台灣地區產險業再保險效率之研究－運用三階段資料包絡分析法

A study on the Reinsurance Efficiency of Non-Life Insurance Industry in Taiwan-Using Three-Stage DEA Approach

王世慧(Shih-Huei Wang)

指導教授 ： 王財驛

國立臺中科技大學/商學院/保險金融管理系/碩士(2020年)

摘要

長期以來，我國產險公司的經營高度依賴再保險，產險公司承保的保險標的發生的損失幅度與損失頻率越來越難控制，如何有效運用再保險，讓保險公司在經營上具有相對效率，是產險公司的重要課題。本研究以2006年至2018年度之台灣產險業及案例公司( T保險公司)為樣本，運用三階段資料包絡法，探討產險業再保險之經營效率。第一階段以原始投入及產出變數進行資料包絡分析法(DEA)，估算出各項效率值。第二階段利用隨機邊界法(SFA)分析環境變數對投入差額之影響並調整原始投入變數。第三階段則使用調整後的投入變數及原始產出變數，重新運用DEA分析產險公司之再保險效率。研究結果顯示：台灣地區產險業第三階段資料包絡分析法估算出之平均效率值為0.8008，其無效率由純技術無效率0.1417及規模無效率0.0705所組成。第一階段所估算出之平均生產無效率值為0.2002；第三階段所估算出之生產無效率值為0.1992，因此，可以算出真正管理無效率為0.001。透過比較第一階段和第三階段的結果，發現環境變數及隨機干擾因素會使整個產險業的效率值被低估，在T公司則會高估責任保險和其他財產保險的經營效率。在考慮環境變數與隨機干擾因素後，能真正反映每個產險公司的經營效率，可供產險公司未來經營策略之參考。

關鍵字

資料包絡分析法 ； 三階段資料包絡分析法 ； 隨機邊界法 ； 麥氏生產力指數 ； 產險業 ； 再保險

並列摘要

For a long time, property and casualty insurance companies in Taiwan have relied on reinsurance to support their operation since the loss severity and loss frequency is difficult to control. Therefore, how to effectively use reinsurance to make insurance companies have relative efficiency in operations is an important issue for non-life insurance companies. This study uses the Taiwan non-life insurance industry and the T insurance company financial data from 2006 to 2018 as samples, and uses a three-stage data envelopment method to explore the reinsurance efficiency of the non-life insurance companies. In the first stage, data envelopment analysis (DEA) is performed on the original input variables and original output variables to estimate the efficiency values. In the second stage, the stochastic frontier analysis (SFA) regression model is used to analyze the influence of environmental variables on the input slacks and adjust the input variables. In the third stage, use DEA approach again to analyze the reinsurance efficiency of the non-life insurance companies by using the adjusted input variables and original output variables.
The research results show that the average technical efficiency (TE) estimated by the non-life insurance industry in the third stage is 0.8008, and its inefficiency comes from the pure technical inefficiency which is 0.1417, and the scale inefficiency is 0.0705. The average inefficiency value estimated in the first stage is 0.2002; the inefficiency value estimated in the third stage is 0.1992, therefore, the true management ineffectiveness rate can be calculated 0.001. By comparing the results of the first and third stages, we can find that environmental variables and random interference factors will underestimate the efficiency value of the entire non-life insurance industry, and will overestimate the operating efficiency of Liability Insurance and Other Non-Life Insurance in the T insurance company. After considering environmental variables and random interference factors, it can truly reflect the operating efficiency of each non-life insurance company and can be used as a reference for the non-life insurance company.

並列關鍵字

Data Envelopment Analysis (DEA) ； Three-Stage Data Envelopment Analysis ； Stochastic Frontier Analysis(SFA) ； Malmquist Productivity Index (MPI) ； Non-Life Insurance ； Reinsurance

參考文獻

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