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產險業信用評等模式之研究-美國產險公司之實證分析施佳華 Unknown Date (has links)
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.
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