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Further Considerations of Underwriting Margins, Interest Rates, Stability, Stationarity, Cointegration, and Time Trends

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  • Joseph D. Haley

Abstract

This 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.

Suggested Citation

  • 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.
    • Handle: RePEc:wri:journl:v:30:y:2007:i:1:p:62-75
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    Cited by:

    1. Tetin, Ilya, 2015. "Underwriting cycle in Russia and macroeconomic indicators," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 65-83.
    2. 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.
    3. 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.
    4. repec:ipg:wpaper:2014-047 is not listed on IDEAS
    5. Catherine Bruneau & Nadia Sghaier, 2014. "Cyclicity in the French Property," Working Papers 2014-47, Department of Research, Ipag Business School.

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