標題: Risk management in life insurance companies: Evidence from Taiwan
作者: Hu, Jin-Li
Yu, Hsueh-E
交大名義發表
經營管理研究所
National Chiao Tung University
Institute of Business and Management
關鍵字: Investing risk;Underwriting risk;Two-stage quantile regression;Risked-based capital
公開日期: 1-Jul-2014
摘要: The solvency issue of life insurance companies has become more important in recent years as business risks turn increasingly greater. This study examines the relationship among investing risk, underwriting risk, and the capital ratio during the post risk-based capital regulation period of 2004-2009 in Taiwan. In addition to the two-stage least square regression (2SLS), we also adopt the two-stage quantile regression (2SQR) to capture the effects of low capital (or risk) levels and high capital (or risk) levels. 2SLS do not fully explain the capital-risk relation. Contrary to previous evidence reported in the U.S., our findings in 2SQR model indicate that the relationship between capital and underwriting risk is positive, while the relationship between investing risk and capital shows a reverse pattern. Overall, the 2SQR provides stronger evidence than the 2SLS. (C) 2014 Elsevier Inc. All rights reserved.
URI: http://dx.doi.org/10.1016/j.najef.2014.06.012
http://hdl.handle.net/11536/25263
ISSN: 1062-9408
DOI: 10.1016/j.najef.2014.06.012
期刊: NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
Volume: 29
Issue: 
起始頁: 185
結束頁: 199
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