메뉴 건너뛰기




Volumn 7, Issue 1, 2006, Pages 64-82

Multi-national underwriting cycles in property-liability insurance: Part I – some theory and empirical results

Author keywords

Liability; Mathematical modelling; Property insurance; Underwriting

Indexed keywords


EID: 85015450425     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265940610637816     Document Type: Article
Times cited : (22)

References (58)
  • 2
    • 85015442809 scopus 로고
    • The combined ratio as a profit measure
    • Barth, M.M. (1991), “The combined ratio as a profit measure”, CPCU Journal, Vol. 44 No. 4, pp. 239-51.
    • (1991) CPCU Journal , vol.44 , Issue.4 , pp. 239-251
    • Barth, M.M.1
  • 7
    • 84976073272 scopus 로고
    • Asset pricing models and insurance ratemaking
    • Cummins, J.D. (1990a), “Asset pricing models and insurance ratemaking”, Astin Bulletin, Vol. 20 No. 2, pp. 125-66.
    • (1990) Astin Bulletin , vol.20 , Issue.2 , pp. 125-166
    • Cummins, J.D.1
  • 8
    • 0010857725 scopus 로고
    • Multi-period discounted cash flow ratemaking models in property-liability insurance
    • Cummins, J.D. (1990b), “Multi-period discounted cash flow ratemaking models in property-liability insurance”, Journal of Risk and Insurance, Vol. 57 No. 1, pp. 79-109.
    • (1990) Journal of Risk and Insurance , vol.57 , Issue.1 , pp. 79-109
    • Cummins, J.D.1
  • 9
    • 85015414910 scopus 로고
    • Financial pricing of property and liability insurance
    • Dionne, G. (Ed.), Kluwer Academic Publishers, Boston, MA
    • Cummins, J.D. (1991a), “Financial pricing of property and liability insurance”, in Dionne, G. (Ed.), Contributions to Insurance Economics, Kluwer Academic Publishers, Boston, MA.
    • (1991) Contributions to Insurance Economics
    • Cummins, J.D.1
  • 10
    • 0001428114 scopus 로고
    • Statistical and financial models of insurance pricing and the insurance firm
    • Cummins, J.D. (1991b), “Statistical and financial models of insurance pricing and the insurance firm”, Journal of Risk and Insurance, Vol. 58 No. 2, pp. 261-302.
    • (1991) Journal of Risk and Insurance , vol.58 , Issue.2 , pp. 261-302
    • Cummins, J.D.1
  • 11
    • 0001920339 scopus 로고
    • Property-liability insurance rate regulation: estimation of underwriting betas using quarterly profit data
    • Cummins, J.D. and Harrington, S.E. (1985), “Property-liability insurance rate regulation: estimation of underwriting betas using quarterly profit data”, Journal of Risk and Insurance, Vol. 52, pp. 16-43.
    • (1985) Journal of Risk and Insurance , vol.52 , pp. 16-43
    • Cummins, J.D.1    Harrington, S.E.2
  • 12
    • 0000062229 scopus 로고
    • An international analysis of underwriting cycles
    • Cummins, J.D. and Outreville, J.F. (1987), “An international analysis of underwriting cycles”, Journal of Risk and Insurance, Vol. 54, pp. 246-62.
    • (1987) Journal of Risk and Insurance , vol.54 , pp. 246-262
    • Cummins, J.D.1    Outreville, J.F.2
  • 13
    • 85015417184 scopus 로고
    • Cycles and crises in property/casualty insurance: a background discussion
    • Cummins, J.D., Harrington, S.E., Klein, R.W.and and (Eds), -National Association of Insurance Commissioners, Kansas City, MO
    • Cummins, J.D., Harrington, S.E. and Klein, R.W. (1991), “Cycles and crises in property/casualty insurance: a background discussion”, in Cummins, J.D., Harrington, S.E. and Klein, R.W. (Eds), Cycles and Crises in Property/Casualty Insurance: Causes and Implications for Public Policy, National Association of Insurance Commissioners, Kansas City, MO, pp. 1-51.
