Rationality Test of Rate-making Decision in Insurance Market

Abstract

本文主要目的是對於保險人訂價決策是否依據理性預期原則作一實證研究。由於過去三十多年來美國產險業之核保利潤一直呈現周期性波動，因此學者對於保險人是否任意操縱保險價格每有爭論。然而過去的研究多僅就保險人訂價決策之理念作觀念性的討論，尚未能進行實證分析。本文則利用產險市場之實際資料，直接進行實證研究，以瞭解保險人是否以理性預期為基礎制定保費。根據實證分析結果，本文認為未能推翻保費是以理性預期為基礎所制定之假設。

The objective of this paper is to investigate empirically the process of insurance rate-making decision to see whether insurers set price based on rational expectations. Because of periodic fluctuations of underwriting profits in property-liability insurance industry, it has been a controversy whether insurance price is rationally set. Some of the previous literature argues that fluctuations result from irrational pricing decision. On the other hand, other studies suggest that profit fluctuations might be generated even if insurers set prices under rational expectations. However, these studies have not provided an empirical analysis of market rationality. Thus it is of interest to conduct a rationality test for pricing decision in insurance market. The findings of this paper suggest that market rationality hypothesis cannot be rejected for property-liability insurance industry.