Side effects of the pandemic: impacts on the business interruption insurance market

Gomes, Izadora de Geus Monteiro; Carvalho, João Vinícius de França

doi:10.1590/1808-057x2024143.en

Variables	size	leverage	portdiver	geodiver	group	BrasilGDP	ECR	premiums (R$)	claims (R$)
Mean: all insurers (n=180)	21.55	0.59	0.68	-7.97	0.87	27.30	0.90	15,642,497.81	3,820,305.94
Standard deviation: all insurers	1.73	1.75	0.20	2,334.76	0.33	0.21	39.00	133,175,584.8	18,848,777.30
Mean: insurers that underwrote BI (n=63)	21.73	0.62	0.74	0.54	0.88	27.29	0.73	8,781,411.24	4,248,652.42
Standard deviation: insurers that underwrote BI	1.42	0.57	0.15	14.11	0.33	0.21	2.58	32,029,928.96	20,878,861.66
Mean: insurers that did not underwrite BI (n=117)	21.07	0.49	0.52	-30.66	0.86	27.32	1.33	33,936,777.28	2,678,170.51
Standard deviation: insurers that did not underwrite BI	2.29	3.23	0.24	4,470.44	0.35	0.21	74.54	248,658,092.4	11,766,069.21

Variables	size	leverage	portdiver	geodiver	group	BrasilGDP	ECR	premiums (R$)	claims (R$)
Mean: all insurers (n=159)	21.48	0.67	0.68	-10.40	0.90	27.24	0.87	14,804,702.46	3,783,928.08
Standard deviation: all insurers	1.68	1.98	0.20	2,648.00	0.29	0.20	43.88	126,254,716	18,628,858.33
Mean: insurers that underwrote BI (n=57)	21.67	0.71	0.73	0.52	0.90	27.23	0.65	8,392,736.17	4,150,295.04
Standard deviation: insurers that underwrote BI	1.43	0.60	0.15	15.84	0.30	0.21	1.16	30,522,934.13	20,465,580.89
Mean: insurers that did not underwrite BI (n=102)	20.94	0.57	0.52	-40.32	0.91	27.25	1.46	32,368,213.33	2,780,384.10
Standard deviation: insurers that did not underwrite BI	2.15	3.69	0.24	5,120.27	0.28	0.20	84.81	237,972,769.4	12,205,520.08

Variables	size	leverage	portdiver	geodiver	group	BrasilGDP	ECR	premiums (R$)	claims (R$)
Mean: all insurers (n=113)	21.83	0.27	0.70	0.45	0.78	27.44	1.08	18,024,587.73	3,791,289.67
Standard deviation: all insurers	1.81	0.28	0.20	6.02	0.41	0.06	16.63	156,239,635.5	17,173,799.13
Mean: insurers that underwrote BI (n=39)	22.07	0.29	0.78	0.63	0.78	27.44	0.95	8,874,244.82	4,208,388.29
Standard deviation: insurers that underwrote BI	1.24	0.26	0.13	0.75	0.41	0.06	0.13	30,767,689.66	19,263,379.87
Mean: insurers that did not underwrite BI (n=74)	21.42	0.25	0.57	0.13	0.79	27.44	1.30	33,390,588.95	3,090,863.71
Standard deviation: insurers that did not underwrite BI	2.44	0.32	0.23	9.80	0.41	0.06	27.23	251,875,148.8	12,896,637.24

Variables	size	leverage	portdiver	geodiver	group	BrasilGDP	ECR	premiums (R$)	claims (R$)
Mean: all insurers (n=124)	21.82	0.29	0.71	0.60	0.75	27.53	0.96	18,917,553.29	4,047,526.82
Standard deviation: all insurers	1.88	0.28	0.20	3.88	0.43	0.04	0.72	154,043,834.9	21,005,329.48
Mean: insurers that underwrote BI (n=39)	22.13	0.28	0.79	0.63	0.77	27.53	0.95	10,031,563.7	4,834,932.55
Standard deviation: insurers that underwrote BI	1.23	0.21	0.12	4.86	0.42	0.04	0.24	37,981,831.72	23,319,743.05
Mean: insurers that did not underwrite BI (n=85)	21.35	0.30	0.58	0.55	0.71	27.53	0.96	32,179,337.21	2,872,372.99
Standard deviation: insurers that did not underwrite BI	2.48	0.36	0.24	1.38	0.45	0.04	1.09	238,116,858	16,906,713.24

