The first part of the dissertation investigates cost experience in the US life and health insurance industry over the period 1998-2012. We generally test the difference in expenses among different distribution systems, which mainly consists of independent agency, broker, career agency, exclusive agency, and direct writing. We check to see if cost, revenue and profit efficiency differences are associated with different distribution methods. Cost, revenue, and profit efficiencies are estimated by Data Envelopment Analysis. Unlike the results in the property and liability insurance industry, the cost difference is insignificant among distribution systems. Results on cost efficiency and revenue efficiency support the market imperfection hypothesis, which says that the market imperfections such as entry barriers, price regulation, or search costs cause the coexistence of different distribution systems. The second part of the dissertation examines the relationship between mergers and acquisitions (M&As), and underwriting cycles in the P-L insurance industry. In a soft market, capital is relatively high. This leads to an increase in the number of M&A transactions and the probability that managers conduct non-value-increasing M&As. We test this proposition by analyzing the associations between volumes of M&A deals, and returns associated with M&As and underwriting cycle. The results show that the numbers of M&As are negatively related with the premium rate changes and positively related with changes in the combined ratio. We also find that the cumulative abnormal returns around the announcement date of M&As are smaller for the shareholders of insurer acquirers in a soft market. Even more, we find that the market reaction of M&As is less sensitive to agency problems in a hard market than in a soft market. / Business Administration/Risk Management and Insurance

To date there is little evidence on the relationship between property-liability (P/L) insurer’s frontier efficiency measures and the market. The establishment of a connection is important since there are a number of difficulties associated with measuring P/L insurer efficiency—there is uncertainty regarding the firm’s primary objective, the main services produced, and the measurement of these services. The main goal of the dissertation is to assess the robustness of two approaches to measuring P/L insurer efficiency —the production approach (Cummins and Weiss, 2001) and the flow approach (Brockett, et al, 2004). A secondary objective is to evaluate the performance of two proxies for the production approach’s risk-bearing and “real” loss-services output to observe whether unexpected losses leads to a distortion of efficiency. A third purpose is to determine the sensitivity of the use of the policyholder supplied debt capital input in the production approach. A fourth aim is to evaluate the performance of the range adjusted measure (RAM) of efficiency compared to the traditional data envelopment analysis (DEA) method. A final objective is to assess the connection of accounting-based efficiency to market performance measures. The empirical evidence suggests that unexpected losses do not appear to overly distort the efficiency analysis. The production approach is not extraordinarily sensitive to the inclusion (or exclusion) of the policyholder supplied debt capital input. Traditional DEA measures of efficiency, in comparison to RAM, are more accurate predictors of insolvency and are more highly related to traditional measures of firm performance. Overall, the flow approach is not consistent with the production approach. Firms identified as highly efficient by the production approach are found to be significantly less likely to fail, indicating that the production approach is consistent with the economic reality of P/L insurance market. In contrast, high flow efficient firms are often found to have a higher proclivity to fail. Production approach efficiency is also more highly correlated to traditional measures of firm performance than flow measures of efficiency. The accounting-based production approach is directly related to market measures of firm performance, while flow efficiency is inversely related or unrelated to these measures.

Although the economic motivation and efficiency effects of mergers and acquisitions (M & As) in the insurance industry have been discussed, none of the prior studies have addressed the relationship between M & A activity and insurance price change. In addition, little is known about the effect of diversification on the differences in insurance price across lines. The main objective of the dissertation is to provide evidence on these issues. A secondary objective is to investigate the relationship between M & A activity and insurer’s efficiency and financial performance. We also examine various firm characteristics that affect insurance price differences across lines and that influence insurer’s efficiency and performance. We conduct fixed effects model regressions to test our hypotheses using unbalanced panel data over the sample period 1989-2004. The empirical tests indicate that the price of insurance for newly formed insurers decreases following the M & As and diversified insurers charge lower prices than less diversified firms. Our result is consistent with one possible explanation that acquiring insurers reduce overall underwriting risks and more efficiently manage the frictional costs of capital through geographic and/or product line diversification by engaging in the M & As and therefore gain a competitive advantage in pricing. Our analysis also reveals a number of other interesting results. We find that insurance price is positively related to marginal capital allocation and inversely related to firm insolvency put value, suggesting the importance of incorporating insolvency risk and marginal capital costs in pricing lines of insurance business. We also find that the price of insurance is inversely related to cost efficiency, consistent with the efficiency structure hypothesis. However, the market share variable is not significant, implying that market power that can arise from M & A activity may not be a big concern for insurance regulators. In the analysis of efficiency and financial performance, we provide evidence that acquirers’ overall cost and revenue efficiency and financial performances decrease following M & As. We also find that more focused insurers outperform the diversified insurers.

