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Underwriting cycle in Russia and macroeconomic indicators

Author

Listed:
  • Tetin, Ilya

    () (South Ural State University, Chelyabinsk, Russian Federation)

Abstract

Based on statistics for 2005–2014 and using correlation analysis and Granger causality test, the factors that potentially have impact on underwriting cycle in Russia are allocated. Significant econometric model in which fluctuations of loss ratio are described by indicator of government finance, fixed capital expenditures and by real wages indicator.

Suggested Citation

  • Tetin, Ilya, 2015. "Underwriting cycle in Russia and macroeconomic indicators," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 65-83.
    • Handle: RePEc:ris:apltrx:0272
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2015_3_65-83.pdf
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    References listed on IDEAS

    as
    1. Ursina Meier & J. Francois Outreville, 2010. "Business cycles in insurance and reinsurance: international diversification effects," Applied Financial Economics, Taylor & Francis Journals, vol. 20(8), pages 659-668.
    2. 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.
    3. Grace, M. F. & J. L. Hotchkiss, 1993. "External Impacts on the Property-Liability Insurance Cycle," Working Papers 020, Risk and Insurance Archive, revised Feb 1995.
    4. Joseph D. Haley, 2007. "Further Considerations of Underwriting Margins, Interest Rates, Stability, Stationarity, Cointegration, and Time Trends," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 30(1), pages 62-75.
    5. Cagle, Julie A B & Harrington, Scott E, 1995. "Insurance Supply with Capacity Constraints and Endogenous Insolvency Risk," Journal of Risk and Uncertainty, Springer, vol. 11(3), pages 219-232, December.
    6. Winter Ralph A., 1994. "The Dynamics of Competitive Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 3(4), pages 379-415, September.
    7. 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.
    8. 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.
    9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    10. Fredj Jawadi & Catherine Bruneau & Nadia Sghaier, 2009. "Nonlinear Cointegration Relationships Between Non-Life Insurance Premiums and Financial Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 753-783.
    11. Feng Guo & Hung-Gay Fung & Ying Huang, 2009. "The Dynamic Impact of Macro Shocks on Insurance Premiums," Journal of Financial Services Research, Springer;Western Finance Association, vol. 35(3), pages 225-244, June.
    12. Gron, Anne, 1994. "Evidence of Capacity Constraints in Insurance Markets," Journal of Law and Economics, University of Chicago Press, vol. 37(2), pages 349-377, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    underwriting cycle; volatility; loss ratio; insurance market;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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