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題名 台灣產物保險市場之核保績效實證研究
An Empirical Study on Underwriting Performance of Taiwan Non-Life Insurance Market作者 王子祥
Ｗang, Zih-Siang貢獻者 張士傑
Chang, Shih-Chieh
王子祥
Ｗang, Zih-Siang關鍵詞 核保績效
均衡核保利潤模型
完備資訊方法
Underwriting performance
Market equilibrium
Full-information日期 2019 上傳時間 7-Aug-2019 16:16:16 (UTC+8) 摘要 本研究根據 Fairley(1979)所提出之均衡核保利潤模型，運用財團法人保險 事業發展中心 2011-2017 年之財務及業務資訊，以各產險公司之均衡核保利潤 與實際核保利潤差異檢視公司整體核保績效，且亦透過 Ehrhardt and Bhagwat (1991)所提出之完備資訊方法(FIB)，將各產險公司之核保績效深入細分為各險 種別之核保績效，實證結果顯示:1. 台灣各產險公司之核保獲利顯著影響了公司之整體獲利，各產險公司 之實際核保利潤與理論均衡報酬率呈現顯著正差異。2. 整體產險市場之一般車險核保績效較強制車險來得優異，且一般車險 與整體核保績效之正相關程度較高，顯示車險顯著影響整體核保利潤。3. 整體產險市場之個人險核保績效較商業險來得優異，且個人險與整體 核保績效正相關程度較高，顯示個人顯顯著影響整體核保利潤。
In this study, we employ the financial pricing model (Fairley, 1979) and the difference between actual and equilibrium expected underwriting profits to evaluate the underwriting performance of the non-life insurance companies in Taiwan between 2011 and 2017. Then we also employ the full information industry beta method (Ehrhardt and Bhagwat, 1991) to decompose the overall underwriting performance of the non-life insurance companies into different lines. The empirical results show that:1. The overall profit performance is highly associated with the underwriting performance of company, and there is a significantly difference between actual and equilibrium expected underwriting profit.2. The underwriting performance of voluntary automobile insurance is greater than compulsory automobile insurance, and the voluntary automobile insurance is much positively correlated with the overall underwriting performance.3. The underwriting performance of personal insurance is greater than business insurance, and the personal insurance is much positively correlated with the overall underwriting performance.參考文獻 中文文獻:張士傑、黃雅文、詹淑卿，2008。產物保險公司之核保績效:台灣市場1999-2003之實證研究，保險經營與制度，7(1)，p.1-19。張士傑、黃雅文、張孝銓，2010。台灣產物保險市場之權益資金成本，保險經營與制度，9(2)，p.127-155。英文文獻:Ehrhardt, M. C., and Y. N. Bhagwat, 1991, A Full-Information Approach for Esti- mation Divisional Betas, Financial Management, 20, p.60-69.Fairley, W. B., 1979, Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results, The Bell Journal of Economics, 10, p.192- 210.Fama, E. F., 1978, The Effect of a Firm’s Investment and Financing Decisions on the Welfare of its Security Holders, American Economic Review. 68, p.272-284.Hill R. D., 1979, Profit Regulation in Property-Liability Insurance, Bell Journal of Economics, 10, p.172-191.Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7, p.77-97. Markowitz, H. M., 1959, Portfolio Selection: Efficient Diversification of Investments,New work: John Wiley & Sons.Munch, P., and D. E. Smallwood, 1980, Solvency Requlation in the Property-Liability Insurance Industry: Empirical Evidence, The Bell Journal of Economics, 11, p.261- 279.Myers, S., and R. Cohn, 1987, Insurance Rate Regulation and the Capital Asset Pricing Model. In J. D. Cummins and S. E. Harrington, eds., Fair Rate of Return in Property-Liability Insurance (Norwell, MA: Kluwer Academic Publishers).32Quirin, G. D., and W. R. Waters, 1975, Market Efficiency and the Cost of Capital: The Strange Case of Fire and Casualty Insurance Companies, Journal of Finance, 30, p.427-445.Sharpe, W. F.,1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19, p.425-442. 描述 碩士
國立政治大學
風險管理與保險學系
