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研究生:林彥輝
研究生(外文):Yan-hui Lin
論文名稱:台灣產物保險業保險商品組合收益性之研究
論文名稱(外文):The Study for the Product-Mix Profitability of Property and Casualty Insurance Industry in Taiwan
指導教授:洪介偉洪介偉引用關係
指導教授(外文):Chieh-wei Hung
學位類別:碩士
校院名稱:逢甲大學
系所名稱:保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:54
中文關鍵詞:夏普指數崔納指數核保利潤商品組合索提諾比率
外文關鍵詞:Treynor’s indexSharpe’s indexproduct-mixUnderwriting profitSortino ratio.
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核保利潤是檢視產物保險公司本業經營結果最直接的指標,並且主管機關也積極倡導核保利潤的重要性。整體的核保利潤是來自於公司旗下販售的保險商品經營結果,本研究針對樣本公司進行比較,發現產險業的核保利潤逐步上升,但公司間的核保利潤差異頗大,因此要了解這種差異性,就要調查公司間的商品組合收益性。本研究以1994年至2005年產物保險公開資料,利用調整後風險績效指標,包括夏普指數、崔納指數和索提諾比率,找出各公司收益性較佳的險種,歸納結果如下:
1.以夏普指標來看,責任保險、火災保險與其他財產保險的表現最好。
2.以崔納指標來看,火災保險、工程保險與一般汽車保險的表現最好。
3.以索提諾比率來看,火災保險、貨物運輸保險與其他財產保險的表現最好。
4.以公司獲利來源做排序,在三種績效指標衡量下,最佳的險依然是火災保險、貨物運輸保險、責任保險與其他財產保險。
Underwriting profit is an important indicator by which one may examine property and casualty insurance companies’ performance; insurance regulators advocate this indicator actively. The whole underwriting profit of any company is the result of those lines which the company can sell. By comparing sixteen sample companies, this study discovers the underwriting profits are increasing for the property and casualty industry, but there is a large difference between the profits of different companies. In order to understand the differences among companies, this study examines the profitability of product-mix in many companies. This study analyzes the public information of Taiwan’s non-life insurance market from 1994 to 2005, and uses risk-adjusted ratios as performance indicators, including Sharpe’s index, Treynor’s index and the Sortino ratio to finds the higher-profit lines. The results are as follows:
1. According to Sharpe’s index, liability insurance,fire
insurance and other property insurance are better than
other lines.
2. According to Treynor’s index,fire
insurance,engineering insurance and voluntanry
automobile insurance are better than other lines.
3. According to the Sortino ratio, fire insurance, marine cargo insurance and other property insurance are better than other lines.
4. In three performance indicators, the most profitable lines are fire insurance,marine cargo
insurance,liability insurance,and other property insurance.
第一章 緒論........................ 1
第一節 研究背景.................... 1
第二節 研究動機.................... 5
第三節 研究目的.................... 6
第四節 研究限制.................... 6
第二章 文獻回顧.................... 7
第一節 核保風險.................... 7
第二節 保險資產定價模型............ 9
第三節 組合理論.................... 11
第三章 研究資料選取及變數說明...... 13
第一節 研究資料來源................ 13
第二節 研究方法.................... 13
第三節 變數選取與變數定義.......... 18
第四章 實證分析結果................ 20
第一節 產業面...................... 20
第二節 產品面...................... 26
第三節 核保獲利分析................ 32
第五章 結論與建議.................. 45
第一節 結論........................ 45
第二節 建議........................ 46
參考文獻............................ 48
一、中文部分
(一)書籍
1.產物保險統計要覽 (1994-2005),台北,財團法人保險事業發中
心。
2.凌氤寶、陳森松著 (2003),產物保險經營,初版、台北:華泰,
頁341-397
(二)期刊
1.周國端 (1998),從保險資產定價模型談保險公司合理承保利
潤,《保險專刊》,第52輯,頁86-96
2.賴丞坡、林文昌 (2006),台灣產險業核保風險之檢驗-以汽車保
險為例,《風險管理學報》,第8卷,第3期, 頁205-231
(三)研討會
1.張士傑、黃雅文、詹淑卿、林伯勳 (2006),核保績效、聯合行
為與競爭:台灣產物保險公司實證分析,2006年海峽兩岸保險高
級論壇國際學術研討會
二、英文部分
1. Biger, N. and Y. Kahane (1978), Risk consideration in
insurance ratemaking, Journal of risk and insurance,
45, 121-132
2. Cummins, J.D., and S.E. Harrington (1985), Property-
liability insurance rate regulation: estimation of
underwriting betas using quarterly profit data,
Journal of risk and insurance, 52, 17-43
3. Cox, L.A., and G.L. Griepentrog (1988), Systematic
Risk, Unsystematic Risk, and Property-Liability Rate
Regulation, Journal of risk and insurance, 55, 606-627
4. Cummins, J.D. and S. E. Harrington (1988), The
Relationship Between Risk and Return: Evidence for
Property-Liability Insurance Stocks, Journal of risk
and insurance, 55, 15-31
5. Cox, L.A., and E.A. Rudd (1991), Book versus market
underwriting betas, Journal of risk and insurance, 58,
312-321
6. Doherty, N.A. (1980), A portfolio theory of insurance
capacity, Journal of risk and insurance, 47, 405-42
7. Fairley, W.B.(1979), Investment income and profit
margins in property-liability insurance : theory and
empirical results, The bell journal of economics, 10,
192-210
8. Hill, R.D.,(1979), Profit regulation in property-
liability insurance, The bell journal of economics, 10,
172-191
9. Hoyt, R.E. and J.S. Trieschmann (1991), Risk/ return
relationships for life-health, property-liability, and
diversified insurers, Journal of risk and insurance,
85, 322-330
10. Javier, E. (2006), Downside risk in practice, Journal
of Applied Corporate Finance, 18, 117-125
11. Kahane ,Y., and D. Nye (1975), A portfolio approach to
the property-liability insurance industry, Journal of
risk and insurance, 42, 579-598
12. Li, S.X., and Z. Huang (1996), Determination of the
portfolio selection for a property-liability insurance
company, European journal of operational research, 88,
257-268
13. Michel, A., and J. Norris (1982), On the determination
of appropriate profit margins in insurance industry
regulation, Journal of risk and insurance, 49, 628-633
14. Moridaira S., J.L. Urrutia, and R.C. Witt (1992), The
equilibrium insurance price and underwriting return in
a capital market setting, Journal of risk and
insurance, 59, 291-300
15. Outreville, J.F., and C. Helie (1986), More evidence
on the systematic underwriting risk in automobile
insurance, Journal of risk and insurance, 4,755-766
16. Quirin, 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, 19,425-442
17. Sharpe W.F. (1966), Mutual fund performance, The
journal of business, 39, 119-139
18. Treynor, J.L., W.W. Priest, and L. Fisher, and C.A.
Higgins (1968), Using portfolio composition to
estimate risk, Financial analysts journal, 24, 93-100
19. Witt R.C., and H. Miller (1981), Price competition
regulation and systematic underwriting risk in auto
insurance markets, CPCU Journal, 34, 202-220
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