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Underwriting profit margin of P/L insurance in the fuzzy-ICAPM*

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  • Li-Hua Lai

    (Department of Risk Management and Insurance, National Kaohsiung First University of Science and Technology, Kaohsiung, Taiwan, e-mail: lihua@ccms.nkfust.edu.tw)

Abstract

The ICAPM is used to study the underwriting profit margin of the P/L insurance company, including the insurances of automobile damage, automobile liability and fire, in which the parameters are the symmetric or non-symmetric triangular fuzzy numbers. From the ten-year data of a company in Taiwan we determine the lower and upper limits associated with the various α-level of the fuzzy numbers. Our results show that the best-fitting parameters of the model from our data are the asymmetric triangular fuzzy numbers. The skew factors in each insurance are determined, which could be used to perform the forecasting of the underwriting profit margin. Our results show that the systematic risk in the fuzzy environment (with best-fitting value of skew factor) becomes larger than that in the crisp environment. However, the insurance underwriting leverage and insurance financial leverage in the fuzzy environment are smaller than those in the crisp environment. The Geneva Risk and Insurance Review (2006) 31, 23–34. doi:10.1007/s10713-006-9465-y

Suggested Citation

  • Li-Hua Lai, 2006. "Underwriting profit margin of P/L insurance in the fuzzy-ICAPM*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(1), pages 23-34, July.
    • Handle: RePEc:pal:genrir:v:31:y:2006:i:1:p:23-34
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    Cited by:

    1. Lai, Li-Hua, 2008. "An evaluation of fuzzy transportation underwriting systematic risk," Transportation Research Part A: Policy and Practice, Elsevier, vol. 42(9), pages 1231-1237, November.

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