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.
Zhang, Lin and Tang, Linjuan
"A Study on Underwriting Cycle of Property Insurance Industry of China,"
Journal of Modern Applied Statistical Methods:
1, Article 23.
Available at: http://digitalcommons.wayne.edu/jmasm/vol11/iss1/23