Analyzing and Forecasting the Loss Ratio of Taiwan's Automobile Insurance and Reinsurance

[[abstract]]本文針對台灣車險原保與再保之核保循環現象作探討。首先利用Venezian(1985)所建立之二階自我迴歸模型，檢測台灣在1970年至2006年間車險原保與再保是否存在核保循環的現象，並計算其循環週期後，再與以Hamilton(1989)之馬可夫轉換模型所預測的損失率循環週期進行模型比較。其次本文以損失率為應變數建立模型來驗證以下假設：【假設一：損失率與保費收入呈負向關係】、【假設二：損失率與賠款金額呈正向關係】、【假設三：損失率與實質國內生產毛額呈負向關係】、【假設四：損失率與利率呈正向關係】、【假設五：損失率與汽車密度及事故件數呈正向關係】。實證結果車險原保除假設五之外，其餘皆支持本文的假設。而車險再保僅支持假設一與假設二。最後對於模型中具顯著變數者探討衝擊反應與預測誤差變異數分解，結果發現汽車密度、賠款金額及保費收入與車險原保之損失率具有長期影響關係，而車險再保之損失率僅與再保賠款金額與再保費收入呈短期影響關係。[[abstract]]This paper is focused on the automobile insurance and reinsurance underwriting cycle in Taiwan First using Taiwan’s automobile insurance and reinsurance data from 1970 to 2006 we employed the second-order autoregressive model (Venezian 1985) to examine whether underwriting cycle exist and calculate the probable length of the cycle Then the results are compared with those from applying Markov Switching Model (Hamilton 1989) Second using loss ratio as dependent variable this paper establish five hypotheses concerning loss ratio as follows 【Hypothesis 1: Inverse relationship exists between loss ratio and premiums】、【Hypothesis 2: Positive relationship exists between loss ratio and claims】、【Hypothesis 3: Inverse relationship exists between loss ratio and real gross domestic product】、【Hypothesis 4: Positive relationship exists between loss ratio and interest rates】、【Hypothesis 5: Positive relationship exists between loss ratio/numbers of accidents and automobile density】 The empirical results find support for all hypotheses except Hypothesis 5 in original automobile insurance while there are only two hypotheses i e Hypothesis 1 and 2 being supported in reinsurance market Finally we use impulse response function and forecast error variance decomposition to analyze the impact and explanting power of independent variables with statistical significances on loss ratio We find that automobile density、premiums and claims have long-run influence on the loss ratio of Taiwan’s automobile insurance while the reinsurance premiums and reinsurance claims have short-term influence on the loss ratio of Taiwan’s automobile reinsuranc