USF St. Petersburg campus Faculty Publications
Underwriting cycles in property and liability insurance: An empirical analysis of industry and by-line data.
Document Type
Article
Publication Date
1998
ISSN
0022-4367
Abstract
Using industry and by-line data, we examine the causes of insurance cycles in a vector autoregressive model. Some of the important findings are summarized below. First, the uncertainty variable explains significant portions of forecast errors of premiums. Second, the significant factors that determine premiums are different for different lines. Third, investment incomes in general are more important for long-tail lines than short-tail lines. Evidence on the response of premiums to shocks suggests that all one-time shocks to variables tend to be relatively permanent. The overall results seem to imply that no single hypothesis is able to explain the insurance cycle.
Language
en_US
Publisher
Wiley-Blackwell Publishing, Inc.
Recommended Citation
Fung, H.-G., Lai, G.C., Patterson, G.A. & Witt, R.C. (1998). Underwriting cycles in property and liability insurance: An empirical analysis of industry and by-line data. Journal of Risk and Insurance, 65, 539-562.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Risk and Insurance, 65, 539-562. Members of the USF System may access the full-text of the article through the authenticated link provided.