Further Considerations of Underwriting Margins, Interest Rates, Stability, Stationarity, Cointegration, and Time Trends

Joseph D. Haley

Journal of Insurance Issues, 2007, vol. 30, issue 1, 62-75

Abstract: This article provides a philosophical discussion detailing the limitations of univariate analysis in the pre-testing step of data analysis. The case in point is the relationship between the property-liability aggregate underwriting margin and interest rates. Haley (1993) and Choi, Hardigree, and Thistle (2002) both found strong evidence indicating such a relationship exists. Since then assorted authors, relying extensively on univariate analysis, have questioned the cointegration conclusion. The paper uses a cointegration analysis of the property-liability aggregate underwriting margin and interest rates (1930–2000) to illustrate the discussion.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wri:journl:v:30:y:2007:i:1:p:62-75

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