本研究的目的在於探討核保利潤的決定因素、長期均衡關係與動態調整過
程。由於核保利潤、綜合率以及承保能量代理變數具有單根於否的疑問在以往文
獻及研究中無法獲得澄清，此一時間數列的受限性質導致有關長期效果的假說一
直無法受到證實，本文應用單變數以及縱橫資料分析的自我相關分配延遲模型以
及條件誤差修正模型，克服了變數間同時存在I(0)及I(1)整合齊次不一致的問
題，並且給出了單一方向性核保利潤與相關變數間的均衡關係，更加明確的探討
了攸關核保利潤的相關假說，此一計量方法可以進一步的釐清核保利潤與相關變
數之間的因果關係，並且更加了解保險市場的結構及運行機制。本文採取半世紀
以來美國保險市場的經營狀況，同時以整體產業及個別險種分別進行探討，實證
結果明確顯示出經濟定價假說的成立，而清楚的排除了過去研究中所提及的理性
預期假說及承保能量受限假說，而核保利潤之動態行為、實務上所稱之核保循環
可以條件誤差修正行為解釋而不須以過去研究中常用之二階自我相關過程建
模，增進了統計估計的效率性，個別險種的長尾特徵與監理措施可以調整速度的
快慢於否清晰詮釋，保險公司風險規避的性質亦獲得證實，在縱橫資料分析中本
文亦給出了有關盈餘配置不必要性假說的實證結果，而在投資行為與承保行為的
自我相關分配延遲模型分析中，除了火災、車體碰撞損失以及內陸航運險種外，
投資行為與承保行為的替換效果是明顯的，特別是長尾商業責任險種，此一實證
結果提供了現金流量核保存在的有利證據。

This study investigates the U.S. insurance market, both in industry level and
individual lines, from year 1950 to 2004 and provides a series of solid evidences,
supporting the economic pricing hypothesis sustained. The long run cointegration
relationships relevant to underwriting profits which are previously prohibited to
illustrate due to its stationary characteristic has been validated. Rather than structured
by predetermined second-order process, the visible cyclical pattern of underwriting
profits could be explained reasonably by the tendency back to the long run
equilibrium. Under both individual and panel versions of ARDL modeling, we also
find that the speeds back to the long run equilibrium are correspondent with the tails
or regulative characteristics of various insurance lines, which provide more supportive
evidences than Haley’s (1995). Furthermore, the results of panel ARDL analysis also
demonstrate grounds to support the implications of Philips et al. (1998), which
advocate that the actuarial routine of surplus allocation is not necessary. The
statutorily mandated forces and regulations keep the insurance rates lower and more
stable, making the economic pricing hypothesis to be no longer valid for some
stringently regulated long-tails lines such as Privative Passengers auto liability
insurance. Besides, a tendency towards tradeoff between investment and underwriting
activities has also been ascertained. Such relationship exists in whole industry level
(all lines combined) and most individual lines apart from the lines of fire, auto
physical damage and inland marine. For the lines with long tails, such tradeoff effect
has been magnified due to more time lags between premiums receiving and the claims
payment paying. Overall empirical evidences substantially suggest that the supply
effect, which could be reflected by the pricing strategies of risk-averse insurance
companies, tends to dominate U.S. insurance markets for the last half century.

Chapter 1 Introduction 1
Chapter 2 Literatures Reviews 4
2.1 Alternative Hypotheses 4
2.2 Reviews of Relevant Empirical Analysis 9
Chapter 3 Empirical Models 15
3.1 Bounds testing 15
3.2 Estimation 18
Chapter 4 Empirical Results 24
4.1 Data descriptions 24
4.2 Bounds testing and ARDL estimation 31
Results of whole industry: (1950-2004) 31
Results of individual insurance lines: (1950-2004) 36
4.3 Panel ARDL analysis 48
Results of major nine insurance lines: (1956-2004) 48
Results of 19 individual insurance lines: (1976-2004) 53
4.4 Consideration of total return framework 59
Chapter 5 Conclusions 70
References 72

List of Tables

Chapter 2 Literatures Reviews                                           
Table 1 Summary of results of major literatures using regression analysis              14                     

Chapter 4 Empirical Results
4.1 Data descriptions                                            
Table 1 Summary of implications of underwriting profits for alternative hypothesis      24                            Table 2 Results of unit roots tests of combined ratios for various insurance lines         27
Table 3 Results of unit roots tests for dependent variables                           28
4.2 Bounds testing and ARDL estimation
Results of whole industry: (1950-2004)
Table 4 Results of bounds tests for whole industry                                31
Table 5 Estimates of ARDL model for combined ratio                             32
Table 6 Estimated long run effects of ARDL model                               34
Table 7 Error correction representation of ARDL model                            35
Results of individual insurance lines: (1950-2004)
Table 8 Results of bounds tests for various lines (capacity proxy: )                 37
Table 9 Results of bounds tests for various lines (capacity proxy: )                 37
Table 10 Results of bounds tests for various lines (capacity proxy: )                38
Table 11 Estimates of ARDL model for various insurance lines                      39
Table 12 Estimated long run effects of ARDL mode                               44
Table 13 Error correction representation of ARDL model                           45
Table 14 Estimates of ARDL model for auto insurance lines                         47
Table 15 Estimated long run effects of ARDL models for auto insurance lines          47
Table 16 Error correction representation of ARDL Models for auto insurance lines       47
4.3 Panel ARDL analysis
Results of major nine insurance lines: (1956-2004)
Table 17 Pooled MG estimates and MG estimates                                 49
Table 18 Group-specific estimates of the long-run coefficients                       49
Table 19 Short-run coefficients estimates of various insurance lines                   50
Table 20 Pooled MG estimates and MG estimates (excluding workers compensations)    52
Table 21 Estimates of the long-run coefficients under restriction of capacity            52
Results of 19 individual insurance lines: (1976-2004)
Table 22 Pooled MG estimates and MG estimates (capacity proxy: )                53
Table 23 Group-specific estimates of the long-run coefficients(capacity proxy: )      53
Table 24 Pooled MG estimates and MG estimates (capacity proxy: )                55
Table 25 Group-specific estimates of the long-run coefficients (capacity proxy: )      55
Table 26 Pooled MG estimates and MG estimates (capacity proxy: )                56
Table 27 Group-specific estimates of the long-run coefficients (capacity proxy: )      57
4.4 Consideration of total return framework
Table 28 Testing of cointegration between underwriting and investment activities       61
Table 29 Estimates of ARDL model for various insurance lines                      63
Table 30 Estimated long run relationship between underwriting and investment activities  67
Table 31 Estimated short run relationship between underwriting and investment activities 67

List of Figures

Chapter 4 Empirical Results 
4.1 Data descriptions                                          
Figure 1 Combined ratios for nine major insurance lines                            29
Figure 2 Combined ratios for 19 major insurance lines                             30                                           
4.2 Bounds testing and ARDL estimation                                          
Figure 3 Plots of cumulative sum of recursive residuals and squares of recursive residuals 
for whole industry underwriting profit equation                                   32
Figure 4 Plots of cumulative sum of recursive residuals and squares of recursive residuals 
for various insurance lines (Independent variables not including the dummy variable)     42
Figure 5 Plots of cumulative sum of recursive residuals and squares of recursive residuals 
for various insurance lines (Independent variables including the dummy variable)        43
4.3 Panel ARDL analysis
4.4 Consideration of total return framework
Figure 6 Plots of cumulative sum of recursive residuals and squares of recursive residuals 
for various insurance lines                                                    66

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