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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
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.
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.
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
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.
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
A Study Presented to The Egyptian Insurance Supervisory Authority,
OPCIT, September 1996, pp. 231-234.
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.
31
2
1
422822
422822
122
2
IRIS
FAST
A Study Presented to The Egyptian Insurance Supervisory Authority,
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
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.
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