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題名:臺灣壽險業之風險承擔與資本額關係之研究
書刊名:保險經營與制度
作者:曾曉萍郭照榮 引用關係
作者(外文):Tsen, Hsiao-pingKuo, Chau-jung
出版日期:2007
卷期:6:1
頁次:頁53-74
主題關鍵詞:Panel data門檻迴歸模型風險資本比率Panel data threshold modelRiskCapital ratio
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:16
  • 點閱點閱:25
我國人壽保險業自1992年開放以來,壽險業即進入百家爭鳴的戰國時期,各家壽險公司爭食著台灣壽險市場這塊大餅。但隨著競爭家數的增多,各家可分享的利潤逐漸減少。而且,民眾的投保率由1992年的41.79%增加至2004年的166.3%,由此可見壽險公司要再開發民眾2張以上保單的機會愈來愈低。此外,市場利率逐漸下滑,壽險業的利差損逐年增加,在在顯示著壽險業的經營困難。所以壽險業的清償能力更是受到各界的重視。一般而言,在其他條件皆相同的情況下,公司的資本愈多或資本比例愈高,公司的經營風險就會愈小,清償能力較佳;但公司資本比率愈高,其機會成本就會愈大,雖然公司的經營風險小,就公司長期而言,其平均獲利也會愈低,所以壽險公司應維持多少的資本比率與承擔多少風險一直受到各界的討論,但也都沒有一致的結論。所以,本文應用Panel Data門檻迴歸模型,以「壽險保費收入及年金險保費收入合佔總保費收入之比率」為門檻變數,將台灣壽險公司區分成偏向保障型壽險公司及偏向儲蓄型壽險公司來探討1993年至2004年台灣壽險公司之風險承擔與資本比率之間的關係。實證結果發現偏向保障型壽險公司之風險與資本比率為負相關;偏向儲蓄型壽險公司之風險與資本比率為正相關。
The number of life insurance company has grown rapidly in Taiwan due to insurance deregulation since 1992. One main challenge life insurance industry face is the declination of profit due to the increasing of competitors. Another challenge is growing insolvency resulted from the greater risk in interest loss of insurance. Generally speaking, under the same condition, a company is in less risk and has better solvency when it has more capital or higher ratio of capital or higher ratio of capital; however, this also brings higher opportunity cost which means in long run, the average profit will be lower. There is no conclusion how to balance the relationship between capital adjustment and risk taking decision in life insurance industry though this topic is intensively discussed these days. Therefore, with the methodology of Panel Data Threshold Regression, we divide life insurance companies into two categories according to “life insurance and annuity insurance premiums to total premiums ratio”. One is life insurance company of indemnification, and the other is the one of savings. In conclusion, we identify the negative correlation between capital ratio and risk of life insurance company of indemnification and the positive correlation between capital ratio and risk of life insurance company of savings.
期刊論文
1.陳盈君、蔡政憲(20020600)。壽險公司的資本結構與風險。保險專刊,18(1),75-92。new window  延伸查詢new window
2.蔡政憲、吳佳哲(20001100)。保險法中之投資限制對保險業投資績效影響之實證研究。風險管理學報,2(2),1-36。new window  延伸查詢new window
3.Aggarwal, R.、Jacques, K. T.(2001)。The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using a Simultaneous Equations Model。Journal of Banking and Finance,25(6),1139-1160。  new window
4.Harrington, S. E.、Danzon, R. M.(1994)。Price Cutting in Property-Liability Insurance。Journal of Business,67,511-538。  new window
5.Ambrose, Jan M.、Carroll, Anne M.(1994)。Using best's ratings in life insurer insolvency prediction。Journal of Risk and Insrance,61(2),317-327。  new window
6.Berger, Allen、Herring, Richard、Szegö, Giorgio(1995)。The role of capital in financial institutions。Journal of Banking and Finance,19,393-430。  new window
7.Doherty, N. A.、Garven, J. R.(1986)。Price Regulation in Property-Liability Insurance: A Contingent-Claims Approach。Journal of Finance,41(5),1031-1050。  new window
8.Jacques, Kevin、Nigro, Peter(1997)。Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach。Journal of Economics and Business,49(6),533-547。  new window
9.Kim, Daesik、Santomero, Anthony M.(1988)。Risk in banking and capital regulation。Journal of Finance,43(5),1219-1233。  new window
10.Rime, B.(2001)。Capital requirements and bank behavior: Empirical evidence for Switzerland。Journal of Banking and Finance,25(2),789-805。  new window
11.Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics,93(2),345-368。  new window
12.Merton, Robert C.(1977)。An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory。Journal of Banking & Finance,1(1),3-11。  new window
13.Shrieves, Ronald E.、Dahl, Drew(1992)。The Relationship Between Risk and Capital in Commercial Banks。Journal of Banking and Finance,16(2),439-457。  new window
14.Cummins, J. David、Harrington, Scott E.、Klein, Robert W.(1995)。Insolvency Experience, Risk-based Capital, and Prompt Corrective Action in Property- Liability Insurance。Journal of Banking and Finance,19(3/4),511-527。  new window
15.Klein, Robert W.、Phillips, Richard D.、Shiu, Wenyan(2002)。The Capital Structure of Firms Subject to Price Regulation: Evidence from the Insurance Industry。Journal of Financial Services Research,21,79-100。  new window
16.Cummins, J. David、Sommer, David W.(1996)。Capital and Risk in Property-Liability Insurance Markets。Journal of Banking and Finance,20(6),1069-1092。  new window
17.Cummins, J. David(1988)。Risk-Based Premiums for Insurance Guaranty Funds。Journal of Finance,43(4),823-839。  new window
研究報告
1.Guo, D.、Winter, R. A.(1997)。The Capital Structure of Insurers: Theory and Evidence。University of Toronto。  new window
學位論文
1.郭純芳(2002)。風險基礎資本制實施對壽險業資本與風險之影響(碩士論文)。國立政治大學。  延伸查詢new window
2.彭郁婷(2003)。風險基礎資本制實施對產險業資本與風險之影響(碩士論文)。國立政治大學。  延伸查詢new window
3.曾信凱(2003)。風險基礎資本額對壽險公司風險承擔行為之影響(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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