Abstract:The empirical investigation of the underwriting profits of six major insurance lines in the US market during 1956–2016 suggests that the data generating process of underwriting profits follows a first‐order autoregressive process for less regulated business lines, whereas highly regulated business lines follow a second‐order autoregressive process. This study verified the long‐run relationships between risk‐free interest rates and underwriting profits for individual lines. Specifically, the long‐run sensitivit… Show more
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