一、研究目的：本論文研究動機在探討現有釐定產物保險之保險費架構下 ，加入市場報酬率與風險來獲得產物保險保險費新的評價模型（pric- ing model）。並證明產物保險採取此種保險費評價模型之可行性。二、 研究方法：本論文係以產物保險公司承保面所生之收入與成本之外加入資 金運用面，作為其保險費評價模型之建立，並佐以假設的資料來分析。三 、研究結果：以購買產物保險消費者而言，雖保險公司顯少變動費率，但 在資本市場報酬率高時，消費者常認為保險公司利用了這些資金所得之利 潤並無回饋保戶，如降低保費，而認為所收保險費過高，甚至可能導致降 低投保意願。若產物保險公司依本篇論文”產物保險之評價模型”以公開 之資訊，如市場報酬率與風險來釐訂保險費，將可減少大眾對保險費過高 或過低之疑慮。

The first part of the dissertation examines whether M&As are related to internal capital markets by analyzing the changes in internal capital market utilization following M&As in the U.S. property-liability insurance industry during the period 2000-2015. The results suggest that both acquiring insurers and targets increase internal reinsurance and undergo more intragroup capital transactions after the M&A. The probit analysis provides evidence that insurers with low internal capital market utilization via reinsurance are more likely to engage in M&As as an acquirer or a target. This indicates that acquiring insurers with small internal capital markets have an incentive in making acquisitions to expand their internal capital markets. This study finds empirical evidence that internal capital market use is one of the determinants of M&As by utilizing internal transaction data of U.S. property-liability insurers. The second part of the dissertation investigates the relationship between executive compensation and internal capital market efficiency in the U.S. property-liability insurance industry for the period 2000-2015. The results indicate that executive compensation has a significant and positive influence on the efficiency of internal capital allocation. An executive’s incentive for efficient internal capital allocation is different depending on the type of compensation, the size of internal capital markets, and external events such as the global financial crisis. These findings are robust to corrections for potential endogeneity bias. I also find evidence of a non-linear relationship between efficiency and the size of internal capital markets. Internal capital markets should continue to expand as long as the benefit of relaxing credit constraints is greater than the cost of managing larger internal capital markets. Overall, the result of the study is consistent with the view that better alignment of executive incentives with shareholder interests leads to efficient internal capital allocation. / Business Administration/Risk Management and Insurance

本文運用模擬的方法，產生產險業所面臨的損失分佈、投資資產的變動，欲得到最好的資產配置比例，並考慮重新平衡的效果，探討何種方法為產險業最好的資金運用策略。在模擬了1,000次，產生未來23年的年末資產負債表後，我們得到產險公司應如何配置其資金於：現金、股票、1-15年期債券及房地產的比例，加入重新平衡的概念，運用目標方程式的建立，最後得到一個最好的資金配置及平衡策略。 / We applied simulation techniques to imitate some situations that insurance companies have handled, including loss development, asset value variations, and dynamic programming asset allocation. The asset allocation ratios and the timing of rebalancing the assets affected our objective outcomes. After simulating 23 years for 1,000 times, we find how insurance company allocates their capital in four accounts: cash, stock, fifteen kinds of maturity bonds, and real estate. We finally pointed out strategy resulted in the best outcome by comparing between single period optimal asset allocating ratios and rebalanced asset allocation ratio outcomes.

