Variables
| Explanatory variable | Definition | Data source |
|---|---|---|
| Dependent variables | ||
| Insolvency risk | Neperian logarithm of Z-score multiplied by minus one | Authors’ calculation using Thomson Reuters Refinitiv |
| Explanatory variable | Definition | Data source |
|---|---|---|
| Neperian logarithm of Z-score multiplied by minus one | Authors’ calculation using Thomson Reuters Refinitiv | |
| Independent variables | Expected sign | ||
|---|---|---|---|
| ESG controversies | ESG controversies score: Index ranging from 0 to 100 multiplied by minus one | Thomson Reuters Refinitiv | + |
| ESG practices | ESG score: Index ranging from 0 to 100, where 1 is the highest punctuation | Thomson Reuters Refinitiv | – |
| Firm-specific variables | |||
| Reinsurance | Reinsurance premiums paid divided by total premiums earned | Authors’ calculation using Thomson Reuters Refinitiv | – |
| Premium growth | Annual growth of total premiums | Authors’ calculation using Thomson Reuters Refinitiv | – |
| Equity growth | Annual growth of total equity | Authors’ calculation using Thomson Reuters Refinitiv | – |
| Leverage | Debt to Equity ratio | Authors’ calculation using Thomson Reuters Refinitiv | + |
| Firm size | Neperian logarithm of total assets | Thomson Reuters Refinitiv | – |
| Industry and macroeconomic variables | |||
| Inflation | Annual inflation rate | Thomson Reuters Refinitiv | + |
| HHI | Herfindahl–Hirschman index calculated as the sum of the squares of all insurance companies’ market share in terms of premiums written | Authors’ calculation using Thomson Reuters Refinitiv | +/− |
| GDP growth | Annual real GDP growth | Thomson Reuters Refinitiv | – |
| ESG controversies score: Index ranging from 0 to 100 multiplied by minus one | Thomson Reuters Refinitiv | + | |
| ESG score: Index ranging from 0 to 100, where 1 is the highest punctuation | Thomson Reuters Refinitiv | – | |
| Reinsurance premiums paid divided by total premiums earned | Authors’ calculation using Thomson Reuters Refinitiv | – | |
| Annual growth of total premiums | Authors’ calculation using Thomson Reuters Refinitiv | – | |
| Annual growth of total equity | Authors’ calculation using Thomson Reuters Refinitiv | – | |
| Debt to Equity ratio | Authors’ calculation using Thomson Reuters Refinitiv | + | |
| Neperian logarithm of total assets | Thomson Reuters Refinitiv | – | |
| Annual inflation rate | Thomson Reuters Refinitiv | + | |
| Herfindahl–Hirschman index calculated as the sum of the squares of all insurance companies’ market share in terms of premiums written | Authors’ calculation using Thomson Reuters Refinitiv | +/− | |
| Annual real GDP growth | Thomson Reuters Refinitiv | – | |
| Dummy control variables | ||
|---|---|---|
| Activity dummy | Dummy variables that take the value of 1 for purely life and health/property-casualty insurers | Thomson Reuters Refinitiv |
| Year dummy | Year dummies | Thomson Reuters Refinitiv |
| Region dummy | Region dummies (the Americas, Europe, and the US) | Thomson Reuters Refinitiv |
| Dummy variables that take the value of 1 for purely life and health/property-casualty insurers | Thomson Reuters Refinitiv | |
| Year dummies | Thomson Reuters Refinitiv | |
| Region dummies (the Americas, Europe, and the US) | Thomson Reuters Refinitiv | |
Source(s): Table by authors
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