| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 95 === This study uses AR(2) (Second-order Autoregressive Model) which considers loss ratio as dependent variable to observe that if there exits underwriting cycle in automobile insurance of Taiwan’s reinsurance market by OLS (Ordinary Least Square) estimator. We use Impulse Response Function to analyze the influence of the premium income among the loss of automobile insurance of Taiwan’s reinsurance market, RGDP and interest rate via VAR (Vector Autoregression) model, and then we estimate the degree of forecast error by Forecast Error Variance Decomposition. The result shows that all the economic variances have an extended impact to the premium income. There exists a long-term relationship between economic environment alteration and underwriting cycle, and presents that interest rate and the volatility of market situation are important pointers to the premium income. We find that there exists underwriting cycle in automobile insurance of Taiwan’s reinsurance market with a cycle length of six years. In the part of Forecast Error Variance Decomposition, we find that RGDP and interest rate are great helpful to the prediction of premium income of automobile insurance of Taiwan’s reinsurance market. Also find that current premiums have the ability to predict a substantial portion of the variation in future losses, show that premiums are informationally efficient predictors of future losses.
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