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External Impacts on the Property-Liability Insurance Cycle

Martin Grace () and Julie Hotchkiss

Risk and Insurance from EconWPA

Abstract: Traditionally, underwriting performance is considered to be a function of industry specific institutions. Using quarterly data from 1974 to 1990, we provide evidence of a long run linkage 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 linkage between the industry and the general economy using vector autoregression techniques and find that, although the property-liability 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 in the short run.

Keywords: Property-Liability Cycle (search for similar items in EconPapers)
Date: 1994-07-14
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Related works:
Working Paper: External impacts on the property-liability insurance cycle (1995) Downloads
Working Paper: External Impacts on the Property-Liability Insurance Cycle (1995)
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