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.

引用

页码：261 / 267

页数：7

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