    • (1991) Cycles and Crises in Property/Casualty Insurance: Causes and Implications for Public Policy , pp. 1-51
    • Cummins, J.D.1    Harrington, S.E.2    Klein, R.W.3
  • 14
    • 0346910609 scopus 로고
    • Property-liability insurance pricing models: an empirical evaluation
    • D'Arcy, S.P. and Garven, J.R. (1990), “Property-liability insurance pricing models: an empirical evaluation”, Journal of Risk and Insurance, Vol. 57 No. 3, pp. 391-430.
    • (1990) Journal of Risk and Insurance , vol.57 , Issue.3 , pp. 391-430
    • D'Arcy, S.P.1    Garven, J.R.2
  • 15
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, Vol. 74, June, pp. 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , Issue.June , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 16
    • 0002320759 scopus 로고
    • Interest rates and insurance price cycles
    • Doherty, N.A. and Kang, H.B. (1988), “Interest rates and insurance price cycles”, Journal of Banking and Finance, Vol. 12, pp. 199-214.
    • (1988) Journal of Banking and Finance , vol.12 , pp. 199-214
    • Doherty, N.A.1    Kang, H.B.2
  • 17
    • 85015404090 scopus 로고
    • La realité des cycles en doute
    • Fabre, C. (1993), “La realité des cycles en doute”, L'Argus, Vol. 23, avril, pp. 22-5.
    • (1993) L'Argus , vol.23, avril , pp. 22-25
    • Fabre, C.1
  • 18
    • 0040262244 scopus 로고
    • Interest rates and profit cycles: a disaggregated approach
    • Fields, J.A. and Venezian, E.C. (1989), “Interest rates and profit cycles: a disaggregated approach”, Journal of Risk and Insurance, Vol. 56 No. 2, pp. 312-9.
    • (1989) Journal of Risk and Insurance , vol.56 , Issue.2 , pp. 312-319
    • Fields, J.A.1    Venezian, E.C.2
  • 19
    • 84925924531 scopus 로고
    • The welfare loss of excess nonprice competition: the case of property-liability insurance regulation
    • Frech, H.E. and Samprone, J.C. (1980), “The welfare loss of excess nonprice competition: the case of property-liability insurance regulation”, Journal of Law and Economics, Vol. 23, pp. 429-40.
    • (1980) Journal of Law and Economics , vol.23 , pp. 429-440
    • Frech, H.E.1    Samprone, J.C.2
  • 20
    • 85015366835 scopus 로고
    • Crises on reinsurance markets: cycle or structural change?
    • Copenhagen Re (Ed.), Copenhagen Re, Copenhagen
    • Frey, P. (1990), “Crises on reinsurance markets: cycle or structural change?”, in Copenhagen Re (Ed.), (Re)insurance and All That … – An Anthology, Copenhagen Re, Copenhagen.
    • (1990) (Re)insurance and All That … – An Anthology
    • Frey, P.1
  • 22
    • 0039670500 scopus 로고
    • External impacts on property-liability insurance cycle
    • Grace, M.F. and Hotchkiss, J.L. (1995), “External impacts on property-liability insurance cycle”, Journal of Risk and Insurance, Vol. 62, pp. 738-54.
    • (1995) Journal of Risk and Insurance , vol.62 , pp. 738-754
    • Grace, M.F.1    Hotchkiss, J.L.2
  • 24
    • 84937311424 scopus 로고
    • Evidence of capacity constraints in insurance markets
    • Gron, A. (1994), “Evidence of capacity constraints in insurance markets”, Journal of Law and Economics, Vol. 37, October, pp. 349-77.
    • (1994) Journal of Law and Economics , vol.37 , Issue.October , pp. 349-377
    • Gron, A.1
  • 25
    • 0010008138 scopus 로고
    • A cointegration analysis of the relationship between underwriting margins and interest rates: 1930-1989
    • Haley, J.D. (1993), “A cointegration analysis of the relationship between underwriting margins and interest rates: 1930-1989”, Journal of Risk and Insurance, Vol. 60 No. 3, pp. 480-93.
