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Les cycles de souscription de l’assurance non vie en France

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Author Info

  • Catherine Bruneau
  • Nadia Sghaier

Abstract

This paper provides an empirical analysis of the presence and determinants of the underwriting cycle in non-life insurance for France for the industry and for two individual lines which one long and one short for the period 1963-2004 and 1982-2004. First, the estimation of the AR(2) process of the rate of growth of premiums shows the presence of a cyclical behavior since 80 for the aggregate sector and for the automobile line. Second, we aim to determine their causes. For that, we consider the amount of claims and expenses, equities and returns on financial assets. We adopt a multivariate approach and we estimate an error correction vector model that allows the distinction between the e¤ects of short and long term. We provide evidence of causality between different variables and we end with an impulse analysis. The empirical results that we get are interpreted with reference to principal hypothesis made in the literature to explain the cycle and financial model of insurance pricing. These results show that the causes vary across lines and periods.

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File URL: http://economix.fr/pdf/dt/2008/WP_EcoX_2008-06.pdf
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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2008-6.

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Length: 28 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:drm:wpaper:2008-6

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Related research

Keywords: Presence and determinants of the underwriting cycles; non life in-surance; error correction vectoriel model; causality; impulse analysis.;

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Cited by:
  1. 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.
  2. 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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