Interest Rates and Profit Cycles: A Disaggregated Approach: Abstract

Changes in the performance of property-liability insurers have been dramatic, resulting in problems that affect the supply of insurance and the solvency of insurers. Numerous researchers have examined the behavior of returns in this industry and have concluded that they may be characterized as cyclical. This paper redefines the nature of returns that are studied and concludes that disaggregated models with interest rate terms perform better than simple autoregressive models in explaining the behavior of profits.