Discrete-Time Hazard Model with Interest Rate for Default Forecast: A Study of Post-2008- Crises In Indonesian Listed Insurance Companies

Abstract

This paper is intended to examine the performance of the discrete-tme hazard model with interest rate in predictng bankruptcy of listed insurance companies in Indonesia Stock Exchange. The study focuses on the period afer the 2008-crises. The study employed 2008-2015 fnancial data from all insurance companies listed in Indonesia stock market. The author conducted stepwise logistc regression to fnd partcular fnancial ratos to be included in the model and used interest rate as the baseline hazard rate. To examine the precision of the model, the author placed 2016 as the forecast period.

Keywords

• Default Predicton
• Discrete-Time Hazard Model
• Insurance companies