English, Article edition: The use of spectral analysis in insurance cycle research Emilio C. Venezian

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The use of spectral analysis in insurance cycle research
Author
  • Emilio C. Venezian
Physical Description
  • article
Notes
  • Purpose – Aims to address a number of issues related to the use of spectral analysis in the study of insurance cycles. Design/​methodology/​approach – Spectral analysis has seldom been used in the study of insurance cycles. This may be due to the fact that no statistical test is readily available for rejecting the hypothesis that a spectrum is significantly different from random uncorrelated noise in a context in which the period of the alternative is not known. This article suggests one such test. Findings – In evaluating the proposed test, the relevant critical points, when the number of observations is small, and provided the power of the test is also explored to identify three cyclical processes: a sine process with noise, a second-order autoregressive process, and the rational expectations process suggested by Cummins and Outreville. Originality/​value – The article provides the first comprehensive analysis and discussion of spectral analysis in the context of insurance-cycle research.
  • Business cycles, Data analysis, Insurance
  • RePEc:eme:jrfpps:v:7:y:2006:i:2:p:177-188
Language
  • English
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