손해보험회사의 지급준비금 오차율과 내부자본시장에 관한 실증 연구
An empirical analysis between insurers’ loss reserve errors and internal capital market
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 논문은 2000~2019년 기간 동안 미국 손해보험회사의 재무데이터(NAIC)를 이용하여, 여러 개의 계열사를 포함하고 있는 보험그룹의 내부자본시장이 계열사의 지급준비금오차율과 어떠한 관계를 갖는지 실증 분석하였다. 선행연구가 주로 지급준비금 및 그오차율이 손해보험회사의 이익 조정에 어떻게 영향을 미치고, 그 유인은 무엇인지에 대해초점이 맞추어져 있었던 반면, 본 논문은 보험그룹 내 계열사 간 재보험거래를내부자본시장의 측정치로 사용하여, 내부자본시장과 지급준비금의 과대 혹은 과소 적립을통한 이익조정 간의 관계를 규명하였다. 분석 결과는 다음과 같다. 첫째, 보험그룹은그렇지 않은 개별보험회사에 비해 지급준비금 오차율이 낮게 나타났다. 이는 보험그룹이지급준비금을 통한 이익조정에 적극적으로 나서지 않아도 되는 대안을 갖추었음을시사한다. 둘째, 보험그룹 내에서 재보험거래를 통해 내부자본시장에 참여하며, 위험을전가한 계열사일수록 지급준비금 오차율은 작게 나타났다. 이는 내부자본시장에 접근하여위험을 전가하고 그에 따른 재무건전성을 강화한 계열사는, 그렇지 않은 계열사보다지급준비금의 과대 혹은 과소 적립을 통한 이익조정에 나설 유인이 떨어지기 때문이다.
Abstract
This study examines the association between the insurers' internal capital markets and loss reserve errors of the U.S. Property and Casualty insurers with multiple subsidiaries for the period from 2000 to 2019. While previous studies have mainly focused on the effects of earnings management and motivation thereof, we use reinsurance transactions as a measure of the internal capital market to investigate its relation to earnings management through managers' over- and under-estimation of reserves. Our results are as follows. First, affiliated group insurers show smaller loss reserve errors implying an alternative earnings management tool, or internal capital markets. Second, insurers with greater level of reinsurance transactions have smaller loss reserve errors. This indicates that insurers that transfer the risk to affiliated reinsurers have an access to the internal capital markets and therefore have less incentives to earnings management.
참고문헌 (36)
- 김호중, "손해보험회사의 자동차보험 지급준비금 적립행태에 관한 실증연구", 보험학회지, 55, pp.143~160 (2000)
- 송인정, "손해보험회사의 재무건전성과 지급준비금 부족율 및 변동성에 관한 실증 연구 : 2008년 금융위기를 중심으로", 보험학회지, (118), pp.31~60 (2019), 한국보험학회[DOI]
- 오창수, "손해보험회사 지급준비금 적립형태에 관한 실증연구", 보험금융연구, 26(2), pp.33~58 (2015), 보험연구원
- 오태형, "지급준비금을 이용한 손해보험사의 이익조정에 관한 연구", 리스크관리연구, 16(2), pp.127~161 (2005), 한국리스크관리학회
- Anderson, D. R., "Effects of Under and Overvaluation in Loss Reserves", Journal of Risk and Insurance, 98, pp.585~600 (1971)
- Beaver, W., "Management of the loss reserve accrual and the distribution of earnings in the property- casualty insurance industry", Journal of Accounting and Economics, pp.347~376 (2003)
- Carson, J., "Ratings: It’s Accrual World", Journal of Risk and Insurance, 85, pp.787~809 (2016)
- Eckles, D., "Earnings Smoothing, Executive Compensation, and Corporate Governance:Evidence from the Property-Liability Insurance Industry", Journal of Risk and Insurance, 78, pp.761~790 (2011)
- Eckles, D., "Insurer Reserve Error and Executive Compensation", Journal of Risk and Insurance, 77, pp.329~346 (2010)
- Eckles, D., "Information risk and the cost of capital", Journal of Risk and Insurance, 81, pp.861~881 (2014)
- Fier, S., "Internal capital markets and the partial adjustment of leverage", Journal of Banking &Finance, 37, pp.1029~1039 (2013)
- Gaver, J., "Earnings Management Under Changing Regulatory Regimes: State Accreditation in the Insurance Industry", Journal of Accounting and Public Policy, 19, pp.399~420 (2001)
- Gaver, J., "Do insurers manipulate loss reserves to mask solvency problems?", Journal of Accounting and Economics, pp.393~416 (2004)
