Centro de Documentación de Fundación MAPFRE - Do property-casualty insurance underwriting margins have unit roots?

MAP20071505417

Do property-casualty insurance underwriting margins have unit roots? / Scott E. Harrington, Tong Yu

A growing literature analyzes determinants of insurance prices using time series data on insurer underwriting margins. If the variables analyzed are stationary, conventional regression models may be appropriately used to test hypotheses. We apply a battery of unit root tests to investigate whether underwriting margins are stationary under different assumptions concercing deterministic components in the data generating process. The overall findings suggest that conventional regression methods can be used appropriately to analyze underwritting margings after controlling for deterministic influences and transforming any nonstationary regressors

En: The Journal of risk and insurance. - Orlando. - Volume 70, number 4, December 2003 ; p.715-733

1. Matemática del seguro . 2. Simulación Monte Carlo . 3. Property . 4. Casualty . 5. Costes económicos . 6. Variables macro-económicas . 7. Economía del seguro . I. Yu, Tong . II. Título. III. Título: The Journal of risk and insurance.