產物保險公司之核保績效：台灣市場1999-2003之實證研究Underwriting Performance of Non-Life Insurance Companies:Empirical Stu

本文依Fairley(1979)均衡核保利潤模型，依據台灣產險公司1999至2003年之公開財務及業務資訊，檢視產險公司之經營績效。實證結果顯示台灣產險公司投資獲利與資本市場呈現顯著正相關，但核保利潤則不因資本市場產生變化。而整體台灣產險市場之實際核保效益未偏離市場均衡預期，因此均衡核保利潤與實際核保利潤差異可評估公司績效。此外，核保利潤與業外投資收益呈現顯著負相關，支持產險市場存在Fama(1978)之資產替代假說，此現象將影響產物保險公司經營策略與財務穩健。
關鍵字：核保績效、均衡核保利潤、資產替代假說
Abstract
In this study, we employ the financial pricing model (Fairley, 1979) to evaluate the underwriting performance of the non-life insurance companies in Taiwan between 1999 and 2003. The empirical results show that the investment performance is highly associated with the market risks. The difference between actual and equilibrium expected underwriting profits can be employed as a performance benchmark. Moreover, the data shows that asset substitution hypothesis (Fama, 1978) is not rejected, which means that it would influence the managerial consideration and financial stability for the non-life insurance companies.
Keywords: underwriting performance, market equilibrium, asset substitution effect