An Analysis of Fuzzy Loss Ratio in Automobile Physical Damage Insurance－Insurance Capital Asset Pricing Model

[[abstract]]本研究將採用核保邊際利潤率模型、保險資本資產定價等財務模型，以及模糊理論的觀念，建構同時考量核保面以及投資面的稅後模糊損失率模式，並與現行的自留損失率以及車體損失險規章費率之預期損失率加予比較及分析，為產物保險公司相關決策者和政府相關部門提供釐定費率之參考。 然而，實證結果指出，1.在保險資本資產定價模型下的模糊核保邊際利潤率模式，以估算模糊損失率有助於釐訂費率更具有合理性與彈性。2.不管各家公司之車體損失險自留業務資料的模糊損失率之模糊程度如何，均遠遠超過規章費率的預期損失率，以及產險公司於某些年期間，其自留損失率均高於規章費率的預期損失率。3.傳統方法求核保系統性風險(Bu)只能得一點估計值，若透過模糊理論將能使其調整費率更易。4.不管車體損失險自留業務資料的Bu模糊程度如何，若為正且越高,其相對所面臨的風險也越高,則必須給保單持有人資金補償會越高，因而保險公司承擔較高風險，亦會收取更高的保費。5.利用保險資本資產定價模型求得的車體損失險之核保系統風險貝他係數(Bu)極有可能有等於或不等於零的機會存在，其與過去文獻相一致。6.保險公司承做車體損失險業務，其可運用資金平均時間遠比國外文獻長，因此要注意損失率的間接影響。7.針對車體損失險的股東權益對自留簽單保費之比，若比率小的保險公司，則需注意承保能量不足，可能需多提存準備金，以防範事故發生時損失率的提高。8.從整體產業來看，均顯示車體損失險直接損失率均為甲式>乙式>丙式，若以個別公司來探討，部分保險公司仍以甲式或乙式險種為主流，因此保險公司應加提防哪各險式險種的直接損失率居高，做好防範措施。[[abstract]]This study constructs a set of model, which is composed of underwriting profit margin model, insurance capital asset pricing model and fuzzy theory, for deriving fuzzy loss ratio of automobile physical damage insurance. It is shown that the effect of different from retained loss ratio and expected loss ratio, and it can be applied to the ratemaking policy in insurance companies and regulation. However, the empirical results point out that fuzzy loss ratio is more reasonable and flexible under ICAPM. Besides, no mater what degree of fuzziness of each company’s retention data, fuzzy loss ratio is much larger than expected loss ratio. Next, insurance companies should take the indirect influences of loss ratio because make use of period of capital is longer than foreign regulation. In additions, the companies of less capital should save more reserve to avoid increasing loss ratio. Finally, the empirical results also show that loss ratio of physical damage part-A is larger than physical damage part-B and physical damage part-C in overall industry, and physical damage part-A or physical damage part-B is popular in some insurance companies. Therefore, insurance companies should make the preparation of the lines of higher loss ratio