An Empirical Research on the Relationship between Property Insurance Premiums and Macroeconomic Variables Based on ARDL Model

An Empirical Research on the Relationship between Property Insurance Premiums and Macroeconomic Variables Based on ARDL Model

Given that most of property insurance policies are one-year contracts and have a high renewal, this paper establishes Auto-regressive Distributed Lag Model (ARDL) which considers adding lags of the dependent variable and/or lags of some independent variables. Based on the data of Insurance Premiums...

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Bibliographic Details
Main Authors: Guiyun You, Shanshan Cao, Jing Feng, Shu Yu
Format: Article
Language:English
Published: Society for Risk Analysis - China 2014-09-01
Series:Journal of Risk Analysis and Crisis Response (JRACR)
Subjects:
Insurance Premiums
Macroeconomic Variables
ARDL model
Online Access:https://www.atlantis-press.com/article/14334.pdf
Description
Summary:Given that most of property insurance policies are one-year contracts and have a high renewal, this paper establishes Auto-regressive Distributed Lag Model (ARDL) which considers adding lags of the dependent variable and/or lags of some independent variables. Based on the data of Insurance Premiums in China, Gross Domestic Product (GDP), Consumer Price Index (CPI) and Fixed-asset Investment during the period from 1980 to 2012, this paper analyzes the long-term and short-term relationships between them with method of the ARDL bounds testing approach. The results indicate that GDP is the major factor driving the growth of property insurance premiums in China; fixed-asset investment has significant impact on Chinese property insurance premiums, and they show the conspicuous negative correlation; Moreover, CPI has little effect on the premium income.
ISSN:2210-8505

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