Description of variables and data sources
| Variable | Variable description and data sources |
|---|---|
| Risk disclosure variables | |
| RDISCL_TOT | Insurer's total risk disclosure: number of complete sentences in Sections B.3 “Risk management system including the own risk and solvency assessment” and C. “Risk Profile” (Source(s): SFCR Sections B.3 and C.) |
| RDISCL_RP | Insurer's risk profile disclosure: number of complete sentences in Section “C. Risk Profile” (Source(s): SFCR Section C.) |
| RDISCL_RM | Insurer's risk management disclosure: number of complete sentences in Section B.3 “Risk management system including the own risk and solvency assessment” (Source(s): SFCR Section B.3) |
| Measurement variables | |
| SIZE | Insurer's size: natural logarithm of “Total assets” valued in accordance with Solvency II (in € thousand) (Source(s): QRT S.02.01.02) |
| SOLV | Insurer's solvency ratio: “Total eligible own funds to meet the SCR” divided by “SCR” (Source(s): QRT S.23.01.01) |
| LIFE | Life insurer status: binary variable that equals 1 if the insurer is a life insurer in accordance with the BaFin classification and 0 otherwise (Source(s): BaFin, 2021a) |
| PLAW | Insurer's legal form: binary variable that equals 1 if the insurer or an entity affiliated with it is governed by public law and 0 otherwise (Source(s): BaFin, 2021a and SFCR Section A.1) |
| Control variables | |
| PROF | Insurer's (pseudo) profitability: “Total Net Premiums written” minus “Total Net Claims incurred” and “Total Expenses” for each insurance line divided by „Total assets“ (Source(s): QRT S.05.01.02 and S.02.01.02) |
| BTM | Insurer's (pseudo) book-to-market ratio of equity: “Book value of equity” divided by “Excess of assets over liabilities” (Source(s): Insurer's balance sheet in the annual report and QRT S.02.01.02) |
| BLIN | Insurer's business lines: number of reported lines of business as defined in Annex I of the Delegated Regulation 2015/35 (Source(s): QRT S.05.01.02) |
| DER | Insurer's use of derivatives: binary variable that equals 1 if the insurer reports “Derivatives” in their balance sheet valued in accordance with Solvency II and 0 otherwise (Source(s): QRT S.02.01.02) |
| MODL | Insurer's SCR model: binary variable that equals 1 if the insurer uses a partial or full internal model to calculate the SCR and 0 otherwise (Source(s): QRT S.25.01., S.25.02., or S.25.03) |
| GRP | Insurer's group membership: binary variable that equals 1 if the insurer is part of an insurance group and 0 otherwise (Source(s): SFCR Section A.1) |
| LIST | Insurer's listing status: binary variable that equals 1 if the insurer is listed on a stock exchange and 0 otherwise (Source(s): Refinitiv Eikon) |
| Variable | Variable description and data sources |
|---|---|
| Insurer's total risk disclosure: number of complete sentences in Sections B.3 “Risk management system including the own risk and solvency assessment” and C. “Risk Profile” (Source(s): SFCR Sections B.3 and C.) | |
| Insurer's risk profile disclosure: number of complete sentences in Section “C. Risk Profile” (Source(s): SFCR Section C.) | |
| Insurer's risk management disclosure: number of complete sentences in Section B.3 “Risk management system including the own risk and solvency assessment” (Source(s): SFCR Section B.3) | |
| Insurer's size: natural logarithm of “Total assets” valued in accordance with Solvency II (in € thousand) (Source(s): QRT S.02.01.02) | |
| Insurer's solvency ratio: “Total eligible own funds to meet the SCR” divided by “SCR” (Source(s): QRT S.23.01.01) | |
| Life insurer status: binary variable that equals 1 if the insurer is a life insurer in accordance with the BaFin classification and 0 otherwise (Source(s): | |
| Insurer's legal form: binary variable that equals 1 if the insurer or an entity affiliated with it is governed by public law and 0 otherwise (Source(s): | |
| Insurer's (pseudo) profitability: “Total Net Premiums written” minus “Total Net Claims incurred” and “Total Expenses” for each insurance line divided by „Total assets“ (Source(s): QRT S.05.01.02 and S.02.01.02) | |
| Insurer's (pseudo) book-to-market ratio of equity: “Book value of equity” divided by “Excess of assets over liabilities” (Source(s): Insurer's balance sheet in the annual report and QRT S.02.01.02) | |
| Insurer's business lines: number of reported lines of business as defined in Annex I of the Delegated Regulation 2015/35 (Source(s): QRT S.05.01.02) | |
| Insurer's use of derivatives: binary variable that equals 1 if the insurer reports “Derivatives” in their balance sheet valued in accordance with Solvency II and 0 otherwise (Source(s): QRT S.02.01.02) | |
| Insurer's SCR model: binary variable that equals 1 if the insurer uses a partial or full internal model to calculate the SCR and 0 otherwise (Source(s): QRT S.25.01., S.25.02., or S.25.03) | |
| Insurer's group membership: binary variable that equals 1 if the insurer is part of an insurance group and 0 otherwise (Source(s): SFCR Section A.1) | |
| Insurer's listing status: binary variable that equals 1 if the insurer is listed on a stock exchange and 0 otherwise (Source(s): Refinitiv Eikon) | |
Note(s): If the Minimum Capital Requirement (MCR) of an insurer is higher than its SCR, we calculate SOLV as the MCR ratio (“Total eligible own funds to meet the MCR” divided by “MCR”) for this insurer and year, as non-compliance of the MCR would have substantial supervisory implications and presents a higher risk exposure. In addition, this leads to a non-comparable excessive solvency ratio, which makes the MCR ratio more meaningful overall for these cases (N = 57)
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