External impacts on the property-liability insurance cycle

Martin F. Grace () and Julie L. Hotchkiss

MPRA Paper from University Library of Munich, Germany

Abstract: Traditionally, underwriting performance is considered to be a function of industry-specific institutions. Using quarterly data from 1974 through 1990, we provide evidence of a long-run link between the general economy and the underwriting performance as measured by the combined ratio. Using cointegration techniques, we estimate the long-run relationship between the general economy as measured by real gross domestic product, the short-term interest rate, and inflation. We then estimate the short-run link between the industry and the general economy using vector auto-regression technniques and find that, although the property-liability insurance industry is linked to the long-run performance of the national economy, short-run shocks in economic variables have little effect on the combined ratio.

Keywords: combined ratio; underwriting performance; vector autoregression; impulse response (search for similar items in EconPapers)
JEL-codes: E32 G32 C22 (search for similar items in EconPapers)
Date: 1995
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Published in The Journal of Risk and Insurance No. 4.Vol. 62(1995): pp. 738-754

Downloads: (external link)
http://mpra.ub.uni-muenchen.de/9825/

Related works:
Working Paper: External Impacts on the Property-Liability Insurance Cycle (1995)
Working Paper: External Impacts on the Property-Liability Insurance Cycle (1994)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:9825

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