The aim of this paper is to analyze the impact of underwriting cycles on the risk and return of non-life insurance companies. We integrate underwriting cycles in a dynamic financial analysis framework using a stochastic process, specifically, the Ornstein-Uhlenbeck process, which is fitted to empirical data and used to analyze the impact of these cycles on risk and return. We find that underwriting cycles have a substantial influence on risk and return measures. Our results have implications for managers, regulators, and rating agencies that use such models in risk management, e.g., to determine risk-based capital requirements.