Journal of Insurance and Finance 2021 KCI Impact Factor : 0.67

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pISSN : 2384-3209
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2013, Vol.24, No.1

  • 1.

    The Effects of Risk-Based Capital Regulation on Capital, Asset Risk and Performance of Life Insurance Companies

    박경국 , CHAY, JONG BOM | 2013, 24(1) | pp.3~32 | number of Cited : 2
    Abstract PDF
    This paper empirically examines the effects of risk-based capital requirement on capital, asset risk, sales and profitability of life insurance companies in Korea. According to the results of 2SLS regression analysis based on simultaneous equations system, the adjustment speeds to the target levels of asset risk, sales, and profitability have increased for the companies under regulatory pressure of risk-based capital requirement. According to the difference-in-difference analysis, the introduction of risk-based capital requirement has decreased asset risks of life insurance companies. However, we do not find any concrete evidence that risk-based capital requirement restricted sales and profitability of life insurance companies.
  • 2.

    Risk-Sharing between Large Firms and SMEs and Investment - The Role of Finance -

    Ha, Joonkyung , HAN JAE JOON | 2013, 24(1) | pp.33~65 | number of Cited : 1
    Abstract PDF
    We study the role of finance for boosting domestic demand, focusing on its function of rebuilding the relationship between large firms and SMEs (Small and Medium Enterprises). In particular, we suggest financing policies that enhance trickle-down effects from large exporters to domestic players by facilitating risk-sharing between them through financial sector. In the Korean economy, there has been a huge gap in market power between large export-oriented firms and domestic-oriented SMEs. Thus SMEs have been bearing too much burden of risks compared with their counterparts when they deal with large firms. For example, when SMEs consider to invest in plant and equipment for the production of a certain large-firm-specific intermediate good, large firms often show a tendency of not disclosing whether to purchase the product in advance. If so, the SMEs have to take all the risks of investment outcome. This kind of hold-up problems contribute to weak domestic demand due to the aggravated profit of SMEs as well as the shrinking trend of investment in plant and equipment. Thus, it is worthwhile to consider giving direct incentives to large firms for sharing such investment risks with SMEs when SMEs invest in plant and equipment for large-firm-specific goods. Such measures will also be helpful for enhancing the profit of financial sector because it will lower the SMEs’ default risk.
  • 3.

    A Two-Factor Model of the Term Structure of the Swap Spread with Stochastic Volatility

    Joon-Hee Rhee , 박수천 , 김재윤 | 2013, 24(1) | pp.67~88 | number of Cited : 0
    Abstract PDF
    This paper develops a two-factor model of the term structure of the swap spread. In our model, the swap spread depends on 1) the instantaneous swap rate as the first factot and 2) the stochastic volatility of the swap spread as the second factor. We propose the closed form solution of swap spread from the chosen two factors. We estimate the stochastic volatility from the GARCH(1,1) model. We also test our model by using GMM based on the cross sectional data. The empirical result shows that the volatility is not significant for explaining the term structure of swap spread, but the first factor model has the explanatory power for the term structure of swap spread in Korean market.
  • 4.

    The Price Effects of Online Car Insurance Using Expense Rates

    Daigyo Seo , 황진태 | 2013, 24(1) | pp.89~111 | number of Cited : 4
    Abstract PDF
    This paper analyzes the effects of price by online car insurance using expense rates of 14 non-life car insurance companies during the period 1999-2012. We find that overall, the expense rates of online business are lower by 9.27 percent than those of offline one in the whole sample. In addition, the log expense rates of car insurance companies have a significant negative relationship with newly running online channels along with the existing offline one, implying that the operation of online business may reduce the expense rates. Moreover, the expense rates of the car insurance companies only with online channels are lower by 38~40 percent than those with offline channels only. In addition, their expense rates are lower by 32 percent or so than those with both offline and online channels. Finally, the dispersion of expense rates of the former is larger than that of the latter, and their dispersion of expense rates when running both online and offline is larger than when offline only.
  • 5.

    A Pricing Model for Deposit Insurance Targeting Insurers as the Insured - An Approach Based Upon Discrete Time Framework -

    Oh Kiseok | 2013, 24(1) | pp.113~137 | number of Cited : 3
    Abstract PDF
    This paper extends Oh(2012) into the deposit insurance targeting insurers as the insured. The pricing models for deposit insurance targeting insurers as the insured suggested in the literature have theoretical justifications. However, it is difficult to calculate risk-based deposit insurance premiums with them because they are based upon the continuous time framework. Since the pricing model for deposit insurance targeting insurers as the insured suggested in this paper is based upon DTMCC(discrete time model for contingent claims) it is possible to calculate risk-based deposit insurance premiums with the model. According to the simulation using the model, the effects of the underwriting and investment policies of an insurer on its risk-based deposit insurance premium are similar. Meanwhile, the effects are smaller than those of the ultimate solvency of an insurer.
  • 6.

    A Study on GA Business Model Using Generalized Logit Model and Multiple Correspondence Analysis

    Heuiju Chun , Ahn Chul-Kyung | 2013, 24(1) | pp.139~168 | number of Cited : 6
    Abstract PDF
    In this study, on the basis of broad questionnaire about GA, we tried to find GA business model directions using generalized logit model and correspond analysis with factors affecting them, which are GA management strategy, sales rule of product, things to be improved in insurance distribution, hindrance of GA growth, threatening channel of GA growth. As a result of generalized logit model, scores such as price to security, commission payment method, relationship with GA employee as a sales product criteria are high, GA prefer financial centric or network centric GA model. On the contrary, as sales commission level as a sales product criteria, enlargement of sales commission distribution as urgence of policy issue are high, GA prefer sales centric GA model. As a result of correspondence analysis, sales centric GA model is related with new solicit expansion, other company solicit acquisition,solicit education about compliance and incomplete sale, management of conflict among employees, financial management such as solicit salary. Sales centric GA model think new channel such as TM, alliance, internet as most threatening channel. Financial centric GA model is related with construction of financial design service, sales expansion, management of solicit settlement rate, solicit specialization, coping with policy and supervision change, commission negotiation with insurance company and think bancassuance as most threatening channel. On the contrary,network centric GA model has relationship with continuous contract rate, computer service system construction, supervision of branch managers, manager cultivation and think insurance dircet channel as threatening channel.