생명보험회사의 자산포트폴리오 다각화와 수익성, 효율성 및 리스크에 관한 실증분석

The purpose of this study is to analyze various impacts of diversification of Korean life insurance companies on profitability, efficiency and risk from 2004 to 2012. In methodology, Network DEA(data envelopment analysis) is employed for measuring efficiency of insurance companies, while two panel data analyses(Panel GLS and GMM) are performed to test the relationship of diversification with profitability, efficiency and risk. In this paper, three types of the diversification are utilized by using Hirschman-Herfindahl Index(HHI); asset diversification, loan portfolio diversification and industry diversification. This paper found the following results: (1) The asset diversification affects positively on the profitability and risk, but it shows a negative relationship with efficiency. (2) The loan portfolio diversification has only a positive relationship with the profitability. (3) The profitability and risk are affected positively by the industry diversification, while the efficiency is affected negatively. (5) The efficiency affects positively on the profitability and risk. Therefore, this paper suggests that Korean insurance companies put their efforts on (1) raising the level of expertise of monitoring and surveillance, and (2) enhancing efficiency level for operating asset when the loans are performed. A further point that requires emphasis involves improving a quality of loan portfolio in the process of diversification of operating assets and loans.