An Empirical Evaluation of Property-Liability Insurance Financial Ratemaking Models
type: CreativeWork
description: This research examines several financial models that have been developed for rate regulation and ratemaking of property-liability insurers over the past fifteen to twenty years. Empirical model estimates of underwriting profit margins for twenty-three individual stock insurance companies are compared with actual underwriting results over the 1973-1989 period. This approach differs from previous research that has used aggregate industry data. The models tested are the total target rate of return model, Fairley's insurance CAPM with tax extensions by Hill and Modigliani, Myers and Cohn's discounted cash flow model, and Doherty and Garven's option pricing model. The goal of this research is to identify promising models for regulators and actuaries and illustrate how they can be used with individual company data.
abstract: This research examines several financial models that have been developed for rate regulation and ratemaking of property-liability insurers over the past fifteen to twenty years. Empirical model estimates of underwriting profit margins for twenty-three individual stock insurance companies are compared with actual underwriting results over the 1973-1989 period. This approach differs from previous research that has used aggregate industry data. The models tested are the total target rate of return model, Fairley's insurance CAPM with tax extensions by Hill and Modigliani, Myers and Cohn's discounted cash flow model, and Doherty and Garven's option pricing model. The goal of this research is to identify promising models for regulators and actuaries and illustrate how they can be used with individual company data.
author: Dyer, Mike Ancil
keywords: Economics, Finance
date published: 2014-12-17T23:38:44Z
date modified: 2026-07-22T22:26:07Z
provider: University of Illinois - Urbana-Champaign
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Illinois at Urbana-Champaign

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2142/72585