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A micro-econometric model of the UK property-liability insurance industry
journal contribution
posted on 2023-06-08, 12:02 authored by Emmanuel Mamatzakis, Christos StaikurasThe aim of this study is to assess the effect of claims and expenses on premiums for the UK property-liability insurance industry. A cointegration approach of a multivariate system of equations is applied to disentangle the causal relationships between premiums, claims and expenses. The findings reveal that, in the long run, claims and expenses cause premiums, supporting the 'rational expectations' and the 'institutional rigidities' hypotheses. A dynamic analysis, using the impulse response functions, confirm the positive impact of claims on premiums, whilst premiums also positively affect claims, underlying that the former are price sensitive.
History
Publication status
- Published
Journal
Applied Financial Economics LettersISSN
1744-6546Publisher
Taylor & FrancisExternal DOI
Issue
4Volume
2Page range
257-260Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-07-04Usage metrics
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