empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared … to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …

The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is … the same source as the underwriting cycle, namely recapitalization costs. We build a simple dynamic model of the insurance …-standing empirical evidence on underwriting cycles and more recent evidence on the fluctuations of insurance companies’ risk appetite …