Date of Award
Fall 10-24-2013
Degree Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Risk Management and Insurance
First Advisor
Dr. Martin Grace
Second Advisor
Dr. Daniel Bauer
Third Advisor
Dr. Florin Bidian
Fourth Advisor
Dr. Tyler Leverty
Fifth Advisor
Dr. George Zanjani
Abstract
This is a multi-essay dissertation in the area of dynamic models of the insurance markets. I study issues in insurance markets by examining individual behavior and industry performance in dynamic settings. My first essay studies household life insurance demand and saving decisions by applying a heterogeneous-agent life cycle model with wage shocks and mortality shocks. This essay proposes the most important determinants of household life insurance demand, and shows the joint decision of life insurance purchase between couples. My second essay focuses on the property-liability insurance market, and aims to study the impact of one catastrophe event on an insurer’s underwritings and capital raising strategy. The two-period cash flow model is built to also explore what kind of insurers can benefit from catastrophic risk underwritings. My third essay extends the second essay by incorporating a dynamic cash flow model with a series of loss shocks. I find the dynamic interaction between the insurer’s balance sheet and its capital rationing resulting from loss shocks. The model generates a non-cyclical behavior of output changes in the insurance market, and this suggests the current asymmetric, unpredictable and random underwriting cycles are temporary responses to loss shocks.
DOI
https://doi.org/10.57709/4762578
Recommended Citation
Wang, Ning, "Dynamic Models of the Insurance Markets." Dissertation, Georgia State University, 2013.
doi: https://doi.org/10.57709/4762578