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효율성 측도와 손보사 파산 예측

Efficiency Measures and Insolvencies of Property-Liability Insurers

이석호
한국리스크관리학회 (Korea Risk Management Society)|2005.12|리스크관리연구 (The Journal of Risk Management)|제16권 제2호|pp. 3-37

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참고문헌

키워드

효율성Efficiency보험사 파산로짓 모델Insurer InsolvencyLogit Model I. Introduction
주제분류경영학

초록

기존 보험사 파산예측 연구들의 대부분이 재무변수들에 의존한 반면, 본 연구는 보험사 파산연구에서는 비교적 새로운 예측변수인 효율성 변수를 사용하여 미국 손보사 파산을 예측, 분석하였다. 두 가지의 중요한 분석 결과가 나타나고 있는데, 첫째, 효율성 변수(특히, 비용-X-효율성 변수와 수입규모효율성 변수)가 손보사 파산의 중요한 예측변수로 판명되어지고 있다. 둘째, 이들 효율성 변수들이 보험사 파산 예측 모델에서 기존에 주로 사용되어졌던 재무변수들의 설명력과 분별력을 증진시키는 것으로 나타나고 있다. 본 연구의 결과로 효율성 변수가 포함될 경우 향후 보다 신뢰성 있는 보험사 파산 예측 모델의 도출이 가능해 질 것으로 예상되어진다.

Abstract

This study analyzes insolvency prediction models for property-liability insurers using efficiency variables. The results of the study support two principal conclusions. First, this study finds that the efficiency measures, especially cost X-efficiency and revenue scale efficiency, are important factors in identifying and forecasting insurer insolvencies in the property- liability insurance industry. Second, this study also provides evidence that the efficiency variable sets add significant explanatory or discriminatory power to the financial ratio variable sets. From the evidence in this study, new sets of predictors (i.e., the efficiency measures) could contribute and be incorporated in the development of a more efficient and reliable early warning model for insurer insolvency. Especially, the results of this research suggest that regulators should be more concerned particularly with cost X-efficiency (and probably, revenue scale efficiency, too) among the types of efficiency in accessing and identifying potential insurer insolvency.

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