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| Title: | 防疫險事件對台灣產物保險市場資本效益之實證研究
An Empirical Study on Capital Efficiency Effect in Taiwan Non-life Insurance Market by COVID-19 Insurance |
| Authors: | 翁梓鴻
Hong, Eng Zhi |
| Contributors: | 張士傑
曾毓英
Chang, Shih-Chieh
Tzeng, Yu-Ying
翁梓鴻
Eng Zhi Hong |
| Keywords: | 產險公司
費率自由化
新冠疫情
防疫險
資本成本
完備資訊方法
CAPM模型
FF3F模型
non-life insurance
premium deregulation
COVID-19 pandemic
COVID-19 Insurance
cost of equity capital
FIB method
CAPM model
FF3F model |
| Date: | 2024 |
| Issue Date: | 2024-08-05 14:04:02 (UTC+8) |
| Abstract: | 台灣的保險滲透度在全世界的排行中居高臨下，不論產壽險，對台灣的經濟市場影響都非常大。保險公司係屬金融特許事業，涉及當地監理機關的規範與高度監管，在經濟市場中亦扮演風險轉移的角色，其公司的經營效率及管理決策就更為重要。保險公司重視營運風險、核保風險和商品定價風險，但在保費定價上保險公司卻為追求利益而忽略了資本成本的考量。因此，本研究目的欲針對台灣本土11家產險公司及其所經營之各險種的資本成本進行分析。研究期間為2002年至2022年，分別由資本資產定價模型 (Capital Asset Pricing Model，CAPM) 和Fama-French三因子模型 (Fama-French Three-Factor Model，FF3F) 求得公司的資本成本，再透過完備資訊方法 (The Full-Information Industry Beta Method，FIB) 分解不同險種之資本成本。
研究結果發現，透過 CAPM 模型所估計出之資本成本相較 FF3F 模型，因缺少了公司規模和淨值市價比兩者的因子而導致資本成本的低估。本研究也發現除火災保險外之其他險種的資本成本於費率自由化政策實施後有明顯的下降，說明了產險業市場中競爭非常激烈，各公司間為透過降低保費的方式以吸引保戶，此舉不僅降低公司盈餘，甚至可能導致最後資本不足而失去清償能力。最後，本研究發現台灣產險業之資本成本受於疫情時期大幅下降，健康與傷害保險的資本成本也呈現相同的情況。據現實層面考量，健康與傷害險因低保費高保額而應能為保險公司帶來高額報酬，結果卻是導致產險公司於該期間虧損的罪魁禍首，這反映出保險公司在保費定價政策上除資本成本外，亦有其他面向之因子值得去考量。
Taiwan’s insurance penetration ranks high globally, is has a significant impact on economic market no matter in life insurance or non-life insurance industry. Insurance companies are financial enterprises operating under special licenses, involving local regulatory authorities' norms and strict supervision. They also play as a role of risk transferring within the market, making their operational efficiency and management decisions even more crucial. Insurance companies emphasize operational risk, underwriting risk and pricing risk. However, insurance companies often pursue profits while neglecting the substantial presence of equity-capital costs in premium pricing. Therefore, the purpose of this study is to investigate the costs of equity capital of 11 local non-life insurance companies in Taiwan and their various lines of business. The study period is from 2002 to 2022. The equity-capital costs of the companies are estimated using the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model (FF3F) whereas different lines of business are decomposed by the Full-Information Industry Beta Method (FIB).
The result shows that the costs of equity capital estimated in the CAPM model is underestimated compared to the FF3F model, due to the neglect of the factors: company size and book-to-market ratio. We also found that the significantly decrease in the cost of equity capital of all lines excluding fire insurance after the premium deregulation. This indicates the highly competition in the non-life insurance industry, where companies have reduced premiums to attract policyholders, may lower the earnings which accompanied by insufficient capital and solvency problem. In addition, we find that a decline of equity-capital costs in the industry during the pandemic period, so do health and accident insurance. Although health and accident insurance theoretically should bring high returns due to its lower premium, it caused a serious loss for non-life insurance companies during the pandemic. This reflects that other factor may be considered in premium pricing policies besides cost of equity-capital. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
111358035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358035 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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