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Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
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Sunday, October 1 • 11:30am - 12:20pm
D3b A Dynamic Model of Insurance Markets: Catastrophes, Cycles, and Capacity Constraints

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In the property-liability insurance market, sharp price increases and large capacity swings follow catastrophic losses. A dynamic model of cash flows for an insurer is constructed to study the existence of underwriting cycle. The model shows that the effect of a one-time catastrophic shock could spread and amplify over time by the dynamic interaction between underwriting and capital structure. It indicates this dynamic interaction can generate the non-cyclical behavior of output changes under a series of catastrophic shocks. The paper also demonstrates that the changes in output markets are large with volatile shock, tight external capital market, and relaxed regulation.

Author(s): Ning Wang

avatar for Ning Wang

Ning Wang

Assistant Professor of Finance, University of North Georgia

Sunday October 1, 2017 11:30am - 12:20pm
Mockingbird 3

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