지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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This paper investigated relationship between risk and return of life insurers. The results indicate that systematic risk is not the only factor in determining the risk-return relationship in life insurance companies. Rather, empirical finding of this study reveals that nonsystematic risk is more important than systematic risk for life insurers. If historical relationship between both total risk and beta and various fundamental characteristics of insurers can be verified, it may be easier to forecast future risk. Since a life insurer's risk is conceptually the function of firm's underwriting and investment, insurers' managers may be able to control some of the specific variables in order to explain a very small amount of the variation in beta. Only a growth was found to be significant in explaining beta. Also, growth and dividend yield were to be significant in explaining total risk but overall explanatory power was weak. The empirical finding suggests that insurance industry should be careful in using beta as a proxy for the future estimate of return. Thus, the use of Insurance Capital Asset Pricing Model(ICAPM) in regulating insurance pricing(premium rate making) should be applied very cautiously.
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참고문헌 (17)
참고문헌 신청
Beaver, W. H. / 1970 / The Association between Market determined and Accounting determined Risk Measure / Accounting Review 45 : 654 ~ 682
Biger, N. / 1978 / Risk Consideration in Insurance Rate Making / Journal of Risk and Insurance 44 : 121 ~ 132
Cummins, David J. / 1996 / Capital and Risk in Property-Liability Insurance Markets / Journal of Banking and Finance 20 : 1069 ~ 1092
Cummins, J. D. / 1985 / Property-liability Insurance Rate Regulation: Estimating of Underwriting Betas using Quarterly Data / Journal of Risk and Insurance 52 : 16 ~ 43
D'Arcy, Stephen P. / 1990 / Property-Liability Insurance Pricing Models: An Empirical Evaluation / Journal of Risk and Insurance 57 : 391 ~ 430
Biger, N. / 1978 / Risk Consideration in Insurance Rate Making / Journal of Risk and Insurance 44 : 121 ~ 132
Cummins, David J. / 1996 / Capital and Risk in Property-Liability Insurance Markets / Journal of Banking and Finance 20 : 1069 ~ 1092
Cummins, J. D. / 1985 / Property-liability Insurance Rate Regulation: Estimating of Underwriting Betas using Quarterly Data / Journal of Risk and Insurance 52 : 16 ~ 43
D'Arcy, Stephen P. / 1990 / Property-Liability Insurance Pricing Models: An Empirical Evaluation / Journal of Risk and Insurance 57 : 391 ~ 430
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