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The Pricing of Multiple Line P&C Insurance Based on the Full Information Underwriting Beta

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Author
Nielson, Norma
Zhang, Li
Accessioned
2010-08-31T21:05:13Z
Available
2010-08-31T21:05:13Z
Issued
2009-10
Other
Insurance capital asset pricing model
Full information underwriting beta methodology
Subject
Multi-line insurance pricing
Fair underwriting profit margin
Type
journal article
Metadata
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Abstract
This paper develops a financial model of insurance pricing that is able to price insurance by line in a multi-line property & casualty insurance company based on the Full Information Underwriting Beta Methodology. It extends the existing literature in insurance pricing in that the model is suitable for multi-line pricing and reflects the systematic risk of different business lines. Based on Canadian Property & Casualty insurance industry data, the primary empirical findings in this paper strongly reject the argument in prior studies that underwriting betas of distinct lines vary in proportion to the length of the period that the premium of the corresponding line can be kept for investment. The results also show that the expected underwriting profit margin of liability insurance is the lowest among three distinct business lines: auto insurance, property insurance, and liability insurance.
Refereed
Yes
Article deposited after permission was granted by a representative of Revue Assurances et gestion des risques on July 7, 2010
 
Citation
Zhang, L., & Nielson, N.. (2009, October). The Pricing of Multiple Line P&C Insurance Based on the Full Information Underwriting Beta. Assurances et Gestion des Risques, 77(3/4), 237-264.
Corporate
University of Calgary
Faculty
Haskayne School of Business
Url
http://neumann.hec.ca/assurances-revue/en/
Publisher
HEC Montréal
Doi
http://dx.doi.org/10.11575/PRISM/34027
Uri
http://hdl.handle.net/1880/48167
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  • Haskayne School of Business Research & Publications

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