The Dynamics of Insurance Prices

Dominique Henriet, Nataliya Klimenko () and Jean Rochet
Additional contact information
Nataliya Klimenko: University of Zurich, Plattenstrasse 32, Zurich 8032, Switzerland.

The Geneva Risk and Insurance Review, 2016, vol. 41, issue 1, 2-18

Abstract: We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance prices in a competitive insurance market with financial frictions. Insurance companies choose underwriting and financing policies to maximise shareholder value. The equilibrium price dynamics are explicit, which allows simple numerical simulations and generates testable implications. In particular, we find that the equilibrium price of insurance is (weakly) predictable and the insurance sector always realises positive expected profits. Moreover, rather than true cycles, insurance prices exhibit asymmetric reversals caused by the reflection of the aggregate capacity process at the dividend and recapitalisation boundaries.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.palgrave-journals.com/grir/journal/v41/n1/pdf/grir20155a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/grir/journal/v41/n1/full/grir20155a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Dynamics of Insurance Prices (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:genrir:v:41:y:2016:i:1:p:2-18

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10713

Access Statistics for this article

The Geneva Risk and Insurance Review is currently edited by Michael Hoy and Nicolas Treich

More articles in The Geneva Risk and Insurance Review from Palgrave Macmillan, International Association for the Study of Insurance Economics (The Geneva Association) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().