English, Article edition: Stationarity and stability of underwriting profits in property-liability insurance: Part I Chao-Chun Leng

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Bookmark: http://trove.nla.gov.au/version/8761
Physical Description
  • article
Language
  • English

Edition details

Title
  • Stationarity and stability of underwriting profits in property-liability insurance: Part I
Author
  • Chao-Chun Leng
Physical Description
  • article
Notes
  • Purpose – To examine whether the properties of the combined-ratio series, an indicator of underwriting profitability in property-liability insurance, have changed over time. Design/​methodology/​approach – Using the autocorrelation function (ACF) and partial autocorrelation function (PACF), we check whether combined ratios are stationary. Findings – Underwriting profit has worsened in recent years, and combined ratios are non-stationary. This characteristic of combined ratios needs further analysis for its impact on underwriting cycles. Practical implications – Traditional concepts of underwriting cycles, such as predictable cycle lengths and trends, may have changed. Originality/​value – The possibility of a non-stationary combined-ratio series is recognized, and the possible existence of non-stationarity and breaks in combined ratios is introduced.
  • Insurance liability, Property insurance, Underwriting
  • RePEc:eme:jrfpps:v:7:y:2006:i:1:p:38-48
Language
  • English
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