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

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dc.contributor.authorNielson, Normaeng
dc.contributor.authorZhang, Lieng
dc.date.accessioned2010-08-31T21:05:13Z
dc.date.available2010-08-31T21:05:13Z
dc.date.issued2009-10
dc.descriptionArticle deposited after permission was granted by a representative of Revue Assurances et gestion des risques on July 7, 2010eng
dc.description.abstractThis 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.eng
dc.description.refereedYeseng
dc.identifier.citationZhang, 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.eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34027
dc.identifier.issn1705-7299
dc.identifier.urihttp://hdl.handle.net/1880/48167
dc.language.isoengeng
dc.publisherHEC Montréaleng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.urlhttp://neumann.hec.ca/assurances-revue/en/eng
dc.subjectMulti-line insurance pricingeng
dc.subjectFair underwriting profit margineng
dc.subject.otherInsurance capital asset pricing modeleng
dc.subject.otherFull information underwriting beta methodologyeng
dc.titleThe Pricing of Multiple Line P&C Insurance Based on the Full Information Underwriting Betaeng
dc.typejournal article
thesis.degree.disciplineRisk Management & Insuranceeng
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