An Empirical Evaluation of Property-Liability Insurance Financial Ratemaking Models

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Dyer, Mike Ancil

Contributors dc:contributor

• D'Arcy, S.,

• Economics, Finance

Identifier

(UMI)AAI9305512

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/72585