以門檻迴歸分析壽險業之風險與資本

Abstract

本文主要探討1993年至2002年台灣壽險公司之風險承擔與資本比率之間的關係。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數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。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。

This study investigates the relationship between life insurance company's capital ratio and risk for 1993 to 2002. The used methodology is panel data threshold regression. We used「life insurance and annuity insurance premiums to total premiums ratio」to divide into two regimes. One is life insurance company of indemnification, the other is life insurance company of savings. 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.