Harrington and Yu (2003) conduct extensive unit root tests of the series typically
analyzed in underwriting cycle research, presenting evidence largely consistent with
stationarity (absence of a unit root). In contrast, Leng (2006) presents evidence that
combined ratios are nonstationary and subject to structural breaks.
43
Jawad et al. (2009)
provide evidence that premiums are cointegrated with interest rates using nonlinear
cointegration techniques. Lazar and Denuit (2012) analyze the dynamic relationship
between U.S. property-casualty premiums, losses, GDP, and interest rates using both
single equation and ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month, and much more.