Variables	(1)Decision to offer BI			(9)Premium volume: BI (LOB 0141)		(10)Premium volume: all LOBs
Variables	Coefficient	Standard-error	Coefficient	Standard-error	Coefficient	Standard-error
*Intercept*	-53.650^***	2.1340	-	-	-	-
*Lag(TotalPremiums)*	-	-	0.4856^***	0.0133	0.6994^***	0.0048
*Size*	0.2427^***	0.0110	0.3672^***	0.0609	0.2942^***	0.0086
*Leverage*	0.0193^*	0.0076	0.6113^***	0.0730	0.0103^***	0.0015
*GeoDiver*	0.1512^***	0.0417	0.0184	0.0731	0.0000^*	0.0000
*PortDiver*	3.5040^***	0.0954	3.3726^***	0.2964	0.1353^***	0.0300
*Group*	-0.0753.	0.0417	0.3046^*	0.1407	-0.1190^***	0.0251
*BrasilGDP*	1.676^***	0.0781	0.8864^***	0.2124	-0.2587^***	0.0288
*ECR*	0.0000	0.0006	0.3696^***	0.0948	-0.0001	0.0001
*Pand*	0.3355^***	0.0541	0.0176	0.0594	-0.0029	0.0148
Firms			58		178
Observations			4,351		23,148
Period			1-201		1-231
R-Squared			0.3553		0.7118
Adjusted R-Squared			0.3454		0.7095
Hausman Test p-value			<0.001		<0.001
Estimation type			Fixed effects		Fixed effects

Period	Period	Period Characteristics
1	Feb/2020-Jan/2021	From the first documented case to the application of the first dose of the COVID-19 vaccine in Brazil.
2	Feb/2021-Aug/2021	Flexibilization of circulation restrictions.
3	Sep/2021-Dec/2023	Start of the administration of the second dose of the COVID-19 vaccine.

Variables	(1)Decision to offer BI		(9)Premium volume: BI (LOB 0141)		(10)Premium volume: all LOBs
Variables	Coefficient	Standard-error	Coefficient	Standard-error	Coefficient	Standard-error
*Intercept*	-45.940^***	2.3230	-	-	-	-
*Lag(TotalPremiums)*	-	-	0.4853^***	0.0133	0.6975^***	0.0048
*Size*	0.2717^***	0.0110	0.3511^***	0.0613	0.2959^***	0.0086
*Leverage*	0.0215^**	0.0080	0.6155^***	0.0731	0.0104^***	0.0015
*GeoDiver*	0.1462^***	0.0424	0.0229	0.0731	0.0000^*	0.0000
*PortDiver*	3.3810^***	0.0948	3.4308^***	0.2978	0.1254^***	0.0301
*Group*	-0.1275^**	0.0427	0.3200^*	0.1409	-0.1229^***	0.0251
*BrasilGDP*	1.3720^***	0.0851	1.1722^***	0.2460	-0.3065^***	0.0306
*ECR*	0.0000	0.0006	0.3011^**	0.0997	-0.0001	0.0001
*Pand1*	0.4839^***	0.0680	0.0357	0.0757	0.0092	0.0187
*Pand2*	0.3545^***	0.0867	-0.1307	0.0949	0.0299	0.0232
*Pand3*	0.3735^***	0.0534	-0.1294^*	0.0643	0.0667^***	0.0145
Firms			58		178
Observations			4,351		23,148
Period			1-201		1-231
R-Squared			0.3562		0.7121
Adjusted R-Squared			0.3459		0.7097
Hausman Test p-value			<0.001		<0.001
Estimation type			Fixed effects		Fixed effects

Variable	(11)Claim volume: BI (LOB 0141)		(12)Claim volume: all LOBs
Variable	Coefficient	Standard-error	Coefficient	Standard-error
*Intercept*	-	-	-	-
*Lag(TotalPremiums)*	0.3138^***	0.0250	0.5321^***	0.0058
*Size*	0.8876^***	0.1999	0.3577^***	0.0126
*Leverage*	0.3120	0.2554	0.0027	0.0020
*GeoDiver*	-0.3358^*	0.1422	0.0000	0.0000
*PortDiver*	1.7740.	0.9622	0.7240^***	0.0475
*Group*	0.9796^*	0.4430	-0.0676.	0.0357
*BrasilGDP*	0.8786	0.7643	-0.3952^***	0.0435
*ECR*	0.1173	0.2791	-0.0025^**	0.0009
*Pand*	0.4293^**	0.1631	0.0436^*	0.0220
Firms	45		171
Observations	1390		19156
Period	1-86		1-231
R-Squared	0.1646		0.4949
Adjusted R-Squared	0.1314		0.4902
Hausman Test p-value	<0.001		<0.001
Estimation type	Fixed effects		Fixed effects

