예금보험제도하의 생명보험 시장규율
Market Discipline in the Life Insurance with Deposit Insurance
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초록
본 연구의 목적은 금융안전망의 예금보험, 생명보험의 펀더멘탈 변수, 생명보험계약자에 의한 시장규율 변수, 거시경제변수간의 상호작용을 분석함으로써 생명보험권 예금보험제도하에서 생명보험 시장규율이 어떻게 작동하는지, 보험계약자에 의한 시장규율에 대해 생명보험사의 위험추구행위가 어떻게 반응하는지를 실증적으로 확인함과 아울러 시장규율 강화의 필요성을 강조하고자 하는데 있다. 이 과정에서 문헌연구 외에 실증연구방법으로 공적분관계 분석과 오차수정모형에 의한 인과관계 검정방법, 에 의한 충격반응분석방법, 예측오차분산분해분석방법을 사용하여 연구문제를 분석하였다. 실증분석결과, 생명보험사의 위험추구행위에 대해 보험계약자에 의한 시장규율이 작동되고 있으며, 이러한 시장규율에 대해 생명보험사의 위험추구행위도 반응하는 것으로 나타났다. 또한 실증모형에 포함된 변수간의 인과성 및 충격반응이 보이는 바에 의하면, 예금보험으로 인해 생명보험의 파산변수가 악화되지 않으며, 예금보험이 보험계약자에 의한 시장규율과 음(-)의 관계를 보이나 생명보험사의 위험추구행위를 조장하지는 않는 것으로 나타났다. 예금보험제도하에서도 보험계약자에 의한 시장규율이 작동하여 생명보험시장이 건전한 성장을 지속하려면, 예금보험의 효율성을 제고시킴과 아울러 규제규율을 일정 부분 대체할 수 있는 시장규율을 강화하기 위한 환경이 조성되어야 할 것으로 본다. 특히 이를 위해 생명보험사들의 관련 정보공시의 투명성, 생명보험사의 경영 관련 위험요소에 대한 이해관계자들의 평가능력, 보험계약자를 보호할 수 있는 감독당국의 제지력, 보험계약자와 납세자들에 대한 도덕적 책임을 다하는 생명보험사 및 금융감독당국의 의무감이 요구된다.
Abstract
The primary purpose of this study is to examine the market discipline in the life insurance with deposit insurance, with analysing empirically the interaction among deposit insurance, fundamental variables of life insurers, market discipline by customers, and macroeconomic variables, and to obtain policy implication of the result. For this purpose the techniques of co-integration, error-correction model, impulse response functions and decomposition of variance for a VAR model are used in the empirical analysis. It employs monthly data of variables covering the period of 1998 - 2005. To sum up major highlights of the analytical results, the results of estimation are statistically significant and effectively explain the following. First, market discipline by the insured is at work in the life insurance. Second, explicit deposit insurance does not tend to increase the likelihood of life insurer insolvencies. Third, deposit insurance tends to reduce the incentives of the insured to monitor and discipline their insurers, but does not tend to increase the incentives of insurers for excessive risk taking. In particular, the insured(depositors) tend to discipline their insurers by withdrawing their deposits or increasing the lapse ratio when they perceive insurer's excessive risk taking.Therefore we should consider and practice various schemes to vitalize the efficiency of deposit insurance in the process of life insurnce's growth and market discipline, such as circumspective application of method estimating credit risk, transparent disclosure of information about insurer's management, financial supervisor's noblesse oblige.
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