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題名 An Empirical Analysis of Non-Life Insurance Consumption Stationarity
作者 Lee, Chien-chiang;Hsu, Yi-chung;Lee, Chi-chuan
李起銓
貢獻者 金融系
關鍵詞 insurance consumption; Panel SURADF test; unit root; half-lives; regions
日期 2010-04
上傳時間 14-Jan-2015 15:50:41 (UTC+8)
摘要 This paper explores whether the stationarity hypothesis of non-life insurance consumptions is supported during the period 1979-2005 for 31 countries. The stationarity of insurance consumption has important implications for modelling and forecasting insurance activities. On a global scale, this paper first implements the recent panel seemingly unrelated regressions augmented Dickey-Fuller unit root test, which allows us to account for possible cross-country effects and to identify how many and which countries of the panel contain a unit root. The main conclusion is that whether non-life insurance consumptions are stationary or not will be affected by different regions and their levels of development. Overall, our empirical results illustrate that non-life insurance consumptions in these countries are a mixture of stationary (integrated of order zero) and non-stationary (integrated of order one) processes. Higher risk aversion, lower income level and lower level of insurance market development may lead to non-stationarity. Finally, for the estimated half-lives of Africa, the degrees of mean reversion are greater than those for Europe and America. [PUBLICATION ABSTRACT]
關聯 Geneva Papers on Risk & Insurance, 35(2), 266-289
資料類型 article
DOI http://dx.doi.org/10.1057/gpp.2010.3
dc.contributor 金融系-
dc.creator (作者) Lee, Chien-chiang;Hsu, Yi-chung;Lee, Chi-chuan-
dc.creator (作者) 李起銓-
dc.date (日期) 2010-04-
dc.date.accessioned 14-Jan-2015 15:50:41 (UTC+8)-
dc.date.available 14-Jan-2015 15:50:41 (UTC+8)-
dc.date.issued (上傳時間) 14-Jan-2015 15:50:41 (UTC+8)-
dc.identifier.uri (URI) http://140.119.115.13/handle/140.119/72869-
dc.description.abstract (摘要) This paper explores whether the stationarity hypothesis of non-life insurance consumptions is supported during the period 1979-2005 for 31 countries. The stationarity of insurance consumption has important implications for modelling and forecasting insurance activities. On a global scale, this paper first implements the recent panel seemingly unrelated regressions augmented Dickey-Fuller unit root test, which allows us to account for possible cross-country effects and to identify how many and which countries of the panel contain a unit root. The main conclusion is that whether non-life insurance consumptions are stationary or not will be affected by different regions and their levels of development. Overall, our empirical results illustrate that non-life insurance consumptions in these countries are a mixture of stationary (integrated of order zero) and non-stationary (integrated of order one) processes. Higher risk aversion, lower income level and lower level of insurance market development may lead to non-stationarity. Finally, for the estimated half-lives of Africa, the degrees of mean reversion are greater than those for Europe and America. [PUBLICATION ABSTRACT]-
dc.format.extent 201857 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Geneva Papers on Risk & Insurance, 35(2), 266-289-
dc.subject (關鍵詞) insurance consumption; Panel SURADF test; unit root; half-lives; regions-
dc.title (題名) An Empirical Analysis of Non-Life Insurance Consumption Stationarity-
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1057/gpp.2010.3en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1057/gpp.2010.3en_US