CAJ | 학술논문

基于主成分分析方法评估保险公司的系统重要性，实现对原始指标体系的降维和去相关性，从而构建我国系统重要性保险公司评估指标体系；并结合旋转载荷数据分析各原始指标对主成分的影响力，使用主成分预测得到我国寿险业和产险业系统重要性保险公司排名。结果显示，在构建的原始指标体系中，总资产、二级分支机构数量和投资收益指标对评估结果具有重要影响力。在预测的排名中具有系统重要性的产险公司不仅在总量上多于寿险公司，而且相对集中于高级别的区间，一旦被触发出现危机，其对保险行业乃至整个金融体系带来危害的可能性更高，且危害的程度可能更深。此外，记录的10家保险集团下的产、寿险公司均具备系统重要性，建议监管当局审慎对待保险公司集团化趋势。
기우주성분분석방법평고보험공사적계통중요성，실현대원시지표체계적강유화거상관성，종이구건아국계통중요성보험공사평고지표체계；병결합선전재하수거분석각원시지표대주성분적영향력，사용주성분예측득도아국수험업화산험업계통중요성보험공사배명。결과현시，재구건적원시지표체계중，총자산、이급분지궤구수량화투자수익지표대평고결과구유중요영향력。재예측적배명중구유계통중요성적산험공사불부재총량상다우수험공사，이차상대집중우고급별적구간，일단피촉발출현위궤，기대보험행업내지정개금융체계대래위해적가능성경고，차위해적정도가능경심。차외，기록적10가보험집단하적산、수험공사균구비계통중요성，건의감관당국심신대대보험공사집단화추세。
Principal component analysis method (PCA) which implementation to reduce the dimension of the original indicators system is used to evaluate the insurers’system importance. The rotating load data shows the influence of original index on principal components. And the principal components forecast give us insurers’system importance ranking of life insurance industry and property and casualty insurance industry. The results suggest that the total assets, the number of the second level branches and the investment income index have important influence on the evaluation results in the construction of the original index system. In the prediction of the rankings, system important property and casualty insurers not only in total more than life insurers, and relatively concentrated in the high-level interval. Once triggered a crisis, they have bigger possibility to cause more harmful damage on the whole insurance industry and even the whole financial system. In addition, this paper records all casualty, life insurers in 10 insurance groups tend to system importance, this phenomenon reminds regulatory authorities to take a cautious approach to the insurance group’s trend.