Journal article
Loss ratio dynamics
Risk management and insurance review, Vol.26(3), pp.343-366
10/01/2023
DOI: 10.1111/rmir.12247
Abstract
Many studies of the insurance profit cycle use industry-level annual data and focus on the existence of an AR(2) process. We take a different approach by adopting the idea of possible hard and soft markets, but they are not necessarily cyclical in the classic sense. In addition to aggregated data, we use quarterly firm-level data to examine loss ratio behavior over time. This approach allows one to assess the firm-level heterogeneity in the insurance market. We further use a Markov switching model to assess the heterogeneity of response to economic variables. Using a K-means cluster approach, we examine the different clusters of firms and their different behavior over 2001q1-2020q4.
Details
- Title: Subtitle
- Loss ratio dynamics
- Creators
- Martin F. Grace - Fox Sch Business, Joseph Boettner Prof Risk, Philadelphia, PA 19122 USA
- Resource Type
- Journal article
- Publication Details
- Risk management and insurance review, Vol.26(3), pp.343-366
- Publisher
- Wiley
- DOI
- 10.1111/rmir.12247
- ISSN
- 1098-1616
- eISSN
- 1540-6296
- Number of pages
- 24
- Grant note
- I would like to thank the discussants at the 2021 ASSA meeting and those at the conference in honor of David Cummins and Mary Weiss held at Temple University in 2022 for helpful comments.
- Language
- English
- Date published
- 10/01/2023
- Academic Unit
- Finance
- Record Identifier
- 9984700655402771
Metrics
1 Record Views