106358027資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106358027 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (Authors) 王子祥 zh_TW dc.contributor.author (Authors) Ｗang, Zih-Siang en_US dc.creator (作者) 王子祥 zh_TW dc.creator (作者) Ｗang, Zih-Siang en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:16:16 (UTC+8) - dc.date.available 7-Aug-2019 16:16:16 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:16:16 (UTC+8) - dc.identifier (Other Identifiers) G0106358027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124759 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 106358027 zh_TW dc.description.abstract (摘要) 本研究根據 Fairley(1979)所提出之均衡核保利潤模型，運用財團法人保險 事業發展中心 2011-2017 年之財務及業務資訊，以各產險公司之均衡核保利潤 與實際核保利潤差異檢視公司整體核保績效，且亦透過 Ehrhardt and Bhagwat (1991)所提出之完備資訊方法(FIB)，將各產險公司之核保績效深入細分為各險 種別之核保績效，實證結果顯示:1. 台灣各產險公司之核保獲利顯著影響了公司之整體獲利，各產險公司 之實際核保利潤與理論均衡報酬率呈現顯著正差異。2. 整體產險市場之一般車險核保績效較強制車險來得優異，且一般車險 與整體核保績效之正相關程度較高，顯示車險顯著影響整體核保利潤。3. 整體產險市場之個人險核保績效較商業險來得優異，且個人險與整體 核保績效正相關程度較高，顯示個人顯顯著影響整體核保利潤。 zh_TW dc.description.abstract (摘要) In this study, we employ the financial pricing model (Fairley, 1979) and the difference between actual and equilibrium expected underwriting profits to evaluate the underwriting performance of the non-life insurance companies in Taiwan between 2011 and 2017. Then we also employ the full information industry beta method (Ehrhardt and Bhagwat, 1991) to decompose the overall underwriting performance of the non-life insurance companies into different lines. The empirical results show that:1. The overall profit performance is highly associated with the underwriting performance of company, and there is a significantly difference between actual and equilibrium expected underwriting profit.2. The underwriting performance of voluntary automobile insurance is greater than compulsory automobile insurance, and the voluntary automobile insurance is much positively correlated with the overall underwriting performance.3. The underwriting performance of personal insurance is greater than business insurance, and the personal insurance is much positively correlated with the overall underwriting performance. en_US dc.description.tableofcontents 目錄第一章 緒論 1第一節 前言與研究動機 1第二節 台灣產物保險市場發展概況 3第二章 文獻探討 8第一節 國外相關文獻 8第二節 國內相關文 11第三章 研究方法 12第一節 保險相關基本假設 12第二節 理論均衡模型 13第三節 各險種理論均衡模型 14第四章 研究結果 15第一節 敘述性統計分析 15第二節 假設檢定與迴歸分析 26第五章 結論與未來建議 30第一節 結論 30第二節 未來建議 31參考文獻 32 zh_TW dc.format.extent 1214701 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106358027 en_US dc.subject (關鍵詞) 核保績效 zh_TW dc.subject (關鍵詞) 均衡核保利潤模型 zh_TW dc.subject (關鍵詞) 完備資訊方法 zh_TW dc.subject (關鍵詞) Underwriting performance en_US dc.subject (關鍵詞) Market equilibrium en_US dc.subject (關鍵詞) Full-information en_US dc.title (題名) 台灣產物保險市場之核保績效實證研究 zh_TW dc.title (題名) An Empirical Study on Underwriting Performance of Taiwan Non-Life Insurance Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻:張士傑、黃雅文、詹淑卿，2008。產物保險公司之核保績效:台灣市場1999-2003之實證研究，保險經營與制度，7(1)，p.1-19。張士傑、黃雅文、張孝銓，2010。台灣產物保險市場之權益資金成本，保險經營與制度，9(2)，p.127-155。英文文獻:Ehrhardt, M. C., and Y. N. Bhagwat, 1991, A Full-Information Approach for Esti- mation Divisional Betas, Financial Management, 20, p.60-69.Fairley, W. B., 1979, Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results, The Bell Journal of Economics, 10, p.192- 210.Fama, E. F., 1978, The Effect of a Firm’s Investment and Financing Decisions on the Welfare of its Security Holders, American Economic Review. 68, p.272-284.Hill R. D., 1979, Profit Regulation in Property-Liability Insurance, Bell Journal of Economics, 10, p.172-191.Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7, p.77-97. Markowitz, H. M., 1959, Portfolio Selection: Efficient Diversification of Investments,New work: John Wiley & Sons.Munch, P., and D. E. Smallwood, 1980, Solvency Requlation in the Property-Liability Insurance Industry: Empirical Evidence, The Bell Journal of Economics, 11, p.261- 279.Myers, S., and R. Cohn, 1987, Insurance Rate Regulation and the Capital Asset Pricing Model. In J. D. Cummins and S. E. Harrington, eds., Fair Rate of Return in Property-Liability Insurance (Norwell, MA: Kluwer Academic Publishers).32Quirin, G. D., and W. R. Waters, 1975, Market Efficiency and the Cost of Capital: The Strange Case of Fire and Casualty Insurance Companies, Journal of Finance, 30, p.427-445.Sharpe, W. F.,1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19, p.425-442. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900214 en_US
