In this paper we extend the definition of multi-year claims development results and quantification of multi-year non-life insurance risk to the bivariate chain ladder model as introduced by Braun in 2004. In this model, we assume two correlated loss portfolios each of which is underlying the...

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...