2004, Vol.15, No.1

Journal of Insurance and Finance 2023 KCI Impact Factor : 0.59

pISSN : 2384-3209
https://journal.kci.go.kr/kiri

The purpose of this paper is to develop the composite performance variable which reflects the performance of life insurance companies objectively, scientifically, and also specifically. The insurance companies are classified on the basis of the composite performance developed and the characteristics of insurance companies explaining high and low composite performance are also analysed. The composite performance variable is measured by the mixture of cost efficiency, profitability, and financial soundness. The principal component analysis is employed in measuring the composite performance variable.The findings of this paper are summarized as follows. Firstly, the composite performance variable is more appropriate for the performance of insurance companies than a single performance variable such as cost efficiency, profitability, or financial soundness. Secondly, we observe major and some foreign life insurance companies showing high composite performance. On the contrary, small and medium sized companies and the other foreign life insurance companies exhibit low composite performance. Finally, size and the bond ratio reflecting the characteristic of investment portfolio influence the composite performance positively but the protection ratio is negatively related to the composite performance.

It is generally believed that there have been some problems in the economies of scope studies in the property-liability insurance industry. This paper tries to overcome those problems by applying new methodology to the measurement of the quasi-economies of scope in the industry. Results imply that in 2000 the US property-liability insurance industry exhibited about 30% of the quasi-economies of scope in costs and that the estimates are statistically significant. We also find similar results in 1994 and 1997. The study also shows that the estimates from the composite cost function are more realistic and stable than those from the Translog cost function. Overall, the results of the paper seemto support, at least in terms of costs, the consolidation activities of property-liability insurers frequently performed during the late of 20th century .

In a defined benefit pension plan, the benefits to be paid out to qualified members are defined according to pre-determined benefit formula. Hence, funding and investment strategy plays a key role in managing pension plans. In this research, we focus on deriving an optimal spread pension funding plan in view of the long-term and going concern valuation basis. In general, the spread funding plan has such a meaning as a process of allocating pension costs smoothingly in a systematic and rational manner. Recently, one of the critical issues in pension profession is how to design the pension funding plan providing simultaneously the pension contribution stability and fund solvency in a defined benefit pension plan. This paper could give an efficient and admissible solution to this issue in view of optimal control. Methodology used in this paper is that firstly, a model is used to represent the financial cash-flow structure of a defined benefit pension plan; secondly, ultimate mean-variance model is derived in view of optimal control theory; and lastly, we adopt the nonlinear programming approach for optimal solution. Our results would be a new application of control theory and an admissible extension to the current pension funding theory and practice.