摘　要

論文名稱：同步分析生產法與中介法對壽險公司之經營績效-使用資料包絡法

校所別：國立台北科技大學商業自動化與管理研究所
畢業時間：九十五學年度第二學期 學位：碩士
研究生：林育德 指導教授：趙莊敏

關鍵詞：資料包絡法、壽險公司、Tobit回歸分析

本研究針對台灣27家壽險公司進行績效分析，利用中介法與生產法同時分析壽險公司之營運表現，樣本年間從88年到95年。過去傳統之資料包絡法只能單獨使用中介法或生產法，並不能完全涵蓋壽險公司之營運績效。本研究所使用之同步資料包絡法，有別於國內過去研究所使用之資料包絡法，特色在於可同時利用中介法與生產法去評估壽險公司之經營績效，以更多角度來檢測保險公司的整體營運，可以較全面性的評估公司績效表現，能夠讓保險公司不因單一面表現良好而使績效分數提高，更能提供更準確的整體營運績效分析。並利用Tobit回歸分析，解釋各家壽險公司之營運績效影響因素。結果發現，南山人壽與健康人壽為績效總排名第一，影響壽險公司績效之原因有資產規模、投資報酬率與流動性資產等有正向關係。

Title：Simultaneous Analysis Of Production And Investment Pages：52
performance of Taiwan life and health insurance companies using data envelopment analysis

School：National Taipei University of Technology
Department：Institute of Commerce Automation and Management
Time：June , 2007 Degree：Master
Researcher：Yu-De Lin Advisor：Chuang-Min Chao

Keywords：DEA, Life and Health insurance companies, Tobit regression analysis

The competitive pressures forced many insurance companies to respond with a tighter strategic focus and changing corporate strategies in order to reduce operating costs while maintaining or improving the quality of their services. The past researches usually adopted two kinds of approaches, production and investment approaches, to require the inputs and outputs. Both approaches provided different viewpoints to define the role of insurance company. Therefore, our research used a new data envelopment analysis (DEA) model (Wu et al, 2005) which can simultaneously evaluate the production and investment performance of the Taiwan Life and Health insurance industry. The organizational performance can be analyzed by two correlated viewpoints, performance and investment. Simultaneous assessment of the production and investment aspects is necessary and important since the indicators characterizing performance of these two aspects often interact with each other within the organization. Therefore, the traditional DEA analysis may not be adequate enough because each aspect needs running one DEA model independent of the other DEA running. Compared with the approach of running two traditional DEA models independently, the new DEA model considers the systematic efficiency by integrating the organizational production and investment performance, where we obtain common weights to assess the production and investment efficiency.

目錄
摘　要 ii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 5
1.3 研究架構 5
1.4 研究流程 7
第二章 保險業績效文獻 8
2.1 一般常用績效分析方法 8
2.2 壽險業績效文獻 9
2.3 DEA運用在壽險業之文獻 12
第三章 研究方法 17
3.1 DEA效率評估模式 17
3.1.1 DUM與相對效率概念 17
3.1.2 資料包絡法的基本模式 17
3.2 CCR與BCC模式 19
3.2.1 CCR模式 19
3.2.2 BCC模式 23
3.3 同步資料包絡法之介紹 25
3.4 Tobit 迴歸模型 27
3.4.1 Tobit 迴歸模型之建立 28
第四章 樣本來源與變數選取 29
4.1 樣本資料來源 29
4.2 DEA模型投入產出變數之選取 30
4.3 Tobit迴歸分析變數 35
第五章 實證結果分析 38
5.1 績效分析 39
5.2 Tobit迴歸分析 43
5.3 敏感度分析 47
第六章 研究結論與建議 50
6.1 結論 50
6.2 研究限制與建議 51
參考文獻 52
附錄 57

