A Cointegration Analysis of the Relationship between Underwriting Margins and Interest Rates: 1930-1989

Abstract

This article presents evidence that 90-day Treasury bill rates and underwriting margins for stock property-liability insurers were negatively related and cointegrated over the period 1930-1989. These results imply that underwriting margins fluctuated around a long-term equilibrium relationship with interest rates in a way that is consistent with financial models of insurance prices.

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