Journal of Insurance and Finance 2021 KCI Impact Factor : 0.67

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2007, Vol.18, No.1

  • 1.

    Impact of Bancassurance on Cost Efficiency and Productivity Change in the Korean Life Insurance Industry

    Kim Jae-Hyun | 2007, 18(1) | pp.3~40 | number of Cited : 34
    Abstract PDF
    This study applies DEA and Malmquist Index to investigate impact of bancassurance on the cost efficiency and productivity changes of the Korean life insurance industry. Complementary measures, including profile analysis, nonprarametric analysis, and regression analysis, are conducted for 18 life insurance companies for the period of 2000-2005. The results show that bancassurance does not have a significant impact on the cost efficiency in spite of its positive influence on the productivity. This implies that bancassurance can neither decrease life insurers' cost nor increase consumers welfare to achieve its primary objective. This study also suggests that the efficiency of bancassurance may be restricted by the rigid regulation as well as the check and balance between banks and life insurance companies.
  • 2.

    Disposal Income Elasticity of the Personal Pension Savings and Its Deduction Effect

    JEON, SEUNG-HOON , Kang Sung-Ho , Lim Byung-In | 2007, 18(1) | pp.41~72 | number of Cited : 15
    Abstract PDF
    We measured the disposal income elasticity of the personal pension savings(hereafter, PPS) and analyzed its deduction effect. As a result, we found that the disposal income elasticity of the PPS was 0.404 during 1994-1997, 0.153 in 1998, and 0.31 in 2001, and the benefits of the PPS deduction were relatively beneficial to the high-income brackets. Although the PPS deduction was introduced to encourage a voluntary income security for the old-age, our empirical results imply that the PPS deduction does not function as an incentive for the low-income brackets. Thus, new alternatives are needed to introduce and implement so as to help the low-income earners prepare for sufficient income to expend during the old-age.
  • 3.

    A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR

    Cha Il-Kweon | 2007, 18(1) | pp.73~101 | number of Cited : 3
    Abstract PDF
    This paper focuses on finding Maximum Guarantee Limit of Construction Bond using Monte Carlo Simulation and VaR(Value at Risk) methodologies. VaR is an efficient risk management method to measure the largest loss expected in the financial industry where risk factors significantly influence the values of portfolios. Through the empirical analysis using 10 accident year data of Construction Bond Insurance we show the current solvency regulation of Construction Bond insurance is not adequate to sustain insurer's financial strength because of its sensitivity to economic condition and chain reaction. Therefore, the Financial Supervisor Authority needs to consider new regulation reflecting the characteristics of Construction Bond Insurance such as the Maximum Guarantee Limit which limits maximum amount of liability to a couple of times its economic capital.
  • 4.

    A Markov Chain Model of the Contribution Behavior of the National Pension Insured Persons

    Ki-Hong Choi | 2007, 18(1) | pp.103~136 | number of Cited : 4
    Abstract PDF
    This paper applies the methodology of Markov chain work-life table in modelling the contribution behavior of National Pension insured persons. This model enables us to model the transition pattern between types of coverage, namely workplace based insured or individually insured in the National Pension system. It is well known that there are significant differences in the amount of monthly contributory incomes as well as in the intensity of contribution by types of coverage, which has been major troubles in constructing realistic models of contribution behavior for the insured persons. In theory, this paper proves that the backward recursion formular of Hoem(1977) and the forward recursion formular of BLS in the work-life expectancy literature have identical solution and identified the closed form solution. The solution provides the formular for expected sojourn time at each age since the insured person enters the National Pension system. The expected sojourn time at each age also provides weighted averaged contributory incomes as well as the cumulative insured period net of non-contribution period due to unemployment etc. This Markov chain contribution model combined with actuarial pension benefit model can make a complete probabilistic contribution-pension benefit model for the National Pension system of Korea.
  • 5.

    Identification of Insurer Insolvencies Using the Cox Proportional Hazard Model

    Sukho Lee | 2007, 18(1) | pp.137~170 | number of Cited : 0
    Abstract PDF
    Using another useful statistical model for failure prediction, which is the Cox proportional hazard model, this study attempts to verify and confirm the results of Lee(2005). The results of this study support most of the findings of Lee(2005). In other words, under the frame of the Cox proportional hazard model like the logit model, efficiency measures has tuned out to be important factors in identifying and forecasting insurer insolvencies again. Also, the results of the study support another finding of Lee(2005) that the efficiency variable sets add significant explanatory power to the financial ratio variable sets. Meanwhile, this study also finds that overall, the Cox proportional hazard model has comparable ability to the logit model in identifying and forecasting insurer insolvencies. In the sense that both logit and Cox proportional hazard model convey important information regarding insolvency of property-liability insurers, the combined use of both statistical models in identifying and predicting insolvency of insurers would be desirable. And its performance should be improved with the inclusion of efficiency measures as explanatory factors into the model.