台灣壽險業之風險承擔與資本額關係之研究The Study of the Relationship between Risk Taking and Capital Adjustment Decision

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。
關鍵字：Panel Data門檻迴歸模型、風險、資本比率
Abstract
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.
Keywords: Panel Data Threshold Model, Risk, Capital Ratio