寿险业资产与保险配置对资产报酬率与损失率之纵横面资料分析

Abstract

本文利用纵横面数据(Panel Data)欲探讨资产配置与保险配置对于资产报酬率及损失率之回归分析。首先，本文以各观察值之资产报酬率及损失率为分群变量，利用集群分析将研究样本区分为两集群的观察值，并对两集群的观察值进行主成分分析建立其资产配置与保险配置之模型，最后藉由纵横面数据分析较适当之回归模型，观察资产与保险配置对资产报酬率及损失率之影响因素。研究结果发现资产报酬率较适用随机效果模型，损失率较适用固定效果模型。再者，资产配置与保险配置间存有交互影响，而不同集群的观察值与资产配置及保险配置也存有交互影响，且影响资产报酬率及损失率之变项也有差异。 By collecting Panel Data, this study investigates how life insurance company’s asset and insurance allocations affect asset returns and loss ratio. First, the asset returns and loss ratio of each life insurance company each year are treated as response variables and cluster analysis is used to grouping the companies into observations of two groups. Then principle component analysis is applied to construct the model of asset and insurance allocations of observations of two groups. Finally, find the effects of asset and insurance allocations on asset of returns and loss ratio by regression model for panel data. The findings show that ROA is applicable to the random model and the loss ratio is applicable to the fixed effect model. Furthermore, there exist the interaction effects between asset allocation and insurance allocation. The two groups of companies also exist interaction effects on asset and insurance allocation. Finally, there exist different asset and insurance allocation effect on asset returns and loss ratio.