    • (1993) Journal of Risk and Insurance , vol.60 , Issue.3 , pp. 480-493
    • Haley, J.D.1
  • 26
    • 0009965614 scopus 로고
    • A by-line cointegration analysis of underwriting margins and interest rates
    • Haley, J.D. (1995), “A by-line cointegration analysis of underwriting margins and interest rates”, Journal of Risk and Insurance, Vol. 62 No. 4, pp. 755-63.
    • (1995) Journal of Risk and Insurance , vol.62 , Issue.4 , pp. 755-763
    • Haley, J.D.1
  • 28
    • 0023906973 scopus 로고
    • Causes of the liability insurance crisis
    • Harrington, S.E. and Litan, R.E. (1988), “Causes of the liability insurance crisis”, Science, Vol. 239, pp. 737-41.
    • (1988) Science , vol.239 , pp. 737-741
    • Harrington, S.E.1    Litan, R.E.2
  • 29
    • 0141797297 scopus 로고    scopus 로고
    • Volatility and underwriting cycles
    • Dionne, G.and (Ed.), chapter 20.Kluwer Academic Publishers, Boston, MA
    • Harrington, S.E. and Niehaus, G. (2001), “Volatility and underwriting cycles”, in Dionne, G. (Ed.), Handbook of Insurance, Kluwer Academic Publishers, Boston, MA, chapter 20.
    • (2001) Handbook of Insurance
    • Harrington, S.E.1    Niehaus, G.2
  • 30
    • 0010044893 scopus 로고    scopus 로고
    • International insurance cycles: rational expectations/institutional intervention
    • Lamm-Tennant, J. and Weiss, M.A. (1997), “International insurance cycles: rational expectations/institutional intervention”, Journal of Risk and Insurance, Vol. 64, pp. 415-39.
    • (1997) Journal of Risk and Insurance , vol.64 , pp. 415-439
    • Lamm-Tennant, J.1    Weiss, M.A.2
  • 31
    • 85015648011 scopus 로고    scopus 로고
    • Analysis of multi-national underwriting cycles in property-liability insurance
    • Leng, C.-C. and Meier, U.B. (2006), “Analysis of multi-national underwriting cycles in property-liability insurance”, Journal of Risk Finance, Vol. 7 No. 2.
    • (2006) Journal of Risk Finance
    • Leng, C.-C.1    Meier, U.B.2
  • 32
    • 85015654662 scopus 로고    scopus 로고
    • Underwriting profits: are the data consistent with ‘rationally priced’ insurance cycles?
    • Leng, C.-C. and Venezian, E.C. (2003), “Underwriting profits: are the data consistent with ‘rationally priced’ insurance cycles?”, Insurance and Risk Management, Vol. 71 No. 3, pp. 435-54.
    • (2003) Insurance and Risk Management , vol.71 , Issue.3 , pp. 435-454
    • Leng, C.-C.1    Venezian, E.C.2
  • 33
    • 68549106399 scopus 로고    scopus 로고
    • Did regulation change competitiveness in property-liability insurance? Evidence from underwriting profit and investment income
    • Leng, C.-C., Powers, M.R. and Venezian, E.C. (2002), “Did regulation change competitiveness in property-liability insurance? Evidence from underwriting profit and investment income”, Journal of Insurance Regulation, pp. 57-77.
    • (2002) Journal of Insurance Regulation , pp. 57-77
    • Leng, C.-C.1    Powers, M.R.2    Venezian, E.C.3
  • 34
    • 77951159244 scopus 로고    scopus 로고
    • The relationship between underwriting profit margin and investment income: changes in competitiveness in property and liability insurance
    • Leng, C.-C., Powers, M.R. and Venezian, E.C. (2004), “The relationship between underwriting profit margin and investment income: changes in competitiveness in property and liability insurance”, Journal of Insurance and Risk Management, Vol. 3 No. 5, pp. 35-61.