- Gertner, R., "Internal Versus External Capital Markets", The Quarterly Journal of Economics, 109, pp.1211~1230 (1994)
- Grace, E., "Property-liability insurer reserve error: A theoretical and empirical analysis", Journal of Risk and Insurance, pp.28~46 (1990)
- Grace, M., "Property liability insurer reserve error:Motive, Manipulation, or Mistake", Journal of Risk and Insurance, pp.351~380 (2012)
- Gramlich, J., "Taxex, Keiretsu Affiliation, and Income Shifting", Journal of Accounting and Economics, 37, pp.203~228 (2004)
- Houston, J., "Capital Market Frictions and the Role of Internal Capital Markets in Banking", Journal of Financial Economics, 46, pp.135~164 (1997)
- Kazenski, P., "Empirical evidence for alternative loss development horizons and the measurement of reserve error", Journal of Risk and Insurance, pp.668~681 (1992)
- Lai, Yi-hsun, "Forestalling capital regulation or maksing financial weakness?: Evidence from loss reserve management in the property-liability insurance industry", Review of Quantitative Finance and Accounting, 50(2), pp.481~518 (2018)
- Maksimovic, V., "Do Conglomerate Firms Allocate Resources Inefficiently Across Industries? Theory and Evidence", Journal of Finance, 57, pp.721~767 (2002)
- Nelson, K., "Rate Regulation, Competition, and Loss Reserve Discounting by Property-Casualty Insurers", The Accounting Review, pp.115~138 (2000)
- Niehaus, G., "Managing Capital via Internal Capital Market Transactions: The case of Life Insurers", ~ (2016)
- Loss Reserves and Accounting Discretion in the Property- Casualty Insurance Industry, "Penalva, F.", University of California at Berkeley, ~ (1998)
- Petroni, K., "Optimistic Reporting in the Property-Casualty Insurance Industry", Journal of Accounting and Economics, 15, pp.485~508 (1992)
- Petroni, K., "Errors in accounting estimates and their relation to audit firm type", Journal of Accounting Research, 34, pp.151~171 (1996)
- Powell, L., "Internal versus external capital markets in the insurance industry: the role of reinsurance", Journal of Financial Services Research, 31, pp.173~188 (2007)
- Powell, L., "The role of internal capital markets in financial intermediaries: evidence from insurer groups", Journal of Risk and Insurance, 75, pp.439~461 (2008)
- Rajan, R., "The Cost of Diversity: The Diversification Discount and Inefficient Investment", Journal of Finance, 55, pp.35~80 (2000)
- Scharfstein, D., "The Dark Side of Internal Capital Markets: Divisional Rent-Seeking and Inefficient Investment", Journal of Finance, 55, pp.2537~2564 (2000)
- Shin, H., "Are Internal Capital Markets Efficient?", Quarterly Journal of Economics, 113, pp.531~552 (1998)
- Stein, J., "Internal Capital Markets and the Competition for Corporate Resources", Journal of Finance, 52, pp.111~133 (1997)
- Smith, B., "An Analysis of Auto Liability Loss Reserves and Underwriting Results", Journal of Risk and Insurance, 47, pp.305~320 (1980)
- Weiss, M., "The Multivariate Analysis of Loss Reserving Estimate in Property-Liability Insurers", Journal of Risk and Insurance, pp.199~221 (1985)
- Williamson, O., "A Study in the Economics of Internal Organization" (1975), Free Press
- Loss Reserve Errors, Income Smoothing and Investment Income of Property Casualty Insurance Companies in the U.S, "Zhang, Chunyan", University of Wisconsin-Madison, ~ (2014)