손해보험회사의 재무건전성과 지급준비금 부족율 및 변동성에 관한 실증 연구 : 2008년 금융위기를 중심으로
An Empirical Analysis Between Insurers’ Financial Soundness and Loss Reserve Error Volatility: Evidence from the 2008 Financial Crisis
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초록
본 논문은 1996-2014년 기간동안 미국 손해보험회사의 재무데이터(NAIC)를 이용하여, 손해보험회사의 레버리지 비율 및 재무지표가 지급준비금 부족율 및 변동성과 어떠한 관계를 갖는지 회귀분석을 통해 실증 분석하였다. 선행연구가 주로 지급준비금 부족율이 손해보험회사의 이익 조정에 어떻게 영향을 미치고, 그 유인은 무엇인지에 대해 초점이 맞추어져 있었던 반면, 본 논문은 어떤 재무상황을 갖는 손해보험회사가 지급준비금 부족율 및 변동성에 더 민감하게 반응하는지 금융위기를 전후로 레버리지 비율에 초점을 맞추어 분석하였다. 분석 결과는 다음과 같다. 첫째, 금융위기 직후 손해보험회사의 지급준비금 부족률의 변동성은 증가하였다. 둘째, 금융위기 직후 순이익이 클수록, ROA가 클수록 지급준비금 부족율이 증가하였다. 재무건전성이 안정된 회사는 이익을 유연화 하는 등의 이익조정의 유인이 적기 때문으로 해석된다. 반면, 재무적 한계기업의 지급준비금 부족율은 감소하였는데, 이는 금융위기 직후, 엄격해진 규제비율을 지키기 위하여 지급준비금을 과소계상하였음을 시사한다.
Abstract
This study examines the relation between insurers loss reserve error and volatility and financial soundness using The U.S. Property and Casualty insurance companies from 1996 to 2014. Current literature uses insurers specific reserves as an earnings management proxy with several incentives but has not focused on the leverage effect of firm. With the evidence from the 2008 financial crisis, we render two main conclusions as following. First, insurer’s reserve error volatility is increased after the crisis. Second, the greater net income or return on assets after the crisis, the higher the loss reserve errors. This is because financially stronger firms tend to involve in over-reserving. Also, distressed firms’ under-reserving phenomena is more pronounced after the crisis to meet the stringent regulation.
참고문헌 (27)
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