Efficiency Estimation of Data Envelopment Analysis and Metafrontier Malmquist Productivity Index in Insurance Industry

研究保險業經營效益，文獻大多以非參數法估計效率，而保險業長期的經營效率可能會發生生產邊界移動，故在評估保險公司生產力的變動，可將技術變動及效率變動納入考量。本文採用非參數法的資料包絡分析架構，評估2005年至2011年美國、英國、日本、中國大陸、香港及台灣產險業及壽險業生產力之變動。並在變動規模假設下，推導以投入為導向共同邊界Malm1uist生產力指數模型，並以該模型共同邊界Malmquist生產力指數模型進行拆解，經由效率變動指數、技術缺口比率變動指數等因素進行分析，以便探討其經濟意涵。本文應用該模型評估六個主要保險市場產險與壽險業共同邊界下之生產面Malmquist變動因素，探討保險產業面臨外在經濟因素迅速變遷，保險市場結構及運作模式的改變，競爭日益加劇與金融海嘯的影響下，實證結果發現，全體保險產業在研究期間美國之效率值最佳，英國之效率值不佳，六個保險市場在金融海嘯及歐債危機衰退幅度最嚴重；產險公司與壽險公司二個群組的比較結果發現，壽險業表現優於產險業；其次，以Tobit迴歸檢視市場力量、費用偏好及多元經濟跨業經營與效率值是否顯著相關，本研究結果對市場力量及費用偏好並無顯著相關；支持具集團背景的公司之經營績效較佳；在多元化經濟跨業經營相關程度則認為，壽險業跨業經營之效益並無顯著呈現，跨業經營健康險及傷害險比重高，其經營效率愈低，支持策略專注假說；產險業跨業經營之效益顯著呈現，跨業經營健康險及傷害險比重高，其經營效率愈高，顯示支持多元跨業經營具效率。藉此結論提供保險業擬定經營策略參考，使保險業經營可擴展保險業共同生產邊界、加強規模調整能力並強化技術效率，以提升保險業競爭力。This dissertation introduces a means of analyzing productivity under a non-parametrically -- derived variable return-to-scale measurement using 'data envelopment analysis' and the 'production and cost structure Metafrontier Malmquist productivity index model'. Insurance industry data from six major countries spanning from 2005 to 2011 is applies to empirically evaluate the proposed method. The data envelopment analysis measures technical efficiency, allocative efficiency and cost efficiency. Furthermore, the Metafrontier Malmquist productivity index model is decomposed into six sources including pure technical efficiency change、technical gap ratio change、scale efficiency change、scale gap ratio change、technical change and potential technological relative change. This study estimates the efficiency change factor thus enabling insurers to differentiate group frontier from meta-frontier within the broad definition of'catch-up'(Färe et al,1994). These decomposition processes should assist insurers in obtaining a comprehensive understanding of operational performance, and in improving future competitiveness. Furthermore, this paper describes the insurance industry performance by testing the market power, strategic focus and conglomeration hypothesis on insurance industry data. The results indicate that US insurance industry performs greater efficiency relative to the other five countries, UK insurance industry performs worse efficiency relative to the other five countries, and the Metafrontier Malmquist productivity index of Life/Health insurers is superior to that of Property/Casualty insurers. The financial crisis was found to have a significant impact on integration efficiency and, according to Metafrontier analysis, Life/Health insurers outperform Property/Casualty insurer in terms of operational management, technical efficiency and cost efficiency. In addition, the proposed approach provides a fuller picture of the root sources of the productivity change which uses the Metafrontier approach under the Variable Return Scale to provide more useful information to insurance company managers and insurance commissioner. Furthermore, accumulating practicale experience can provide benefits for Property/Casualty and Life/Health insurers seeking to expand their operations into new areas. To improve the competitiveness, insurers should consider how to expand the production Metafrontier, strengthen scale adjust ability and enhance technical efficiency. The empirical results not support the market power hypothesis, meaning that financial holding companies are low-efficiency in terms of market share. There is evidence to support conglomeration hypothesis, that is, the insignificant amount of cross-sector business in accident/health insurance indicates low operational efficiency (supporting strategic focus hypothesis) in the Life/Health insurance industry for most countries. The significant amount of cross-sector business in accident/health insurance indicates high operational efficiency in the Property/Casualty insurance industry, thus supporting conglomeration hypothesis.Table of Contents Abstract ..............................................................................................................................iii Table of Contents ...............................................................................................................vi 1. Introduction 1 1.1 Background of dissertation 1 1.2 Performance measurement 7 1.3 Efficiency estimation issue in insurance industry 10 1.4 Structure of thedissertation 11 2. Literature Review 14 2.1 Introduction to efficiency measuremen 14 2.2 Application of frontier efficiency measurement in the insurance industry 17 2.3 Production frontier in the insurance industry 19 2.4 Cross-board and cross-section comparison of Efficiency Frontier in insurance 23 2.5Overview the insurance market 25 3. The Research Methodology and Hypotheses 27 3.1 Mathematical approach - Data envelopment analysis 27 3.2 Metafrontier Malmquist Productivity Index (MMPI) under Variable Return-to-Scale 29 3.3Cost Metafrontier Malmquist Productivity Index(CMMPI) under Variable Return-To-Scale 36 3.4Market power hypothesis, Expense preference hypothesis and Conglomeration hypothesis 43 3.5Source of Data Samples and Variable Selection 46 3.6Input and Output factors 48 4.Results and Discussion 53 4.1Descriptive statistics 53 4.2Efficiency measurement of insurance efficiency in six different countries 55 4.3Metafrontier Malmquist Productivity Indexefficiency measurement of insurance efficiency in six different countries 59 4.4Tobit regressionmeasurement of insurance efficiency in six different countries 77 5. Conclusions 86 5.1 Conclusion 86 5.2 Limitation and Suggestation 88 References 8