台灣壽險公司之資本、風險與效率管理

Abstract

近年來，隨著企業風險愈來愈大，保險公司清償能力問題也變得很重要。本文使用了兩系列的聯立方程式分析資本與風險關係。第一個聯立模型是藉由兩階段最小平方及兩階段分量迴歸方法分析資產風險、產品風險與資本的關係。第二個聯立模型進一步將作業效率連結至資本與風險的關係。本文以台灣實施風險基礎資本制度之後200 4-2009的期間為研究背景,每年選取27-28家的壽險公司為樣本。第一個聯立模型的實證結果顯示，資本與資產風險呈現顯著負向的關係，資本與產品風險呈現顯著正向的關係。整體上，兩階段分量迴歸方法比兩階段最小平方提供了較強證據結果。這些研究結果也與之前的美國壽險業研究恰好相反。 更多的研究發現也出現在第二個聯立研究模型。研究結果顯示，低效率與產品風險是正向的。這個結論支持道德風險假設，也就是，低作業效率的壽險公司，所承擔的產品風險比高績效者顯著為高。同時也發現，愈有效率的壽險公司，其資產風險愈高。研究結果同樣發現，資本與資產風險呈現顯著負向的關係，資本與產品風險呈現顯著正向的關係。 最後，資本與作業低效率彼此有負向的影響。這個結果顯示，持有資本較多的壽險公司，其作業效率比持有資本較少的壽險公司顯著為高。

The solvency of a life insurance company has become more important in recent years as enterprise risks turn increasingly greater. This paper specifies two simultaneous-equation systems to analyze the relationships between capital and risk. The first simultaneous-equation system investigates the relationships among asset risk, product risk, and capital by using two-stage least squares regression (2SLS) and two-stage quantile regression (2SQR). The second simultaneous-equation system further links operating efficiency into the relationships between capital and risk, examining risk, capital, and operating efficiency of life insurance companies. This paper uses 28 (or 27) Taiwan life insurance companies available each year during the post Risk-Based Capital (RBC) regulation period of 2004-2009. In the first model, empirical results from 2SQR indicate that the relationship between capital and product risk is positive, while the relationship between asset risk and capital shows a reverse pattern. Overall, 2SQR provides stronger evidence than 2SLS. These findings are contrary to previous evidence reported in the U.S. The second model shows more new findings, with results indicating that there is a positive relation between inefficiency and product risk, lending support to the moral hazard hypothesis whereby poor performers tend to seek more product risk over high performance. At the same time, efficient insurers are seen as taking higher asset risk than inefficient insurers. The results also show that the relation between capital and product risk is positive, while the relation between capital and asset risk is negative. Finally, this paper presents a negative relationship between inefficiency and capital level, indicating that life insurers with more capital operate more efficiently than less well-capitalized insurers.