The Impact of the Macroeconomic Environment on Insurance Companies

• Název práce v češtině: The Impact of the Macroeconomic Environment on Insurance Companies
• Název v anglickém jazyce: The Impact of the Macroeconomic Environment on Insurance Companies
• Klíčová slova: Hrubé pojistné, životní pojištění, neživotní pojištění
• Klíčová slova anglicky: Gross written premiums, life insurance, non-life insurance
• Akademický rok vypsání: 2013/2014
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 03.06.2014
• Datum zadání: 03.06.2014
• Datum a čas obhajoby: 22.09.2015 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 27.07.2015
• Datum proběhlé obhajoby: 22.09.2015
• Oponenti: Mgr. Josef Brechler

Seznam odborné literatury

Christophersen, C. & P. Jakubik (2014): “Insurance and the macroeconomic environment.” EIOPA-FS 14. Available at: https://eiopa.europa.eu/publications/financial-stability/eiopa-financial-stability-reports/eiopa-financial-stability-report-may-2014/index.html.
EIOPA (2014): “European insurance and occupational pensions authority.” Available at: https://eiopa.europa.eu/.
Eling, M. & M. Kochanski (2013): “Research on lapse in life insurance: What has been done and what needs to be done?” Journal of Risk Finance 14(4): pp. 392–413.
Faugere, C. & J. V. Erlach (2003): “The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance.” Finance 0311004, EconWPA.
Feyen, E., R. Lester, & R. Rocha (2011): “What drives the development of the insurance sector? An empirical analysis based on a panel of developed and developing countries.” Policy Research Working Paper Series 5572, The World Bank.
Haiss, P. & K. Smegi (2008): “The relationship between insurance and economic growth in Europe: A theoretical and empirical analysis.” Empirica 35(4): pp. 405–431.
IAIS (2014): “International association of insurance supervisors.” http://www.iaisweb.org/.
Kiesenbauer, D. (2011): “Main determinants of lapse in the german life insurance industry.” Fakultr Mathematik und Wirtschaftswissenschaften, UNIVERSIT ULM.
Kim, C. (2005): “Modeling surrender and lapse rates with economic variables.” Department of Mathematics, University of Texas. Available at: http://www.docstoc.com/docs/164546367/Modeling-Surrender-And-Lapse-Rates-With-Economic-Variables.

Předběžná náplň práce v anglickém jazyce

The insurance sector plays an important role for financial and economic development and might significantly affect stability of the financial system. There is therefore a need to examine the impact of macroeconomic determinants on insurance companies to control potential systemic risk. By introducing quantitative macro-prudential frameworks, the main risks and weaknesses threatening financial stability of the European insurance sector can be reduced.
The determination of this framework could support policy-makers to detect and quantify different economic scenarios affecting insurance companiesҠbalance sheets. Variables as GWP or lapse rates are among the key factors influencing insurance market growth which is strongly linked with the macroeconomic environment (Faugere & Erlach, 2003). This thesis therefore examines those relationships and assesses the growth of insurance sector during 2005 - 2012.

Hypotheses:
1.There is a strong correlation between the growth in gross written premiums in the life insurance sector and the macroeconomic determinants (unemployment rate, nominal and real GDP, permanent income and interest rates).
2.There is a strong correlation between the growth in gross written premiums in the non-life insurance sector and the macroeconomic determinants (unemployment rate, nominal and real GDP, permanent income and interest rates).
3.There are substantial cross-countries differences among the importance of different macroeconomic determinants on the insurance sector development.
4.The lapse rates in the life insurance industry are highly correlated with the macroeconomic growth.

Methodology:
The relationship between insurance business growth and the macroeconomic environment will be modeled by employing a panel regression with fixed effects separately for life and non-life insurance sector.
The choice of appropriate dependent variable influencing the growth in the insurance sector must be subject of detailed analysis. However the variables as GWP, lapse rates etc. will be considered. The key macroeconomic indicators as population, permanent income, unemployment rate, inflation rate, nominal GDP and real GDP etc. will be used in regressions as independent variables.

I will use the set of data collected by national authorities which is available for download at the EIOPA (European Insurance and Occupational Pensions Authority) website. These annual data contain the information about GWP for both life and non-life sector of 30 European countries from 2005. Another data source is EUROSTAT collecting the relevant data for estimation of our hypotheses.

Expected Contribution:
I will set out an estimation strategy used to estimate the macroeconomic factors that drive growth of both life and non-life insurance sector which is not very well developed by other researchers. The results can provide the reaction of the insurance sector on different macroeconomic scenarios and detect if the explaining factors have positive or negative impact on insurance market growth. These findings could offer several useful insights for policy-makers and researchers. A broader set of panel data of European member states collected by EIOPA and more variables explaining the growth in insurance sector bring new contributions to the current discussion in the academic literature.