參考文獻
英文部分
(1)Banker, R. D , Charnes, A & Cooper, W.W.,” Some models for estimating technical and scale inefficiencies in data envelopment analysis”, Management Science, Vol. 30, 1984, pp.1078–P1092.
(2)Banker, R. D. & Morey, R.C, “The use of categorical variables in data envelopment analysis”, Management Science, Vol. 32, no. 12, 1986, pp. 1613–1627.
(3)Banker, R. D.,” Maximum likelihood, consistency and data envelopment analysis: a statistical foundation”, Management Science, Vol. 39, no. 10, 1993, pp. 1265–1273.
(4)Banker, R. D., Charnes, A. & Cooper, W.W. “Some models for estimating technical and scale inefficiencies in data envelopment analysis”. Management Science Vol. 30, 1984, pp. 078–092.
(5)Berger, A. N., Hancock, D., & Humphrey, D. B., ”Bank efficiency derived from the profit function”. Journal of Banking and Finance, Vol. 17, 1993, pp. 317–347
(6)Brockett, P. L., Cooper, W. W., Golden, L., Rousseau, J. J. & Wang, Y., “DEA Evaluations of the Efficiency of Organizational Forms and Systems in the US Property and Liability Insurance Industry” International Journal of Systems Science, Vol. 29, no. 11, 1998, 1235-1247
(7)Brockett, P. L., Cooper, W.W, Golden, L.L, Rousseau, J.J. & Wang, Y., “Financial intermediary versus production approach to efficiency of marketing distribution systems and organizational structure of insurance companies”, The Journal of Risk and Insurance, Vol. 12, No.3, 2005, pp. 393-412
(8)Charnes, A, Cooper W.W. & Rhodes E.L.,” Measuring the efficiency of decision making units” European Journal of Operational Research, Vol. 2, no. 6, 1978, pp. 429–444.
(9)Charnes, A., Clark, C.T., Cooper, W.W. & Golany, B., “A development study of data envelopment analysis in measuring the efficiency of maintenance units in the US air forces”, Annuals of Operations Research, Vol. 2, 1985, pp. 95–112.
(10)Chen, T. Y., “Determining the Comparative Efficient Units of Insurance Industries through DEA” Journal of Professional Services Marketing, Vol. 18, no. 2, 1999, pp. 105-118
(11)Cooper, W. W., Huang, Z. & S.X., Li, “Satisfying DEA models under chance constraints”, Annuals of Operations Research, Vol. 66, 1996, pp. 279–295.
(12)Cooper, W. W., Huang, Z., Lelas, V., S.X., Li & Olesen O.B., “Chance constrained programming formulations for stochastic characterizations of efficiency and dominance in DEA”, Journal of Productivity Analysis, Vol. 9, 1998, pp.53–79.
(13)Cummins, J. D. & Weiss, M. A., “Measuring Cost Efficiency in the Property-Liability Insurance Industry.” Journal of Bank and finance, Vol. 17, 1993, pp. 463-481
(14)Cummins, J.D. & Zi H., “Comparison of frontier efficiency methods: an application to the US life insurance industry”, Journal of Productivity Analysis, Vol.10, 1998, pp.131–152.
(15)Cummins, J.D., Tennyson, S. & Weiss, M.A., “Consolidation and efficiency in the US life insurance industry”, Journal of Banking and Finance, Vol.23, 1999, pp. 325–357.
(16)Cummins, J. D., Weiss, M. A. & Zi, H., ” The Coexistence of Stock and Mutual Property-Liability Insurer”, Management Science, Vol. 45, no. 9, 1999, pp. 1254-1269
(17)Cummins, J.D., Rubio-Misas M. & Zi H., “The effect of organizational structure on efficiency: Evidence from the Spanish insurance industry”, Journal of Banking & Finance, Vol. 28, 2004, pp.3113-3150
(18)Daly, M. J., Rao, P. S. & Geehan R., “Productivity, Scale Economies and Technical Progress in the Canadian Life Insurance Industry.” International Journal of Industrial Organization, Vol. 3, 1985, pp. 345-361
(19)Donni, O. & Fecher, F., “Efficiency and Productivity of the Insurance Industry in the OECD Countries” The Geneva Papers on Risk and Insurance, Vol. 22, no. 84, 1997, pp. 523-535
(20)Färe, R., Grosskopf, S., Lindgren, B. & Roos, P., “Productivity Changes in Swedish Pharamaies and Uses” Journal of Productivity Analysis, Vol. 3, 1992, pp. 85-101
(21)Fecher, F., Perelman, S. & Pestieau, P., “Scale Economies and Performance in the French Insurers Industry” The Geneva Papers on Risk and Insurance, Vol. 60, no. 16, 1991, pp. 315-326
(22)Fecher, F., Kessler, D., Perelman, S. & Pestieau, P., “Productive performance of the French insurance industry”, Journal of Productivity Analysis, Vol. 4, 1993, pp. 77–93.
(23)Fukuyama, H., “Investigating productive efficiency and productivity changes of Japanese life insurance companies”, Pacific-Basin Finance Journal, vol. 5, 1997, pp. 481–509.
(24)Gardner, L.A. & Grace M.F., “X-efficiency in the US life insurance industry”, Journal of Banking and Finance, Vol. 17, 1993, pp. 497–510
(25)Geehan, R., “Returns to Scale in the Life Insurance Industry.” The Bell Journal of Economies, Vol. 8, 1977, pp. 497-514
(26)Gong, L. & Sun B., “Efficiency measurement of production operations under uncertainty”, International Journal of Production Economics, Vol. 39, 1995, pp. 55–66.
(27)Goran, S., “Returns of Scale in the Swedish Property-Liability Insurance Industry”, Journal of Risk and Insurance, Vol.49, 1982, pp. 221-228
(28)Grace, M. F. & Timme, S. G., “An Examination of Cost Economies in the United States Life Insurance Industry” Journal of Risk and Insurance, Vol. 59, 1992, pp. 72-103
(29)Hardwick, P., “Measuring Cost Inefficiency in the UK Life Insurance Industry” Applied Financial Economics, Vol. 7, 1997, no. 37-44
(30)Hao, J. C. J. & Chou, Lin-Yhi, “The estimation of efficiency for life insurance industry: The case in Taiwan”, Journal of Asian Economics, Vol. 16, 2005, pp. 847-860
(31)Houston, D. B. & Simon, R. M., “Economies of Scale in Financial Institutions: A Study in Life Insurance.” Econometrica, Vol. 38, no. 6, 1970, pp. 856-864
(32)Pritchett, S. T. & Myers, P. S., “Chang in Life Insurer Operating Expenses During Inflation.” Journal of Risk and Insurance, Vol. 47, 1980, pp. 346-357
(33)Praetz, P., “Returns to Scale in the U.S. Life Insurance Industry.” Journal of Risk and Insurance, Vol. 47, 1980, pp. 525-533
(34)Sengupta, J.K., “Efficiency measurement in stochastic input–output systems”, International Journal of Systems Science, Vol. 13, 1982, pp. 273–287
(35)Weiss, M. A., “Analysis of Productivity at the Firm Level: An Application to Life Insurers” Journal of Risk and Insurance, Vol. 53, 1986, pp. 49-84
(36)Weiss, M. A., “Efficiency in the Property-Liability Insurance Industry.” Journal of Risk and Insurance, Vol. 58, 1991, pp. 452-47
(37)Wu, D., Y., Z., Sandra, Vela & Liang L.,“ Simultaneous analysis of production and investment approach of Canadian life and health insurance companies using data envelopment analysis”, Computer& Operations Research, vol. 34, 2005, pp. 180-198
(38)Yuengert, A.M., “The measurement of efficiency in life insurance: estimates of a mixed normal-gamma error model”, Journal of Banking and Finance, Vol. 17, 1993, pp. 483–496
(39)Yang, Z., “A two-stage model to evaluate the overall performance of Canadian life and health insurance companies”, Mathematical and Computer Modeling, Vol. 43, 2006, pp. 910-919

