2023 Australasian Actuarial Education and Research Symposium

Hamza Hanbali

Monash University

Insurance price cycles: insurer's preferences and policyholders' welfare

This is joint work with Dan Zhu, Jackie Li

Insurance premiums typically exhibit a cyclical behaviour over time. This phenomenon is well-documented in the literature, and has been reported in many business lines and in many countries, with a cycle length between 5 and 6 years. The aim of the present paper is to study the impact of premium cyclicality on both the provider and policyholders. Using econometric techniques, the impact of cyclicality is studied by constructing a synthetic counter-factual where premiums are non-cyclical, and analysing the distribution of the accumulated losses under the cyclical and non-cyclical models over a planning horizon corresponding to the length of the underwriting cycle.