Note(s): This table presents the determinants of Insolvency risk with four different measures (z-score, volatility of ROA, volatility of ROE and BETA) for 120 North American, Canadian, Bermuda, and European insurance issuers from 2011 to 2022 using the system-GMM estimation. Insolvency risk is the neperian logarithm of Z-score multiplied by minus one; ESG controversies is ESG controversies score from Eikon multiplied by minus one; E Score is the Environmental Pillar Score from Eikon; S Score is the Social Pillar Score from Eikon; G Score is the Governance Pillar Score from Eikon; Reinsurance is the ratio of reinsurance premiums paid to total premiums earned; Premium growth is the annual growth of total premiums. Equity growth is the annual growth of total equity; Leverage is the debt to equity ratio; Firm size is the logarithm of total assets; Inflation is the annual inflation rate; HHI is the Herfindahl–Hirschman index calculated as the sum of the squares of all insurance companies’ market share in terms of premiums written, and GDP growth is the annual real GDP growth rate. Significance levels are indicated as follows ***, **, and *: significant at the 1, 5, and 10 percent level. m_i is a serial correlation test of order i using residuals in first differences, asymptotically distributed as N(0,1) under the null hypothesis of no serial correlation. Hansen is a test of the overidentifying restrictions, asymptotically distributed as χ² under the null hypothesis of no correlation between the instruments and the error term, with degrees of freedom in parentheses

Source(s): Table by authors