Grace, Martin and Hotchkiss, Julie L. (1995): External impacts on the property-liability insurance cycle. Published in: The Journal of Risk and Insurance , Vol. Vol. 6, No. No. 4 (1995): pp. 738-754.
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Traditionally, underwriting performance is considered to be a function of industry-specific institutions. Using quarterly data from 1974 through 1990, we provide evidence of a long-run link between the general economy and the underwriting performance as measured by the combined ratio. Using cointegration techniques, we estimate the long-run relationship between the general economy as measured by real gross domestic product, the short-term interest rate, and inflation. We then estimate the short-run link between the industry and the general economy using vector auto-regression technniques and find that, although the property-liability insurance industry is linked to the long-run performance of the national economy, short-run shocks in economic variables have little effect on the combined ratio.
|Item Type:||MPRA Paper|
|Original Title:||External impacts on the property-liability insurance cycle|
|Keywords:||combined ratio; underwriting performance; vector autoregression; impulse response|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Julie Hotchkiss|
|Date Deposited:||07. Aug 2008 10:10|
|Last Modified:||02. Apr 2013 17:37|
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