A comparison of neural network, statistical methods, and variable choice for life insurers' financial distress prediction

Journal of Risk and Insurance

Volumn 73, Issue 3, 2006, Pages 397-419

  Brockett, Patrick L ^a   Golden, Linda L ^a   Jang, Jaeho ^b   Yang, Chuanhou ^c  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b Samsung Advanced Institute of Technology (SAIT)   (South Korea)

^c GANNON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33748463786     PISSN: 00224367     EISSN: 15396975     Source Type: Journal    
DOI: 10.1111/j.1539-6975.2006.00181.x     Document Type: Article

References (35)

1. Altman, E. I., 1968, Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy, Journal of Finance, 23:589-609.
2. A.M. Best Company, 1992, Best's Insolvency Study, Life-Health Insurers A.M. Best Company, Oldwick, NJ).
3. Baranoff, Etti G., Thomas W. Sager, and Robert C. Witt, 1999, Industry Segmentation and Predictor Motifs for Solvency Analysis of the Life/Health Insurance Industry, Journal of Risk and Insurance, 66 1): 99-123.
4. Baranoff, Etti G., Thomas W. Sager, and Thomas S. Shively, 2000, A Semiparametric Stochastic Spline Model as a Managerial Tool for Potential Insolvency, Journal of Risk and Insurance, 67 3): 369-396.
5. BarNiv, R., and J. B. McDonald, 1992, Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues, Journal of Risk and Insurance, 59:543-573.
6. BarNiv, R., and R. A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, Journal of Risk and Insurance, 57:110-136.
7. Barrese, James, 1990, Assessing the Financial Condition of Insurers, CPCU Journal, 43 1): 37-46.
8. Brockett, Patrick L., Richard Derrig, and Xiaohua Xia, 1998, Using Khonen's Self Organizing Feature Map to Uncover Automobile Bodily Injury Claim Fraud, Journal of Risk and Insurance, 65 2): 245-274.
9. Brockett, P. L., W. W. Cooper, L. L. Golden, and U. Pitaktong, 1994, A Neural Network Method for Obtaining and Early Warning of Insurer Insolvency, Journal of Risk and Insurance, 61:402-424.
10. Browne, M. J., J. M. Carson, and R. E. Hoyt, 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, Journal of Risk and Insurance, 66 4): 643-659.
11. Bryson, A. E., and Y. C. Ho, 1969, Applied Optimal Control Blaisdell, New York).
12. Carson, J. M., and Robert E. Hoyt, 1995, Life Insurer Financial Distress: Classification Models and Empirical Evidence, Journal of Risk and Insurance, 62: 764-775.
13. Carson, J. M., and R. E. Hoyt, 2000, Evaluating the Risk of Life Insurer Insolvency: Implications from the US for the European Union, Journal of Multinational Financial Management, 10:297-314.
14. Coats, P. K., and L. F. Fant, 1993, Recognizing Financial Distress Patterns Using a Neural Network Tool, Financial Management, 22
15. Cummins, J. David, Scott E. Harrington, and Robert Klein, 1995, Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance, Journal of Banking and Finance, 19: 511-527.
16. Cummins, J. D., M. E. Grace, and R. D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation, Journal of Risk and Insurance, 66 3): 417-458.
17. Edmister, R. O., 1972, An Empirical Test of Financial Ratio Analysis for Small Business Failure Predictions, Journal of Financial and Quantitative Analysis, 7:1477-1493.
18. Fryman, H., E. I. Altman, and D. L. Kao, 1985, Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress, Journal of Finance, 40: 269-291.
19. Grace, Martin, Scott Harrington, and Robert Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65 2): 213-243.
20. Huang, C. S., R. E. Dorsey, and M. A. Boose, 1994, Life Insurer Financial Distress Prediction: A Neural Network Model, Journal of Insurance Regulation, 13:133-167.
21. Kohonen, T. G. Barna, and R. Chrisley, 1988, Statistical Pattern Recognition with Neural Networks: Benchmark Studies, Proceedings of the Second Annual IEEE International Conference on Neural Networks, 1:61-68.
22. Kohonen, T., 1998, Learning Vector Quantization, in M. A. Arbib, ed., The Handbook of Brain Theory and Neural Networks MIT Press, Cambridge, MA, 537-540).
23. Kohonen, T., J. Hynninen, J. Kangas, J. Laakosonen, and K. Torkkola, 1996, LVQ_PAK: The Learning Vector Quantization Program Package Helsinki University of Technology, Laboratory of Computer and Information Science Technical Report A30).
24. Luther, R. K., 1993, Predicting the Outcome of Chapter 11 Bankruptcy: An Artificial Neural Network Approach, Ph.D. Dissertation, University of Mississippi.
25. Palepu, K. G., 1986, Predicting Takeover Targets: A Methodological and Empirical Analysis, Journal of Accounting and Economics, 8: 3-35.
26. Parker, D. B., 1985, Learning Logic, Technical Report, TR-47, Center for Computational Research in Economics and Management Science MIT, Cambridge, MA).
27. Pinches, G. E., and J. S. Trieschmann, 1974, The Efficiency of Alternative Models for Solvency Surveillance in the Insurance Industry, Journal of Risk and Insurance, 41: 563-577.
28. Rumelhart, D. E., G. E. Hinton, and R. J. Williams, 1986, Learning Representations by Back-Propagating Errors, Nature, 323 9):523-536.
29. Salchenberger, L. M., E. M. Cinar, and N. A. Lash, 1992, Neural Networks: A New Tool for Predicting Thrift Failures, Decision Science, 23 4): 899-915.
30. Sinkey, J. F., Jr., 1975, Multivariate Statistical Analysis of the Characteristics of Problem Banks, Journal of Finance, 30: 21-36.
31. Trieschmann, J. S., and G. E. Pinches, 1973, A Multivariate Model for Predicting Financially Distressed Property-Liability Insurance Companies, Journal of Risk and Insurance, 40:327-338.
32. Viaene, Stijn, Richard A. Derrig, Bart Baesens, and Guido Dedene, 2002, A Comparison of State of the Art Classification Techniques for Expert Automobile Insurance Claim Fraud Detection, Journal of Risk and Insurance, 69 3): 373-421.
33. Werbos, P., 1974, Beyond Regression: New Tools for Prediction and Analysis in the Behavioral Sciences, Ph.D. Dissertation, Harvard University.
34. Zavgren, C. V., 1983, The Prediction of Corporate Failure: The State of the Art, Journal of Accounting Literature, 2:1-38.
35. Zavgren, C. V., 1985, Assessing the Vulnerability of Failure of American Industrial Firms: A Logistic Analysis, Journal of Business Finance and Accounting, 12: 19-45.