﻿ 寿险业资产与保险配置对资产报酬率与损失率之纵横面资料分析

# 寿险业资产与保险配置对资产报酬率与损失率之纵横面资料分析 Panel Data Analysis on the Effect of Asset Returns and Loss Ratios on Life Insurance Company’s Assets and Insurance Allocation

Abstract: By collecting Panel Data, this study investigates how life insurance company’s asset and insurance allocations affect asset returns and loss ratio. First, the asset returns and loss ratio of each life insurance company each year are treated as response variables and cluster analysis is used to grouping the companies into observations of two groups. Then principle component analysis is applied to construct the model of asset and insurance allocations of observations of two groups. Finally, find the effects of asset and insurance allocations on asset of returns and loss ratio by regression model for panel data. The findings show that ROA is applicable to the random model and the loss ratio is applicable to the fixed effect model. Furthermore, there exist the interaction effects between asset allocation and insurance allocation. The two groups of companies also exist interaction effects on asset and insurance allocation. Finally, there exist different asset and insurance allocation effect on asset returns and loss ratio.

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