Insurers: A Structural Equation Modeling Approach

Insurers: A Structural Equation Modeling Approach

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by Etti G. Baranoff , Savas Papadopoulos , Thomas W. Sager

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Datum	Value	Source
TITLE	Insurers: A Structural Equation Modeling Approach	SVM HeaderParse 0.2
AUTHOR NAME	Etti G. Baranoff	SVM HeaderParse 0.2
AUTHOR AFFIL	Assistant Professor of Insurance; School of Business; Virginia Commonwealth University	SVM HeaderParse 0.2
AUTHOR ADDR	1015 Floyd Avenue; Richmond, Virginia 23284-4000	SVM HeaderParse 0.2
AUTHOR NAME	Savas Papadopoulos	SVM HeaderParse 0.2
AUTHOR AFFIL	Visiting Assistant Professor; Department of Statistics; Rice University	SVM HeaderParse 0.2
AUTHOR ADDR	Houston, Texas 77005-1892	SVM HeaderParse 0.2
AUTHOR NAME	Thomas W. Sager	SVM HeaderParse 0.2
AUTHOR AFFIL	Professor of Statistics and Director; Center for Statistical Sciences; Department of Management Science and Information Systems; The University of Texas at Austin, CBA 5.202	SVM HeaderParse 0.2
AUTHOR ADDR	Austin, Texas 78712-1175	SVM HeaderParse 0.2
ABSTRACT	This is the first academic study of capital structure in the life insurance industry to compare the effects of two different measures of asset risk in a panel of risks. The first measure embodies a regulatory (actuarial) viewpoint. The second reflects volatility of market returns. We model capital as a function of one or the other asset risk, plus a product risk factor based on health insurance exposure. The methodology incorporates recent advances in structural equation modeling that allow factor-analytic components and autocorrelated errors within dynamic sets of simultaneous equations. In comparing the two runs, we find that regulatory asset risk is much more influential than product risk, which is much more influential than market asset risk.	SVM HeaderParse 0.2
CITATIONS	18 found	ParsCit 1.0