This paper provides an empirical analysis of the presence and determinants of
the underwriting cycle in non-life insurance for France for the industry and for two
individual lines which one long and one short for the period 1963-2004 and 1982-2004.
First, the estimation of the AR(2) process of the rate of growth of premiums shows the
presence of a cyclical behavior since 80 for the aggregate sector and for the automobile
line. Second, we aim to determine their causes. For that, we consider the amount of
claims and expenses, equities and returns on financial assets. We adopt a multivariate
approach and we estimate an error correction vector model that allows the distinction
between the e¤ects of short and long term. We provide evidence of causality between
different variables and we end with an impulse analysis. The empirical results that
we get are interpreted with reference to principal hypothesis made in the literature to
explain the cycle and financial model of insurance pricing. These results show that
the causes vary across lines and periods.