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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 Staikuras
The 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 Letters

ISSN

1744-6546

Publisher

Taylor & Francis

Issue

4

Volume

2

Page range

257-260

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-07-04

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