Ordinary and Markov-Switching Autoregressive Models for Firm-Level Underwriting Data

For many decades, the analysis of underwriting-profitability regimes (i.e., successive “hard” and “soft” markets) has formed an important topic in insurance research. In the present article, we study the characteristics of firm-level underwriting behavior by applying both ordinary and Markov-switching autoregressive models to data from individual U.S. property-liability companies. The research employs both univariate and multivariate methods. Our analysis argues against the existence of distinct, firm-level underwriting regimes in the U.S. property-liability market, but offers evidence of cross-company interactions over time