    • (2004) Journal of Insurance and Risk Management , vol.3 , Issue.5 , pp. 35-61
    • Leng, C.-C.1    Powers, M.R.2    Venezian, E.C.3
  • 35
    • 85010647427 scopus 로고
    • Pricing and consolidation: farewell to the P/C cycle?
    • Lonkevich, D. (1995), “Pricing and consolidation: farewell to the P/C cycle?”, Best's Review, September, pp. 24-9.
    • (1995) Best's Review , vol.September , pp. 24-29
    • Lonkevich, D.1
  • 37
    • 84881451130 scopus 로고    scopus 로고
    • Underwriting cycles in property-liability insurance – an analysis of the relationship between premiums and losses
    • Association Internationale pour l'Etude de l'Economie de l'Assurance, Geneva, 43-78
    • Meier, U.B. (1998), “Underwriting cycles in property-liability insurance – an analysis of the relationship between premiums and losses”, Etudes et Dossiers, Vol. 215, Association Internationale pour l'Etude de l'Economie de l'Assurance, Geneva, pp. 43-78.
    • (1998) Etudes et Dossiers , vol.215
    • Meier, U.B.1
  • 39
    • 85015369827 scopus 로고    scopus 로고
    • Multi-national underwriting cycles in property-liability insurance, Part II: model extensions and further empirical results
    • Meier, U.B. (2006), “Multi-national underwriting cycles in property-liability insurance, Part II: model extensions and further empirical results”, Journal of Risk Finance, Vol. 7 No. 1, pp. 83-97.
    • (2006) Journal of Risk Finance , vol.7 , Issue.1 , pp. 83-97
    • Meier, U.B.1
  • 40
    • 84881466080 scopus 로고
    • Insurance cycles: an Italian experience
    • Association Internationale pour l'Etude de l'Economie de l'Assurance, Geneva, 37-85
    • Mormino, C.A. (1979), “Insurance cycles: an Italian experience”, Etudes et Dossiers, No. 33, Association Internationale pour l'Etude de l'Economie de l'Assurance, Geneva, pp. 37-85.
    • (1979) Etudes et Dossiers
    • Mormino, C.A.1
  • 41
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series
    • Nelson, C.R. and Plosser, C.I. (1982), “Trends and random walks in macroeconomic time series”, Journal of Monetary Economics, Vol. 10, pp. 139-62.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 42
    • 0010043914 scopus 로고
    • Evidence on the time series properties of insurance premiums and causes of the underwriting cycle
    • Niehaus, G. and Terry, A. (1993), “Evidence on the time series properties of insurance premiums and causes of the underwriting cycle”, Journal of Risk and Insurance, Vol. 60, pp. 466-79.
    • (1993) Journal of Risk and Insurance , vol.60 , pp. 466-479
    • Niehaus, G.1    Terry, A.2
  • 44
    • 0003112166 scopus 로고
    • Regulation and quality competition in the US insurance industry
    • Finsinger, J., Pauly, M.V.and and (Eds), Macmillan, Basingstoke
    • Pauly, M.V., Kunreuther, H. and Kleindorfer, P. (1986), “Regulation and quality competition in the US insurance industry”, in Finsinger, J. and Pauly, M.V. (Eds), The Economics of Insurance Regulation, Macmillan, Basingstoke.
    • (1986) The Economics of Insurance Regulation
    • Pauly, M.V.1    Kunreuther, H.2    Kleindorfer, P.3
  • 45
    • 27644580196 scopus 로고
    • Trends and random walks in macroeconomic time series, further evidence from a new approach
    • Perron, P. (1988), “Trends and random walks in macroeconomic time series, further evidence from a new approach”, Journal of Economic Dynamics and Control, Vol. 12, pp. 297-332.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 46
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P.C.B. and Perron, P. (1988), “Testing for a unit root in time series regression”, Biometrika, Vol. 75 No. 2, pp. 335-46.
