Ordinary and Markov-Switching Autoregressive Models for Firm-Level Underwriting Data

Feng Frank Y. () and Powers Michael R. ()
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Feng Frank Y.: School of Finance and Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, Shanghai, China
Powers Michael R.: Department of Finance, School of Economics and Management, and Schwarzman College, Tsinghua University, 386C Weilun Building, Beijing100084, China

Asia-Pacific Journal of Risk and Insurance, 2019, vol. 13, issue 2, 16

Abstract: For many decades, the analysis of underwriting-profitability regimes (i. e. successive “hard” and “soft” markets) has formed an important topic in insurance research. In the present article, we study the characteristics of firm-level underwriting results by applying both ordinary and Markov-switching autoregressive models to data from individual U.S. property-liability companies. The research employs both univariate and multivariate methods. Our analysis argues against the existence of distinct, firm-level underwriting regimes in the U.S. property-liability market, but offers evidence of cross-company interactions over time.

Keywords: underwriting profitability; regimes; cycles; autoregressive process; Markov switching (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/apjri-2018-0031

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