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

Listed author(s):
  • 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
Handle: RePEc:ipg:wpaper:2014-282
Contact details of provider: Postal:
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Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr

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  1. 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.
  2. 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.
  3. 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.
  4. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
  5. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  6. Winter, Ralph A, 1991. "Solvency Regulation and the Property-Liability "Insurance Cycle."," Economic Inquiry, Western Economic Association International, vol. 29(3), pages 458-471, July.
  7. Jean Pinquet & Georges Dionne & Charles Vanasse & Mathieu Maurice, 2009. "Incentive Mechanisms for Safe Driving: A Comparative Analysis with Dynamic Data," Working Papers hal-00414479, HAL.
  8. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
  9. repec:eme:jrfpps:v:7:y:2006:i:2:p:146-159 is not listed on IDEAS
  10. 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.
  11. repec:eme:jrfpps:v:7:y:2006:i:1:p:64-82 is not listed on IDEAS
  12. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  13. M. F. Grace & J. L. Hotchkiss, 1994. "External Impacts on the Property-Liability Insurance Cycle," Risk and Insurance 9407002, EconWPA.
  14. 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.
  15. 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.
  16. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
  17. 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.
  18. repec:eme:jrfpps:v:7:y:2006:i:2:p:160-176 is not listed on IDEAS
  19. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
  20. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  21. Dionne, G. & Doherty, N.A., 1993. "Adverse Selection, Commitment and Renegotiation: Extension to and Evidence from Insurance Markets," Papers 9301, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  22. 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.
  23. 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 511-538, October.
  24. 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.
  25. Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers 2004-15, Department of Economics, Williams College.
  26. 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.
  27. 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.
  28. Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
  29. 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 607-629, Special I.
  30. 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.
  31. 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.
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