A Study on Underwriting Cycle of Property Insurance Industry of China

被引：1
|
作者：
Zhang, Lin [1 ]
Tang, Linjuan [2 ]
机构：
[1] Coll Hunan Univ, Dept Finance & Stat, Changsha, Hunan, Peoples R China
[2] Coll Hunan Univ, Dept Finance, Changsha, Hunan, Peoples R China
来源：
JOURNAL OF MODERN APPLIED STATISTICAL METHODS | 2012年 / 11卷 / 01期
关键词：
Underwriting cycle; property insurance; second-order autoregressive model; CF filter; structural transition;
D O I：
10.22237/jmasm/1335846120
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Methods in underwriting cycle research are compared. A second-order autoregressive model, which includes structural transition and Christiano-Fitzgerald (CF) Filter method, is used to analyze China's underwriting cycle with annual property insurance loss ratio data from 1982 to 2008. Results show that the underwriting cycle is 11-12 years and, from the phase of underwriting cycle, management suggestions about underwriting cycle phenomenon are provided.
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页码：261 / 267
页数：7
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