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Volumn 7, Issue 2, 2006, Pages 189-214

Application of spectral and ARIMA analysis to combined-ratio patterns

Author keywords

Data analysis; Property insurance; Underwriting

Indexed keywords


EID: 85015704251     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265940610648625     Document Type: Article
Times cited : (14)

References (14)
  • 1
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    • An international analysis of underwriting cycles in property-liability insurance
    • Cummins, J.D. and Outreville, F. (1987), “An international analysis of underwriting cycles in property-liability insurance”, 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, F.2
  • 2
    • 0040262244 scopus 로고
    • Interest rates and profit cycles: a disaggregated approach
    • Fields, J.A. and Venezian, E. (1989), “Interest rates and profit cycles: a disaggregated approach”, Journal of Risk and Insurance, Vol. 56, pp. 312-19.
    • (1989) Journal of Risk and Insurance , vol.56 , pp. 312-319
    • Fields, J.A.1    Venezian, E.2
  • 3
    • 0039670500 scopus 로고
    • External impacts on the property/liability insurance cycle
    • Grace, M.F. and Hotchkiss, J.L. (1995), “External impacts on the 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
  • 4
    • 0009965614 scopus 로고
    • A by-line cointegration analysis of underwriting margins and interest rates in the property-liability insurance industry
    • Haley, J. (1995), “A by-line cointegration analysis of underwriting margins and interest rates in the property-liability insurance industry”, Journal of Risk and Insurance, Vol. 62, pp. 755-63.
    • (1995) Journal of Risk and Insurance , vol.62 , pp. 755-763
    • Haley, J.1
  • 5
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ
    • Hamilton, J.D. (1994), Time Series Analysis, Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 6
    • 85015623334 scopus 로고    scopus 로고
    • “Underwriting cycles: stationarity and stability”, paper presented at the Annual Meeting of the American Risk and Insurance Association, Baltimore, MD
    • Leng, C.C. (2000), “Underwriting cycles: stationarity and stability”, paper presented at the Annual Meeting of the American Risk and Insurance Association, Baltimore, MD.
    • (2000)
    • Leng, C.C.1
  • 7
    • 85015654662 scopus 로고    scopus 로고
    • Underwriting cycles: is the data consistent with ‘rationally priced’ cycles?
    • Leng, C.C. and Venezian, E. (2003), “Underwriting cycles: is the data consistent with ‘rationally priced’ cycles?”, Assurances, Vol. 71, pp. 435-54.
    • (2003) Assurances , vol.71 , pp. 435-454
    • Leng, C.C.1    Venezian, E.2
  • 8
    • 68549106399 scopus 로고    scopus 로고
    • Did regulation change the competitiveness in property-liability insurance? Evidence from underwriting and investment income
    • Leng, C.C., Powers, M.R. and Venezian, E. (2002), “Did regulation change the competitiveness in property-liability insurance? Evidence from underwriting and investment income”, Journal of Insurance Regulation, Vol. 22, pp. 57-77.
    • (2002) Journal of Insurance Regulation , vol.22 , pp. 57-77
    • Leng, C.C.1    Powers, M.R.2    Venezian, E.3
  • 9
    • 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. (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, pp. 35-62.
    • (2004) Journal of Insurance and Risk Management , vol.3 , pp. 35-62
    • Leng, C.C.1    Powers, M.R.2    Venezian, E.3
  • 10
    • 0041914293 scopus 로고    scopus 로고
    • A note on nonstationarity, structural breaks, and the Fisher effect
    • Malliaropulos, D. (2001), “A note on nonstationarity, structural breaks, and the Fisher effect”, Journal of Banking and Finance, Vol. 24, pp. 695-707.
    • (2001) Journal of Banking and Finance , vol.24 , pp. 695-707
    • Malliaropulos, D.1
  • 12
    • 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
  • 13
    • 85015714816 scopus 로고    scopus 로고
    • Empirical analyses on the ‘underwriting cycle’: an evaluation
    • Venezian, E. (2002), “Empirical analyses on the ‘underwriting cycle’: an evaluation”, Assurances, Vol. 70, pp. 295-314.
    • (2002) Assurances , vol.70 , pp. 295-314
    • Venezian, E.1
  • 14
    • 85015633801 scopus 로고    scopus 로고
    • The use of spectral analysis in cycle research
    • Venezian, E. (2006), “The use of spectral analysis in cycle research”, The Journal of Risk Finance, Vol. 7 No. 2, pp. 177-88.
    • (2006) The Journal of Risk Finance , vol.7 , Issue.2 , pp. 177-188
    • Venezian, E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.