Return Attribution Analysis of the UK Insurance Portfolios

Emmanuel Mamatzakis and Christodoulakis George

MPRA Paper from University Library of Munich, Germany

Abstract: We examine the attribution of premium growth rates for the five main insurance sectors of the United Kingdom for the period 1969-2005; in particular, Property, Motor, Pecuniary, Health & Accident, and Liability. In each sector, the growth rates of aggregate insurance premiums are viewed as portfolio returns which we attribute to a number of factors such as realized and expected losses and expenses, their uncertainty and market power, using the Sharpe (1988, 1992) Style Analysis. Our estimation method differs from the standard least squares practice which does not provide confidence intervals for style betas and adopts a Bayesian approach, resulting in a robust estimate of the entire empirical distribution of each beta coefficients for the full sample. We also perform a rolling analysis of robust estimation for a window of seven overlapping samples. Our empirical findings show that there are some main differences across industries as far as the weights attributed to the underlying factors. Rolling regressions assist us to identify the variability of these weights over time, but also across industries.

Keywords: Insurance Premiums; Monte Carlo Integration; Non-Negativity Constraints; Return Attribution; Sharpe Style Analysis (search for similar items in EconPapers)
JEL-codes: C01 C3 G22 (search for similar items in EconPapers)
Date: 2010-03-23
New Economics Papers: this item is included in nep-ecm and nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/22516/1/MPRA_paper_22516.pdf original version (application/pdf)

Related works:
Journal Article: Return attribution analysis of the UK insurance portfolios (2010)
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:pra:mprapa:22516

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().