DYNAMICS OF UNDERWRITING PROFITS:AN EMPIRICAL STUDY OF U.S. INSURANCE MARKETS
| Autor: | Shi-jie Jiang, 姜世杰 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This study investigates the U.S. insurance market, both in industry level and individual lines, from year 1950 to 2004 and provides a series of solid evidences, supporting the economic pricing hypothesis sustained. The long run cointegration relationships relevant to underwriting profits which are previously prohibited to illustrate due to its stationary characteristic has been validated. Rather than structured by predetermined second-order process, the visible cyclical pattern of underwriting profits could be explained reasonably by the tendency back to the long run equilibrium. Under both individual and panel versions of ARDL modeling, we also find that the speeds back to the long run equilibrium are correspondent with the tails or regulative characteristics of various insurance lines, which provide more supportive evidences than Haley’s (1995). Furthermore, the results of panel ARDL analysis also demonstrate grounds to support the implications of Philips et al. (1998), which advocate that the actuarial routine of surplus allocation is not necessary. The statutorily mandated forces and regulations keep the insurance rates lower and more stable, making the economic pricing hypothesis to be no longer valid for some stringently regulated long-tails lines such as Privative Passengers auto liability insurance. Besides, a tendency towards tradeoff between investment and underwriting activities has also been ascertained. Such relationship exists in whole industry level (all lines combined) and most individual lines apart from the lines of fire, auto physical damage and inland marine. For the lines with long tails, such tradeoff effect has been magnified due to more time lags between premiums receiving and the claims payment paying. Overall empirical evidences substantially suggest that the supply effect, which could be reflected by the pricing strategies of risk-averse insurance companies, tends to dominate U.S. insurance markets for the last half century. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|