...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The journal of risk finance >Stationarity and stability of underwriting profits in property-liability insurance Part Ⅱ
【24h】

Stationarity and stability of underwriting profits in property-liability insurance Part Ⅱ

机译：财产责任保险部分中承销利润的平稳性和稳定性ⅱ

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Purpose - To examine the existence of underwriting cycles for the property-liability insurance industry as a whole, and by line of business. Specifically to consider whether the combined ratio is stationary and stable. Design/methodology/approach - The augmented Dickey-Fuller (ADF) test is employed for unit roots, while dummy variable methods, the Chow test, and switching regression are used for stability. Findings - Underwriting profits of most lines of business and all lines combined are not stationary and have structural changes. For the whole property-liability industry, a structural change occurred in 1981. Before the change, underwriting cycles existed since combined ratios followed an AR(2) process. After the change, combined ratios are non-stationary. Practical implications - Without clear underwriting cycles, there is more difficulty for the insurance industry in pricing and reserving, for regulators in monitoring the financial strength of insurers, and for customers in terms of the affordability and availability of insurance. Originality/value - The paper recognizes the non-stationarity of combined-ratio series, years of structural changes in the insurance industry and specific lines of business, and the possibility that underwriting profit is cointegrated with investment income.
机译：目的 - 检查整个财产责任保险行业的承保周期的存在，并通过业务范围。专门考虑合并比率是否固定和稳定。设计/方法/方法 - 用于单位根的增强Dickey -Fuller（ADF）测试，而虚拟方法，Chow测试和切换回归用于稳定性。调查结果 - 大多数业务和所有组合的承销利润都不是固定的，并且具有结构性变化。对于整个财产责任行业，结构性变化发生在1981年。在变更之前，由于合并比率遵循AR（2）过程，因此存在承保周期。变更后，组合比率是非平稳的。实际含义 - 如果没有明确的承保周期，保险业在定价和保留方面，监管机构在监控保险公司的财务实力以及客户的可负担性和保险可用性方面存在更大的困难。独创性/价值 - 本文认识到合并比率系列的非平稳性，保险行业的结构变化多年和特定的业务范围以及承销利润与投资收入协调的可能性。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号