    • (1988) Biometrika , vol.75 , Issue.2 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 48
    • 85015356605 scopus 로고
    • Dictionnaire de l'économie de l'assurance
    • Risques (1994), “Dictionnaire de l'économie de l'assurance”, Risques, No. 17.
    • (1994) Risques
  • 49
    • 85015400756 scopus 로고    scopus 로고
    • Assurance: la fin du cycle?
    • issue containing several short papers
    • Risques (2000), “Assurance: la fin du cycle?”, Risques, issue containing several short papers, No. 41.
    • (2000) Risques
  • 52
    • 0039655270 scopus 로고
    • Profit cycles in property-liability insurance
    • Randall, E.D. (Ed.), 4th ed., American Institute for Property and Liability Underwriters, Malvern, PA
    • Stewart, B.D. (1987), “Profit cycles in property-liability insurance”, in Randall, E.D. (Ed.), Issues in Insurance, 4th ed., Vol. 2, American Institute for Property and Liability Underwriters, Malvern, PA.
    • (1987) Issues in Insurance , vol.2
    • Stewart, B.D.1
  • 53
    • 85015391117 scopus 로고
    • A brief history of underwriting cycles
    • Cummins, J.D., Harrington, S.E., Klein, R.W.and and (Eds), -National Association of Insurance Commissioners, Kansas City, MO
    • Stewart, B.D., Stewart, R.E. and Roddis, R.S.L. (1991), “A brief history of underwriting cycles”, in Cummins, J.D., Harrington, S.E. and Klein, R.W. (Eds), Cycles and Crises in Property/Casualty Insurance: Causes and Implications for Public Policy, National Association of Insurance Commissioners, Kansas City, MO, pp. 374-412.
    • (1991) Cycles and Crises in Property/Casualty Insurance: Causes and Implications for Public Policy , pp. 374-412
    • Stewart, B.D.1    Stewart, R.E.2    Roddis, R.S.L.3
  • 54
    • 0039078343 scopus 로고
    • Ratemaking methods and profit cycles in property and liability insurance
    • Venezian, E. (1985), “Ratemaking methods and profit cycles in property and liability insurance”, Journal of Risk and Insurance, Vol. 52, pp. 477-500.
    • (1985) Journal of Risk and Insurance , vol.52 , pp. 477-500
    • Venezian, E.1
  • 55
    • 0010008804 scopus 로고
    • The liability crisis and the dynamics of competitive insurance markets
    • Winter, R.A. (1988), “The liability crisis and the dynamics of competitive insurance markets”, Yale Journal of Regulation, Vol. 5 No. 2, pp. 455-99.
    • (1988) Yale Journal of Regulation , vol.5 , Issue.2 , pp. 455-499
    • Winter, R.A.1
  • 56
    • 0000337295 scopus 로고
    • The liability insurance market
    • Winter, R.A. (1991), “The liability insurance market”, Journal of Economic Perspectives, Vol. 5 No. 3, pp. 115-36.
    • (1991) Journal of Economic Perspectives , vol.5 , Issue.3 , pp. 115-136
    • Winter, R.A.1
  • 57
    • 0000842433 scopus 로고
    • The dynamics of competitive insurance markets
    • Winter, R.A. (1994), “The dynamics of competitive insurance markets”, Journal of Financial Intermediation, Vol. 3, pp. 379-415.
    • (1994) Journal of Financial Intermediation , vol.3 , pp. 379-415
    • Winter, R.A.1
  • 58
    • 34249954874 scopus 로고
    • Exclusive vs. independent agencies: a comparison of performance
    • Zweifel, P. and Ghermi, P. (1990), “Exclusive vs. independent agencies: a comparison of performance”, Geneva Papers on Risk and Insurance Theory, Vol. 15 No. 2, pp. 171-92.
    • (1990) Geneva Papers on Risk and Insurance Theory , vol.15 , Issue.2 , pp. 171-192
    • Zweifel, P.1    Ghermi, P.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.