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This research explored two major insurance-market issues. First, it investigated the dynamic interactions between premiums and losses using vector autoregressive (VAR) models. Second, it showed how premiums respond to shocks to losses, surplus, interest rates, the variance in losses, and the...
Persistent link: https://www.econbiz.de/10005412562
A number of articles have documented that the classical event study methodology exhibits a bias toward detecting "effects", irrespective of whether such effects actually exist. This paper addresses this bias by presenting a new methodology that explicitly incorporates stochastic behaviors of the...
Persistent link: https://www.econbiz.de/10005126104