Further Considerations of Underwriting Margins, Interest Rates, Stability, Stationarity, Cointegration, and Time Trends
AbstractThis article provides a philosophical discussion detailing the limitations of univariate analysis in the pre-testing step of data analysis. The case in point is the relationship between the property-liability aggregate underwriting margin and interest rates. Haley (1993) and Choi, Hardigree, and Thistle (2002) both found strong evidence indicating such a relationship exists. Since then assorted authors, relying extensively on univariate analysis, have questioned the cointegration conclusion. The paper uses a cointegration analysis of the property-liability aggregate underwriting margin and interest rates (1930–2000) to illustrate the discussion.
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Bibliographic InfoArticle provided by Western Risk and Insurance Association in its journal Journal of Insurance Issues.
Volume (Year): 30 (2007)
Issue (Month): 1 ()
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- Heni Boubaker & Nadia Sghaier, 2014. "How Do the Interest Rate and the Inflation Rate Affect the Non-Life Insurance Premiums ?," Working Papers 2014-282, Department of Research, Ipag Business School.
- Jiang, Shi-jie & Nieh, Chien-Chung, 2012. "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 1-15.
- Catherine Bruneau & Nadia Sghaier, 2014. "Cyclicity in the French PropertyLiability Insurance Industry - New Findings over the Recent Period," Working Papers 2014-047, Department of Research, Ipag Business School.
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