Note(s): This table reports the average root mean squared error (RMSE) for the components of the different Z-score approaches. Our final dataset comprises 183 insurers (1,382 observations) operating in the Spanish insurance sector during the period 2010–2017. Zs1 is defined in Equation [3], Zs2 is defined in Equation [4], Zs3 is defined in Equation [5], Zs4 is defined in Equation [6], Zs5 is defined in Equation [7], and Zs6 is defined in Equation [8]. ROA_t is the value of ROA in year t; ROA_μ3 is the three-year moving average of ROA. Eq/TA_t is the value of the equity-to-total assets ratio in year t; Eq/TA_μ3 is the three-year moving average of Eq/TA. σROA₂ is the two-year moving SD of ROA, σROA₃ is the three-year moving SD of ROA, and σROA_T is the SD of ROA calculated over the whole period. The minimum average RMSE is highlighted in Italic