Les cycles de souscription de l’assurance non vie en France
AbstractThis 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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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2008-6.
Length: 28 pages
Date of creation: 2008
Date of revision:
Presence and determinants of the underwriting cycles; non life in-surance; error correction vectoriel model; causality; impulse analysis.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-21 (All new papers)
- NEP-IAS-2008-04-21 (Insurance Economics)
- NEP-MAC-2008-04-21 (Macroeconomics)
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