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

Author

Listed:
  • Catherine Bruneau

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Nadia Sghaier

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Catherine Bruneau & Nadia Sghaier, 2008. "Les cycles de souscription de l’assurance non vie en France," Working Papers hal-04140756, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140756
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140756
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    References listed on IDEAS

    as
    1. Chao‐Chun Leng & Ursina B. Meier, 2006. "Analysis of multinational underwriting cycles in property‐liability insurance," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 7(2), pages 146-159, March.
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    3. Doherty, Neil A. & Kang, Han Bin, 1988. "Interest rates and insurance price cycles," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 199-214, June.
    4. Doherty, Neil A & Garven, James R, 1995. "Insurance Cycles: Interest Rates and the Capacity Constraint Model," The Journal of Business, University of Chicago Press, vol. 68(3), pages 383-404, July.
    5. Anne Gron, 1994. "Capacity Constraints and Cycles in Property-Casualty Insurance Markets," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 110-127, Spring.
    6. Ursina B. Meier & J. François Outreville, 2006. "Business cycles in insurance and reinsurance: the case of France, Germany and Switzerland," Journal of Risk Finance, Emerald Group Publishing, vol. 7(2), pages 160-176, March.
    7. Ralph A. Winter, 1991. "The Liability Insurance Market," Journal of Economic Perspectives, American Economic Association, vol. 5(3), pages 115-136, Summer.
    8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    10. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 6(1), pages 3-38, January.
    11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    12. Ursina B. Meier & J. François Outreville, 2006. "Business cycles in insurance and reinsurance: the case of France, Germany and Switzerland," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 7(2), pages 160-176, March.
    13. Bruneau, Catherine & Jondeau, Eric, 1999. "Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    14. Chao-Chun Leng & Ursina B. Meier, 2006. "Analysis of multinational underwriting cycles in property-liability insurance," Journal of Risk Finance, Emerald Group Publishing, vol. 7(2), pages 146-159, March.
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