台灣商業個人健康保險之核保循環：二階自我迴歸與馬可夫轉換模型

本文主要目的在於探討台灣商業個人健康保險是否存在核保循環及其影響因素，並分析馬可夫轉換模型的損失率兩狀態，是否足以代表核保循環的軟硬市場變化。根據本文實證結果：整體資料期間顯示台灣商業個人健康保險不具二階自我迴歸（Second-order Autoregressive；AR（2））循環。但透過二階自我迴歸馬可夫轉換（Second-Order Autoregressive Markov Switching；MS-AR（2））模型發現台灣商業個人健康保險具備狀態循環。其次，比較線性迴歸與馬可夫轉換迴歸的實證結果發現，加入隱藏的狀態變數時，影響軟／硬市場損失率的變數並不相同，顯示在核保循環的不同階段（狀態）下，影響損失率的變數具時變性，且各項核保循環假說的驗證亦隨之產生差異。

關鍵字

商業個人健康保險；核保循環；馬可夫轉換模型

並列摘要

The main purpose of this paper was to validate the underwriting cycle in Taiwan's private health insurance, and to discuss the variables that influence it. The results of the AR(2) model and the Markov switching model are compared to determine the cyclical pattern and to verify if the characteristics of the underwriting cycle remain the same before/after the structure changes and under different regimes. The empirical results show that there is no AR(2) cycle. However, they also show that the cyclical behaviour can be captured by the Markov switching model with the two regimes representing the soft and hard markets of Taiwan's private health insurance market. In addition, we confirmed our hypothesis that the variables affecting the underwriting profit margin differ substantially across the regime switch. The hypotheses regarding the underwriting cycle in the literature cannot be fully explained by the linear model because the latent variable of state is omitted in regression. We demonstrated that the Markov switching regression model is well suited to capture the distinct characteristics of the loss ratio under different cycle stage with estimated time varying parameters.