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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: 2015-01-14 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 連結: http://dx.doi.org/10.1057/gpp.2010.3
    DOI: 10.1057/gpp.2010.3
    顯示於類別:[企業管理學系] 期刊論文

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