Variable	(11)Claim volume: BI (LOB 0141)		(12)Claim volume: all LOBs
Variable	Coefficient	Standard-error	Coeficiente	Standard-error
*Intercept*	-	-	-	-
*Lag(TotalPremiums)*	0.3135^***	0.0250	0.5270^***	0.0058
*Size*	0.8693^***	0.2024	0.3648^***	0.0126
*Leverage*	0.3266	0.2563	0.0027	0.0020
*GeoDiver*	-0.3387^*	0.1422	0.0000	0.0000
*PortDiver*	1.7436.	0.9691	0.7083^***	0.0475
*Group*	0.9696^*	0.4450	-0.0787^*	0.0357
*BrasilGDP*	0.9758	1.0584	-0.5134^***	0.0464
*ECR*	0.1107	0.2878	0.0025^**	0.0009
*Pand1*	0.5991^**	0.2050	0.0122	0.0277
*Pand2*	0.1850	0.2784	0.2030^***	0.0347
*Pand3*	0.0442	0.2083	0.1356^***	0.0214
Firms	45		171
Observations	1,390		19,156
Period	1-86		1-231
R-Squared	0.1658		0.4965
Adjusted R-Squared	0.1315		0.4917
Hausman Test p-value	<0.001		<0.001
Estimation type	Fixed effects		Fixed effects

{I s s u e B I}_{i, t} = β_{0} + β_{1} {S i z e}_{i, t} + β_{2} {L e v e r a g e}_{i, t} + β_{3} {G e o D i v e r}_{i, t} + β_{4} {P o r t D i v e r}_{i, t} + β_{5} {G r o u p}_{i, t} + β_{6} {B r a s i l G D P}_{t} + β_{7} {E C R}_{i, t} {+ β}_{8} {P a n d}_{t}

{G e o D i v e r}_{i, t} = 1 - \sum_{s = 1}^{S} {(\frac{{P r e m i u m s I s s u e d}_{i, t, s}}{{P r e m i u m s I s s u e d}_{i, t}})}^{2}

{P o r t D i v e r}_{i, t} = 1 - \sum_{r = 1}^{R} {(\frac{{P r e m i u m s I s s u e d}_{i, t, r}}{{P r e m i u m s I s s u e d}_{i, t}})}^{2}

{G r u p o}_{i, t} = \{\begin{matrix} 1, i f i n s u r e r i b e l o n g s t o a n e c o n o m i c g r o u p o i n m o n t h t; \\ 0, i f i n s u r e r i d o e s n^{'} t b e l o n g t o a n e c o n o m i c g r o u p i n m o n t h t . \end{matrix}

{P a n d}_{t} = \{\begin{matrix} 1, d u r i n g t h e p a n d e m i c m o n t h s; \\ 0, o t h e r w i s e . \end{matrix}

{P r e m i u m s B I}_{i, t} = β_{0} + {β_{1} {P r e m i u m s B I}_{i, t - 1} + β}_{2} {S i z e}_{i, t} + β_{3} L e v e r a g e_{i, t} + β_{4} G e o D i v e r_{i, t} + β_{5} P o r t D i v e r_{i, t} + β_{6} {G r o u p}_{i, t} + β_{7} B r a s i {l G D P}_{t} + β_{8} {E C R}_{i, t} + β_{9} P a n d_{t}

{T o t a l P r e m i u m s}_{i, t} = β_{0} + {β_{1} {T o t a l P r e m i u m s}_{i, t - 1} + β}_{2} S i {z e}_{i, t} + β_{3} L e v e r a g e_{i, t} + β_{4} G e o D i v e r_{i, t} + β_{5} P o r t D i v e r_{i, t} + β_{6} G r o u p_{i, t} + β_{7} B r a s i {l G D P}_{t} + β_{8} {E C R}_{i, t} + β_{9} P a n d_{t}

C l a i m s B I_{i, t} = β_{0} {{+ β}_{1} {C l a i m s B I}_{i, t - 1} + β}_{2} {S i z e}_{i, t} + β_{3} L e v e r a g e_{i, t} + β_{4} G e o D i v e r_{i, t} + β_{5} P o r t D i v e r_{i, t} + β_{6} G r o u p_{i, t} + β_{7} B r a s i {l G D P}_{t} + β_{8} {E C R}_{i, t} + β_{9} P a n d_{t}

{T o t a l C l a i m s}_{i, t} = β_{0} + {β_{1} {T o t a l C l a i m s}_{i, t - 1} + β}_{2} {S i z e}_{i, t} + β_{3} L e v e r a g e_{i, t} + β_{4} G e o D i v e r_{i, t} + β_{5} P o r t D i v e r_{i, t} + β_{6} G r o u p_{i, t} + β_{7} B r a s i {l G D P}_{t} + β_{8} {E C R}_{i, t} + β_{9} P a n d_{t}

[TFN1] Source: Prepared by the authors.

Side effects of the pandemic: impacts on the business interruption insurance market

Abstract