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How Do the Interest Rate and the Inflation Rate Affect the Non-Life Insurance Premiums ?

  • Heni Boubaker
  • Nadia Sghaier

This paper proposes an original framework based on nonlinear panel data models to study the empirical influence of the interest rate and the inflation rate on the non-life insurance premiums for fourteen developed countries over the period 1965-2008. Mo

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-282.

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Length: 22 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-282
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  1. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  2. Catherine Bruneau & Nadia Sghaier, 2008. "Les cycles de souscription de l’assurance non vie en France," EconomiX Working Papers 2008-6, University of Paris West - Nanterre la Défense, EconomiX.
  3. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
  4. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  5. 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.
  6. Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
  7. Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
  8. 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.
  9. Dionne, Georges & Doherty, Neil A, 1994. "Adverse Selection, Commitment, and Renegotiation: Extension to and Evidence from Insurance Markets," Journal of Political Economy, University of Chicago Press, vol. 102(2), pages 209-35, April.
  10. 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.
  11. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
  12. Winter, Ralph A, 1991. "Solvency Regulation and the Property-Liability "Insurance Cycle."," Economic Inquiry, Western Economic Association International, vol. 29(3), pages 458-71, July.
  13. Jean Pinquet & Georges Dionne & Charles Vanasse & Maurice Mathieu, 2011. "Incentive Mechanisms for Safe Driving: A Comparative Analysis with Dynamic Data," Post-Print hal-00567866, HAL.
  14. Ursina B. Meier, 2006. "Multi-national underwriting cycles in property-liability insurance: Part I – some theory and empirical results," Journal of Risk Finance, Emerald Group Publishing, vol. 7(1), pages 64-82, January.
  15. Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute.
  16. Mary A. Weiss, 2007. "Underwriting Cycles: A Synthesis and Further Directions," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 30(1), pages 31-46.
  17. Hyungsik Roger MOON & Benoit PERRON, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  18. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
  19. Cummins, J. David, 1990. "Asset Pricing Models and Insurance Ratemaking," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 20(02), pages 125-166, November.
  20. Harrington, Scott E & Danzon, Patricia M, 1994. "Price Cutting in Liability Insurance Markets," The Journal of Business, University of Chicago Press, vol. 67(4), pages 511-38, October.
  21. 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.
  22. 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.
  23. Smith, Michael L, 1989. "Investment Returns and Yields to Holders of Insurance," The Journal of Business, University of Chicago Press, vol. 62(1), pages 81-98, January.
  24. Andres Gonzalez & Timo Terasvirta & Dick van Dijk, 2005. "Panel Smooth Transition Regression Models," Research Paper Series 165, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Seungmook Choi & Don Hardigree & Paul D. Thistle, 2002. "The Property/Liability Insurance Cycle: A Comparison of Alternative Models," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 530-548, January.
  26. 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.
  27. 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.
  28. Harrington, Scott E. & Danzon, Patricia M. & Epstein, Andrew J., 2008. ""Crises" in medical malpractice insurance: Evidence of excessive price-cutting in the preceding soft market," Journal of Banking & Finance, Elsevier, vol. 32(1), pages 157-169, January.
  29. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  30. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, December.
  31. Banerjee, Anindya, 1999. " Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 607-29, Special I.
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