An Empirical Analysis of Non-Life Insurance Consumption Stationarity&ast

Chien-Chiang Lee (), Yi-Chung Hsu () and Chi-Chuan Lee ()
Additional contact information
Yi-Chung Hsu: Department of Public Finance and Taxation, National Taichung Institute of Technology, Taichung, Taiwan.
Chi-Chuan Lee: Department of Money and Banking, National Chengchi University, Taipei, Taiwan.

The Geneva Papers on Risk and Insurance - Issues and Practice, 2010, vol. 35, issue 2, 266-289

Abstract: This paper explores whether the stationarity hypothesis of non-life insurance consumptions is supported during the period 1979–2005 for 31 countries. The stationarity of insurance consumption has important implications for modelling and forecasting insurance activities. On a global scale, this paper first implements the recent panel seemingly unrelated regressions augmented Dickey–Fuller unit root test, which allows us to account for possible cross-country effects and to identify how many and which countries of the panel contain a unit root. The main conclusion is that whether non-life insurance consumptions are stationary or not will be affected by different regions and their levels of development. Overall, our empirical results illustrate that non-life insurance consumptions in these countries are a mixture of stationary (integrated of order zero) and non-stationary (integrated of order one) processes. Higher risk aversion, lower income level and lower level of insurance market development may lead to non-stationarity. Finally, for the estimated half-lives of Africa, the degrees of mean reversion are greater than those for Europe and America.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.palgrave-journals.com/gpp/journal/v35/n2/pdf/gpp20103a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/gpp/journal/v35/n2/full/gpp20103a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
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:gpprii:v:35:y:2010:i:2:p:266-289

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41288/PS2

Access Statistics for this article

The Geneva Papers on Risk and Insurance - Issues and Practice is currently edited by Christophe Courbage

More articles in The Geneva Papers on Risk and Insurance - Issues and Practice from Palgrave Macmillan, The Geneva Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().