@article{ART001085830},
author={Choi Young-Mok},
title={An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2007},
volume={18},
number={2},
pages={45-78}
TY - JOUR
AU - Choi Young-Mok
TI - An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model
JO - Journal of Insurance and Finance
PY - 2007
VL - 18
IS - 2
PB - Korea Insurance Research Institute
SP - 45
EP - 78
SN - 2384-3209
AB - Unlike previous studies which estimated an underwriting cycle using AR(2) time-series models with aggregated loss ratio data, this study measures the underwriting cycle using a dynamic panel model with the yearly loss ratio data of property-liability insurance companies. We also used the one-step and two-step GMM, developed by Arellano and Bond (1991), to estimate our model parameter values. We analyzed models using the loss ratio data of entire property-liability insurance companies and the each line of property-liability insurance, respectively. The results of our paper are as follow. In case of entire property-liability insurance, the coefficients of loss ratio to each of the time lag and are significant at 1% level. In addition, there exists an underwriting cycle and its length is 5.4~6.9 years. Also, economic growth rates and growth rate of interest rate have a significant negative effect on loss ratio while growth rate of CPI have a significant positive influence. Next, by line of property-liability insurance, the underwriting cycle length of long-term insurance is estimated to be 7.2 years. Moreover, macroeconomic factors have only a statistically significant effect on the loss ratio of auto insurance.
KW - dynamic panel model;loss ratio;underwriting cycle
DO -
UR -
ER -
Choi Young-Mok. (2007). An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model. Journal of Insurance and Finance, 18(2), 45-78.
Choi Young-Mok. 2007, "An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model", Journal of Insurance and Finance, vol.18, no.2 pp.45-78.
Choi Young-Mok "An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model" Journal of Insurance and Finance 18.2 pp.45-78 (2007) : 45.
Choi Young-Mok. An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model. 2007; 18(2), 45-78.
Choi Young-Mok. "An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model" Journal of Insurance and Finance 18, no.2 (2007) : 45-78.
Choi Young-Mok. An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model. Journal of Insurance and Finance, 18(2), 45-78.
Choi Young-Mok. An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model. Journal of Insurance and Finance. 2007; 18(2) 45-78.
Choi Young-Mok. An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model. 2007; 18(2), 45-78.
Choi Young-Mok. "An Analysis of Underwriting Cycles in Property-Liability Insurance Using Dynamic Panel Model" Journal of Insurance and Finance 18, no.2 (2007) : 45-78.
