美國產險公司賠款準備金操弄動機之研究

Loss Reserve Manipulation in the P/L Insurance Industry

林佩欣(Pei Shin Lin)

指導教授 ： 賴怡洵

國立暨南國際大學/管理學院/財務金融學系/碩士(2007年)

https://doi.org/10.6837/NCNU.2007.00138

摘要

過去相關研究主要探討盈餘平滑、稅負極小化、保險費率管制對產險公司操弄賠款準備金的影響，然而在1993年後產險業面臨了存活法令規定的轉變以及實施風險性基礎資本的要求，使得產險公司可能會透過修正賠款準備金以達到監理單位對資本生存之規定，因此本研究使用風險性基礎資本要求取代IRIS財務比例管理前後差異個數來探討1994年後，產險公司是否會因資本生存的要求而操弄賠款準備金。在研究方法方面，文獻中多以傳統迴歸分析來探討產險公司操弄賠款準備金之動機，然而此法對於偏離常態與非對稱之分配會有迴歸參數估計偏誤及無效率的問題，且因為線性迴歸分析的平均特性而將無法觀察到分配兩端的行為特質，尤其這種差異在條件分配具有異質性或長尾特性時更為顯著。因此本文使用分量迴歸分析法，不但可解決上述估計問題，亦可求出依變數與解釋變數不同分量下之相對強弱，故相較文獻所使用的均數迴歸法，本研究更能完整分析產險公司賠款準備金操弄因素與賠款準備金高低估比率在不同分量下之行為差異。本文主要實證結果如下：（1）以最小平方法探討產險公司賠款準備金高低估之動機的結果僅支持稅盾利益假說。（2）就賠款準備金高估比例較大（分量大於75％）的保險公司而言，支持盈餘平滑、稅盾利益假說。（3）整個賠款準備金高低估比例分配（所有分量）皆不支持保費率價格管制假說。（4）就賠款準備金低估比例較大（分量小於25％）的保險公司而言，為了達到資本生存要求而低估賠款準備金，以促使其資本上升，避免碰觸到法令監理的門檻（風險性基礎資本比例200％）。由上述可知保險公司高估或低估賠款準備金的動機不同。此外，本文亦發現（5）保險公司賠款準備金的操弄來源除了未報未決賠款準備金外，還有已報未決賠款準備金。

關鍵字

產險業 ； 賠款準備金 ； 盈餘平滑假說 ； 稅負極小化假說 ； 保險費率調整假說 ； 資本存活法令假說 ； 分量迴歸

並列摘要

Previous researches have shown that P/L insurers may manipulate their loss reserves for various purposes, including income smoothing, taxes minimization, as well as rates regulation. However, some major legal amendments of solvency regulation and the enactment of risk based capital requirement in 1994 have driven the P/L insurance industry to takes some actions in response. One of the typical examples is that insurers often amend their loss reserves in order to meet regulatory requirement which is never considered by previous studies. In this study, we investigate how risk-based capital requirement may affect the loss reserves manipulation by P/L insurers. Besides, we also examine whether IBNR reserves are the sources of claim manipulation. Instead of traditional method of conditional mean model, we employ conditional quantile regression in this study because it is a more robust method when the distribution of loss reserving error is found to be highly skewed. Our evidence find the main manipulate motivation of loss reserving error is relate to tax minimization under traditional mean model. However, we discover that the principal motives of loss reserving error for upper quantiles are earning smooth and tax minimization, and for lower quantiles is related to solvency regulation by using quantile regression method. Finally, our evidence shows that both IBNR and case reserves are the sources of claim manipulation whether we utilize ordinary least square or quantile regression method.

並列關鍵字

Property-Liability insurance ； Loss Reserves ； Income smoothing hypothesis ； Taxes minimization hypothesis ； Solvency regulation of capital hypothesis ； Premium adjustment hypothesis ； Quantile regression

參考文獻

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