本研究的目的在於探討核保利潤的決定因素、長期均衡關係與動態調整過 程。由於核保利潤、綜合率以及承保能量代理變數具有單根於否的疑問在以往文 獻及研究中無法獲得澄清，此一時間數列的受限性質導致有關長期效果的假說一 直無法受到證實，本文應用單變數以及縱橫資料分析的自我相關分配延遲模型以 及條件誤差修正模型，克服了變數間同時存在I(0)及I(1)整合齊次不一致的問 題，並且給出了單一方向性核保利潤與相關變數間的均衡關係，更加明確的探討 了攸關核保利潤的相關假說，此一計量方法可以進一步的釐清核保利潤與相關變 數之間的因果關係，並且更加了解保險市場的結構及運行機制。本文採取半世紀 以來美國保險市場的經營狀況，同時以整體產業及個別險種分別進行探討，實證 結果明確顯示出經濟定價假說的成立，而清楚的排除了過去研究中所提及的理性 預期假說及承保能量受限假說，而核保利潤之動態行為、實務上所稱之核保循環 可以條件誤差修正行為解釋而不須以過去研究中常用之二階自我相關過程建 模，增進了統計估計的效率性，個別險種的長尾特徵與監理措施可以調整速度的 快慢於否清晰詮釋，保險公司風險規避的性質亦獲得證實，在縱橫資料分析中本 文亦給出了有關盈餘配置不必要性假說的實證結果，而在投資行為與承保行為的 自我相關分配延遲模型分析中，除了火災、車體碰撞損失以及內陸航運險種外， 投資行為與承保行為的替換效果是明顯的，特別是長尾商業責任險種，此一實證 結果提供了現金流量核保存在的有利證據。 This study investigates the U.S. insurance market, both in industry level and individual lines, from year 1950 to 2004 and provides a series of solid evidences, supporting the economic pricing hypothesis sustained. The long run cointegration relationships relevant to underwriting profits which are previously prohibited to illustrate due to its stationary characteristic has been validated. Rather than structured by predetermined second-order process, the visible cyclical pattern of underwriting profits could be explained reasonably by the tendency back to the long run equilibrium. Under both individual and panel versions of ARDL modeling, we also find that the speeds back to the long run equilibrium are correspondent with the tails or regulative characteristics of various insurance lines, which provide more supportive evidences than Haley’s (1995). Furthermore, the results of panel ARDL analysis also demonstrate grounds to support the implications of Philips et al. (1998), which advocate that the actuarial routine of surplus allocation is not necessary. The statutorily mandated forces and regulations keep the insurance rates lower and more stable, making the economic pricing hypothesis to be no longer valid for some stringently regulated long-tails lines such as Privative Passengers auto liability insurance. Besides, a tendency towards tradeoff between investment and underwriting activities has also been ascertained. Such relationship exists in whole industry level (all lines combined) and most individual lines apart from the lines of fire, auto physical damage and inland marine. For the lines with long tails, such tradeoff effect has been magnified due to more time lags between premiums receiving and the claims payment paying. Overall empirical evidences substantially suggest that the supply effect, which could be reflected by the pricing strategies of risk-averse insurance companies, tends to dominate U.S. insurance markets for the last half century.
