A by-line cointegration analysis of underwriting margins and interest rates in the property-liability insurance industry

被引：19
|
作者：
Haley, JD
机构：
来源：
JOURNAL OF RISK AND INSURANCE | 1995年 / 62卷 / 04期
关键词：
D O I：
10.2307/253594
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
It is shown in this article that the risk-free interest rate is not cointegrated with the profitability of each line of insurance in the property-liability industry. This counters the accepted aggregate results. Two distinct interpretations of this result are that the risk-free interest rate does nor belong in the pricing models of each line or that the premium rates of at least some lines are not being set at competitive levels.
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页码：755 / 763
页数：9
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