Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets

Peter Sephton () and Janelle Mann

Empirical Economics, 2015, vol. 49, issue 3, 783-799

Abstract: Understanding how macroeconomic factors influence the underwriting cycle is a critical component of modelling cyclical movements in insurance dynamics. The purpose of this paper was to examine this issue to determine whether macroeconomic factors and non-life insurance premiums share a long-run attractor to which the system tends to return over time. We find strong evidence of linear cointegration in Canada, France, Japan, the UK, and the USA, with nonlinear attractors characterized by asymmetry in Canada, France, and the USA. The results suggest macroeconomic factors have important effects on insurance dynamics. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Insurance dynamics; Macroeconomic influences; Underwriting cycles; Non-life insurance premiums; Nonlinear cointegration; Multivariate adaptive regression spline $$(\hbox {MARS}^{\mathrm{TM}})$$ ( MARS TM ); Threshold cointegration; Asymmetric adjustment; C2; E3; G22 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00181-014-0894-7

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