資產配置與自留危險對於產險業財務經營績效之影響：以台灣產險業為例

本研究探討2009年至2018年間14家台灣產險業公司資產配置與自留危險對於財務經營績效之影響，共有140筆樣本資料。結果顯示對經營績效有較顯著正相關的項目為銀行存款、公債及國庫券、股票及自用不動產，公債及國庫券以及股票保有流動性及變現性，兩者收益也較穩定，而自用不動產因有做為出租的使用，對於公司經營績效也是正相關。而從賀芬達指數來看，產險公司之投資策略愈集中對公司經營績效愈好，可以適度集中在公債及國庫券、股票及自用不動產等項目，以達到分散風險與增加投資收益的平衡。自留危險方面，自留綜合率不論是加入資金運用項目或賀芬達指數，對經營績效都有非常顯著的負相關，顯示產險公司在自留業務及再保險上需非常謹慎的控管及分配。產險公司在爭取市占率的同時，也要注意負債比率過高所造成公司財務上的風險，應保有公司財務的健全。

關鍵字

產險業；資產配置；賀芬達指數；自留危險；自留綜合率；財務經營績效

並列摘要

The purpose of this study is to investigate the impacts of asset allocation strategies and retention risks on the financial performance of 14 non-life insurance companies (including 140 observations) from 2009 to 2018 in Taiwan. The empirical results show that bank deposits, government bond, treasury bills, stock certificates and own use on real estate are significant positively related to financial performance. This reason is attributed to that the government bond, treasury bills and stock certificates are liquidity and stability. Furthermore, own use on real estate with lower taxes can be used for rental also enhance financial performance. From the point of view of Hirschman-Herfindahl index (HHI), the empirical results show that the non-life insurance companies with higher HHI, meaning the more concentrated on the investment strategy, have the better financial performance. Therefore, the companies should be moderately concentrated on investment categories including the government bond, treasury bills, stock certificates and own use on real estate to achieve a balance between risk diversification and increasing investment profit. From the perspective of the risk of retention, the coefficients of risk of retention always show a significantly negative impact on the financial performance even if after controlling the investment portfolios or HHI. In other words, non-life insurance companies need to take more cautious when they managed their retention business and reinsurance policies. Moreover, non-life insurance companies should be aware of financial risks caused by high debt to equity ratio and keep the financial robustness as well while striving for market share.