximizing Insurance Firms. Reprinted (1991) in G. Dionne and S. Harrington, eds.

Foundations of Insurance Economics. Boston, Kluwer, 1984. 20- Grace, M. F., Harrington, S., and Klein, R., An Analysis of the FAST Monitoring

System, A report presented to the NAIC's Financial Analysis Research and

Development Working Group, December 2, 1995.

42

21- _____________________________________, Risk-Based Capital and Solvency

Screening: Hypotheses and Empirical Tests, National Association of Insurance

Commissioners, 1998, pp. 1-36.

22- Joy, O., "Introduction of Financial Management," 3rd ed, Richard Irwin, 1983. 23- Kimball, S. L., Essay in Insurance Regulation, (Ann Arbor: Spencer L. Kimball,

1966), p. 3 24- Klein, R., "Solvency Monitoring of Insurance Companies:

Regulators' Role and Future Direction". Presented at New York

University Salamon Center Conference on the Dynamics of the Insurance

Industry, 1993.

25- Krohm, G. C., "A Risk Manager's Guide to Insurer Insolvency,"

Risk Management, December 1992, pp. 22-26.

26- Lamm-Tennant, Starks, J. L., and Stokes, L. "A Cost-Effective

Approach for Regulating Insurance Company Solvency". Presented at

New York University Salamon Center Conference on the Dynamics of

the Insurance Industry, (1993).

27- McDowll, B. Deregulation and Competition in the Insurance

Industry. New York: Quorum Books, 1989.

28- Meier, K. J. The Political Economy of Regulation: The Case of

Insurance. State University of New York press: Suny, 1988. 29- Munch, P., and Smallwood, D. Theory of Solvency Regulation in the Property and

Casualty Insurance Industry. In G. Fromm, ed. Studies in Public Regulation.

Cambridge, Mass., MIT Press, 1982. 30- National Association of Insurance Commissioners. NAIC Property-liability Risk-

Based Capital Formula Exposure Draft, 1993. 31- Nektarios, M ., "The Role of the State in the Insurance Market," Journal of Insurance

Regulation, 54, March 1987, p 340-349.

32- Pinches, George E., Trieschmann, James S. "The Efficiency of Alternative Models for

Solvency Surveillance in the Insurance Industry," The Journal of Risk and Insurance,

no. 41, December 1974, pp. 563-578. 33- Pritchett, S. T., Schmit J. T., Doerpinghaus, H. I., and Athearn J. L.,

Risk Management and Insurance, New York: West Publishing

Company, 1996, PP. 638-658.34- Schmit, J. T., "The Hidden Regulators and the NAIC: Innovators in Improving

Consumer Protection," Journal of Insurance Regulation, 6, March 1986, p 31.

35- The Insurance Forum, September/October, 1993. 36- Thornton, John H., and Meador, Joseph W. "Comments on the validity of the

NAIC Early Warning System for predicting Failures Among P-L Insurance

Companies," CPCU Annals, no. 30, September 1977, pp. 191-211. 37- TRAC Insurance Services Ltd, Life TRAC Early Warning Solvency Tests and

Scores (Ratings), 1998. On line. http://www.trac.com/. 38- Trieschmann, James S., and Pinches, George E. "A Multivariate Model for

Predicting Financially Distressed P-L Insurers," The Journal of Risk and Insurance,

no. 40, September 1973, pp. 327-33. 39- Willenborg, M. In Search of Candidate Predictor Variables: Financial Statement

Analysis in the Property-liability Insurance Industry. Journal of Insurance Regulation,

1992.

45

1

09010909

49

2

FAST

50

2

FAST

51

FAST(I)

IRIS

The variables included in the FAST scoring system are listed below. (An “I” in

parentheses indicates that the variable also is included in .) The acceptable ranges and point

values for FAST are not publicly available.

1- Net premiums written to surplus (I)

2- Growth in net premiums written (I)

3- Surplus aid to surplus (I)

4- Investment yield (I)

5- Growth in surplus (I)

6- Two-year reserve development to surplus (I)

7- Change in combined ratio

8- Gross expenses to gross premiums written

9- Growth in gross expenses

10- Reinsurance recoverable on paid losses to surplus

11- Reinsurance recoverable on unpaid losses to surplus

12- Premiums in long-tailed lines to total premiums

13- Affiliate investments to surplus

14- Affiliate receivables to surplus

52

15- Miscellaneous recoverables to surplus

16- Non-investment grade bonds to surplus

17- Other invested assets to surplus

18- Growth in liquid assets

19- Growth in agents' balances

20- Managing producer exposure 11

21- Managing producer exposure 2 1

22- Cash outflow test

23- Gross premiums written to surplus

24- Reserves to surplus

25- Growth in gross premiums written

3

53

IRIS

3

IRIS

54

3

IRIS

11

1822

1A222

322

2

33

33

55

3

25

4

122

5

6

5412

6

1252

7

125

8

42

9

25

11

25

11

25

56

(A Survey)

1998