中國大陸於1986年申請重新加入WTO，經過15年的長期努力及多方談判，並且在各種產業上做出重大讓步之後，於12月11日正式成為第143個正式的會員國。加入WTO之後，在大陸金融市場規模龐大且成長迅速的吸引之下，市場的開放必然會吸引大量的國際保險業者進入大陸。另外，與一般開發中國家的情況相似，大陸的金融產業相對於其他產業而言是發展較為遲緩的產業，金融機構進駐後造成的衝擊必然十分嚴重，因此大陸當局應儘早加以準備與因應。 本研究採用資料包絡分析法進行效率值之計算，並使用大邊界法建構出單一效率邊界，探討大陸產險業在加入WTO前後的效率變動情形。本研究的結果如下:1.根據單變量無母數統計分析，整體產險業在加入WTO前後三個效率值雖呈正向關係但不顯著，表示階段性的開放是較理想的措施。2.非中資公司的整體技術效率值、純技術效率值與規模效率值均高於中資公司，顯示非中資公司其全球化的經驗較中資公司更好、更成熟。 / Mainland China reapplied in 1986 to join WTO, passed through 15 years long-term endeavor and negotiates in every way, and made the significant concessions after each industry, on December 11, 2001 officially became the 143rd official member nation. After joining the WTO, the mainland's financial market scale and rapid growth attract, opening of the market will attract a large number of international insurance industry to the mainland. Furthermore, with most developing countries in similar circumstances, the mainland's financial industry compared to other industries in terms of development is relatively slow industries, financial institutions stationed after the impact is inevitable, therefore, the mainland authorities should be prepared as early as possible and to respond. This research applied Data Envelopment Analysis (DEA) to measure efficiency scores, and applied Grand Frontier to measure the trend of the efficiency change before and after joining WTO. The results of this study are as follows: 1. Based on the univariate statistical analysis, overall in the property insurance industry after joining the WTO three efficiency values have shown a positive relationship but not significant, said the gradual opening is a relatively ideal measures. 2. Non-Chinese company's overall technical efficiency, pure technical efficiency and scale efficiency were higher than the value of Chinese-funded companies that show non-Chinese-funded companies in their global experience are better and more mature than those Chinese-funded companies.

本文使用政大資管系及風管系所共同開發的動態財務分析模型(dynamic financial analysis model)，並測試該模型是否能準確區別出健全的產險公司及喪失清償能力的產險公司。我們進一步地使用羅吉斯迴歸模型分析該模型在預測產險公司清償能力的準確性。 從迴歸模型實證結果中指出在10%顯著水準下所有變數皆不顯著。此結果顯示我們的實證測試無法提供強烈的佐證以支持”該動態財務分析模型能夠準確地預測保險人清償能力”的說法。 根據實證結果，我們建議往後的研究可以使用不同年度的資料，藉由大量的樣本以增加統計分析的準確度，同時改善該動態財務分析模型以符合保險人擁有多種再保安排的實際狀況。在實證測試中，我們發現該模型仍然存在一些錯誤。假使該動態財務分析模型能有效率地消除這些錯誤，我們期待修正後的動態財務分析模型在預測產險公司的清償能力上有更好表現。 / This paper set out to empirically test whether the dynamic financial analysis model (DFA), developed in a joint project of Department of Management Information Systems and Risk Management and Insurance, National Chengchi University, could accurately classify both solvent and insolvent property-liability insurers. We used a logistic regression model to analyze the solvency prediction accuracy of the DFA model. The empirical results indicated that none of the variables were significant at the 10% level and did not offer strong supporting evidence that the DFA model could accurately predict the solvency of insurers. Based on this, we suggest that further research should perhaps use data over different years to increase the accuracy of the statistical analysis, by using larger samples; this may improve the DFA model by coordinating actual situations with various reinsurance arrangements. In the empirical tests, we found that the DFA model still has some bugs. If these bugs can be efficiently deleted, we expect a revised DFA model to perform well in predicting the solvency of property-liability insurers.