中文部份
(1)黃旭男與吳國華，「台灣地區壽險業經營績效之衡量」，管理與系統期刊，第八卷第四期 401-420頁，2001
(2)李君屏，壽險公司經營效率之衡量— 資料包絡分析之應用，碩士論文，私立甲大學保險學研究所，1994。
(3)鄒錫麟，檢定台灣壽險業之經營績效－資料包絡分析法及Malmquist生產力指數之應用，碩士論文，銘傳大學風險管理與保險學系，2004
(4)鄭識成，中國產物保險公司經營績效之研究－資料包絡法之應用，碩士論文，東吳大學經濟學系，2003
(5)王雍淳，台灣壽險業之經營效率分析－以資料包絡分析法，碩士論文，國立高雄第一科技大學金融營運所，2003
(6)王川威，台灣地區保險業營運績效評估之研究，碩士論文，真理大學管理科學研究所，2004
(7)王毓維，台灣人壽保險產業成本效率分析，碩士論文，朝陽科技大學財務金融系，2002
(8)劉純之、李君屏，「經濟規模與壽險公司經營效率－兼論資料包絡分析法」，1995，壽險季刊，第95 期：19-28
(9)葉彩蓮、陳澤義，「壽險業資源使用效率之衡量」，台灣銀行季刊，第51 卷第1 期，2000，322-34
(10)游麗真，運用兩階段DEA評估台灣地區壽險公司之經營效率，碩士論文，私立淡江大學保險學系碩士班，2004
(11)高棟樑，台灣地區產險業經營之衡量：二階段資料包絡分析法之應用，博士論文，私立銘傳大學管理研究所，2005
(12)鄭聿舒，風險基礎資本額制度下壽險公司之最適投資決策，碩士論文，國立臺灣大學臺灣大學，2004
(13)楊慧琦，應用資料包絡法在台灣壽險產業經營效率分析之研究，碩士論文，朝陽科技大學財務金融系，2003
(14)張嘉玲，金融控股公司法實施後臺灣壽險業競爭程度及效率之改變-從承保面與投資面分開探討，碩士論文，國立高雄第一科技大學風險管理與保險所，2004
(15)陳禹廷，我國產險經營效率之研究—資料包絡分析法之應用，碩士論文，朝陽科技大學財務金融系，2003
(16)羅傑，保險業合併績效研究-資料包絡法實證，碩士論文，國立交通大學工業工程與管理系所，2003
(17)羅敏瑞，我國人壽保險公司經營效率之探討，碩士論文，國立政治大學行政管理碩士學程，2005
(18)鍾丹丹，台灣壽險業實施RBC制前後資產配置之比較與探討，碩士論文，國立臺灣大學會計與管理決策組，2004
(19)陳政良，台灣地區壽險公司之效率分析─Malmquist生產力指數之應用，碩士論文，私立逢甲大學保險學系，2001