Abstract
Over the past two decades, several pricing models that integrate underwriting and investment performance have been proposed or used to determine property-liability insurance rates. In general, these models have been test separately and only over a relatively limited time horizon. In this article, the major property-liability insurance pricing models are evaluated over the 60-year period from 1926 through 1985 and the results of the various models are compared in terms of the ability to predict actual underwriting profit margins. Difference between model predictions and realized underwriting profit margins series are examined over the entire period as well as various subperiods in order to demonstrate how individual models perform under different conditions. The goal of this research is to assist actuaries and researchers in the application of pricing models and interpretation of results.
Page
113
Year
1990
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Systematic Risk Models
CAPM
Actuarial Applications and Methodologies
Ratemaking
Trend and Loss Development
Investment Income
Actuarial Applications and Methodologies
Ratemaking
Trend and Loss Development
Required Profit
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
State-Pricing Methods
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Traditional Risk Load (Profit Margin);
Publications
Casualty Actuarial Society Discussion Paper Program