本研究欲了解有無集團企業背景對本國產險公司經營效率之影響，並透過本國有無集團企業背景產險公司之效率比較，求證關於代理理論之審慎管理假說及費用偏好假說是否成立。本研究運用資料包絡分析法(Data envelopment Analysis, DEA)及cross-frontier analysis評估民國81至90年，17家本國產險公司具集團背景及無集團背景各年度效率情況。另外，採用多元迴歸分析討論產險公司不同經營特性對經營效率的影響。本文亦利用Malmquist生產力指數分析具集團背景及無集團背景產險公司十年來生產力的變動。 　　本研究之實證研究結果如下： 一、於技術效率，具集團背景及無集團背景產險公司無技術效率差異，表示不論有無集團背景，皆有各自的經營技術優勢，符合審慎管理假說。於成本效率，發現81至85年時具集團背景產險公司之成本結構於生產無集團背景產險公司的產出相對較具成本效率，符合費用偏好假說；但86至90年時，則無集團背景產險公司之成本結構對於自己的產出較具成本效率，不符合費用偏好假說。 二、以多元迴歸分析於81至85年、86至90年，影響無集團背景產險公司效率之因素。本文發現於86至90年，當無集團背景產險公司總資產越小、再保比例越高，其以自己的成本結構進行生產，越顯著較以具集團背景產險公司的成本結構進行生產來得具成本效率。 三、二類產險公司於民國81至90年間生產力皆呈現衰退，且具集團背景產險公司衰退情況較嚴重。二類產險公司生產力衰退主因皆為生產技術的衰退；此外，具集團企業背景產險公司十年來的技術效率有衰退的趨勢，而無集團背景產險公司之技術效率則持續進步。若綜合前面成本效率的結果，則十年來具集團背景產險公司平均效率表現沒有進步跡象；而無集團背景產險公司有改善其效率。 / The purpose of this paper is to examine the effect of“group”background on the property-liability insurance industry in Taiwan. We test the managerial discretion hypothesis and the expense preference hypothesis by comparing the efficiency of the group and independent property-liability insurers. Using the property-liability insurance industry in Taiwan from 1992-2001 as our sample, we use DEA and cross-frontier analysis, and adapt multiple regression analysis to examine the variables which affect the efficiency performance in the property insurance company. We also measure the productivity changes of the group firms and independent firms over ten years. The empirical results are summarized as follow. First, we find that the technical efficiency results are consistent with the managerial discretion hypothesis, in that there is no difference in the technical efficiency between the group firms and independent firms. The results of cost efficiency between 1992 and 1996 show that the group frontier dominates the independent frontier for independent outputs, supporting the expense preference hypothesis. However, the results of cost efficiency between 1997 and 2001 no more support the expense preference hypothesis in that the independent frontier dominates the group frontier for independent outputs. Second, we find that the independent firms tend to have a comparative advantage over the group firms in the independent cost frontier when the independent firm’s size is smaller or when its reinsurance proportion is higher. Finally, the results of the Malmquist productivity analysis show that the productivity of group firms declines in 1992-2001, and the decay is due to their technical efficiency decreases. Conversely, the productivity of the independent firm improves.

信用評等制度在美國已有百年以上歷史，而我國自民國80幾年開始發展評等制度，截至目前，僅有中華信用評等公司與台灣經濟新報社兩家公司提供評等服務，而台灣經濟新報社更將金融保險業排除於評等對象之外。站在穩定市場競爭、保障消費者權益、配合監理需求，以及輔助專案投標等方面來看，市場上的確需要一套能反映產險業行業特性之評等模式。 本文以美國接受A.M.Best評等之產險公司為研究對象，運用三種統計方法：多元區別分析(Multiple Discriminant Analysis，MDA)、羅吉斯迴歸(Unordered Logistic Regression，ULR)、順序性羅吉斯迴歸(Ordered Logistic Regression，OLR)，來建構產險公司之信用評等模式。樣本選擇方面：估計樣本，選取美國1993年到1996年接受A.M.Best評等之產險公司327家；保留樣本，為1997年78筆資料。 而本文預定達成目標如下： 一、建立等級預測模型：參考Ederington(1985)所作債券等級預測模型，以獲利能力、槓桿、流動性、投資風險、準備金適足性五類指標共38個財務比率，透過三種統計模型，建構等級預測模型。 二、藉由等級預測之建立，尋找能有效區別產險公司評等等級之財務指標，並分析其影響程度。 三、力求模型公信力：無論變數選擇或權數決定，皆由統計軟體按照樣本特性選取產生，減少人為主觀判斷。 在決定研究對象之初，因考慮到國內產險公司接受評等之家數不多，且年數又太短，資料數量無法據以建立評等模式，因而決定以美國的產險公司為對象，再以台灣樣本作為保留樣本，預測之等級結果僅供參考之用。 / Three possible models of the P-L Insurers rating process are estimated and compared：1. Muitiple Discriminant Model, 2. Unordered Logistic Model, 3. Ordered Logistic Model. Each model is estimated for a sample of 327 American P-L insurance companies using the same 38 independent variables. The three estimated models are then employed to predict ratings for a holdout sample of 78 companies. The study analyzes 1993 through 1997 data for a sample of P-L insurers that acquired A.M.Best Financial strength ratings between December 31,1993, and December 31, 1997. Empirical evidence suggests that even when models with the same basic structure were compared, differences in estimation procedures resulted in quite different coefficient estimates and classifications. The muitiple discriminant model clearly outperformed the regression model, while the unordered logistic model was clearly superior to the ordered logistic model.