The Effects of Inflation on the Performance and Premium Production of Insurance Companies in Turkey

Yıl 2023, , 59 - 82, 31.03.2023

Necla Tunay , K. Batu Tunay

https://doi.org/10.30784/epfad.1245708

Cited By: 1

Öz

In this study, it has been investigated how extent the performances and premium production of insurance companies are affected by inflation in Turkey, where inflation rates gradually accelerate. The effects of inflation were examined using two samples covering the periods 2006:1-2022:3 for profitability ratios and 2008:4-2022:3 for premium production. In the analyses, short and long-term causality between inflation and profitability rates were investigated with alternative time series techniques. In addition, the effects of inflation on the performance and premium production of insurance companies are examined with autoregression models in which the main explanatory variable is the inflation rate. For some insurance companies, short-term and long-term causality relationships with inflation have been determined in terms of certain performance criteria and premium production. These relations are generally unidirectional from inflation to premium production. Profitability measures and premium production are either not affected by inflation at all or are positively affected. It can be said that insurance companies have somehow managed to protect themselves from the effects of inflation. This may be due to the premiums being updated according to the changes in the inflation rate. Another reason may be that insurance companies increase their financial profitability with an effective fund management.

Anahtar Kelimeler

Insurance Companies, Performance, Premium Production, Time Series Analysis, Autoregression

Türkiye’de Enflasyonun Sigorta Şirketlerinin Performansına ve Prim Üretimlerine Etkileri

Öz

Bu çalışmada, enflasyon oranlarının giderek hız kazandığı Türkiye’de, sigorta şirketlerinin performanslarının ve prim üretimlerinin enflasyondan nasıl etkilendiği araştırılmıştır. Karlılık oranları için 2006:1-2022:3 ve prim üretimi için de 2008:4-2022:3 dönemlerini kapsayan iki örneklem kullanılarak enflasyonun etkileri incelenmiştir. Analizlerde alternatif zaman serisi teknikleriyle, enflasyon ile karlılık oranları arasındaki kısa ve uzun dönemli nedensellikler araştırılmıştır. Buna ek olarak, başlıca açıklayıcı değişkenin enflasyon oranı olduğu ardışık bağlanımlı regresyon modelleriyle enflasyonun sigorta şirketlerinin performansları ve prim üretimleri üzerindeki etkileri incelenmiştir. Bazı sigorta şirketleri için kimi performans ölçütleri ve prim üretimi açısından enflasyon ile kısa ve uzun dönemli nedensellik ilişkileri belirlenmiştir. Bu ilişkiler genelde enflasyondan prim üretimine doğru tek yönlüdür. Karlılık ölçütleri ve prim üretimi, enflasyondan ya hiç etkilenmemekte ya da pozitif etkilenmektedir. Sigorta şirketlerinin, bir şekilde enflasyonun etkilerinden korunmayı başardığı söylenebilir. Bu durum primlerin enflasyon oranındaki değişmelere göre güncellenmesinden ileri gelebilir. Bir diğer neden de sigorta şirketlerinin etkin bir fon yönetimi ile mali karlılıklarını yükseltmeleri olabilir.

Anahtar Kelimeler

Sigorta Şirketleri, Performans, Prim Üretimi, Zaman Serisi Analizi, Ardışık Bağlanımlı Regresyon

Kaynakça

• Ahlgrim, K.C. and D’Arcy, S.P. (2012). The effect of deflation or high inflation on the insurance industry (Canadian Institute of Actuaries, Society of Actuaries Paper). Retrieved from https://www.casact.org/sites/default/files/database/naaccrg_final_report.pdf
• Babbel, D.F. (1979). Measuring inflation impact on life insurance costs. The Journal of Risk and Insurance, 46(3), 425-440. https://doi.org/10.2307/252457
• Babbel, D.F. (1980). A mathematical note on inflation, regulation, and the cost of life insurance. The Journal of Risk and Insurance, 47(1), 152-156. https://doi.org/10.2307/252687
• Babbel, D.F. (1981). Inflation, indexation, and life insurance sales in Brazil. The Journal of Risk and Insurance, 48(1), 111-135. https://doi.org/10.2307/252655
• Bohnert, A., Gatzert, N. and Kolb, A. (2016). Assessing inflation risk in non-life insurance. Insurance: Mathematics and Economics, 66, 86-96. https://doi.org/10.1016/j.insmatheco.2015.11.003
• Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431. https://doi.org/10.2307/2286348
• Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
• Dorofti, C. and Jakubik, P. (2015). Insurance sector profitability and the macroeconomic environment (EIOPA Financial Stability Report Thematic Articles No. 4). Retrieved from https://www.eiopa.europa.eu/publications/insurance-sector-profitability-and-macroeconomic-environment_en
• Engle, R.F. and Granger, C.J. (1987). Co-integration and error correction - representation, estimation and testing. Econometrica, 55, 251-78. https://doi.org/10.2307/1913236
• Eren, M.V. ve Çütcü, İ. (2021). Sigortacılık sektörü ile seçili makroekonomik değişkenler arasındaki ilişkinin ampirik analizi: Türkiye örneği. Türk Sosyal Bilimler Araştırmaları Dergisi, 6(2), 130-140. http://tursbad.hku.edu.tr/
• Ferezagia, D.V. (2020). Dynamic life insurance premium-to-GDP under inflation risk: Comparing Indonesia and the Philippines. Advances in Social Science, Education and Humanities Research, 426, 39-45. https://doi.org/10.2991/assehr.k.200331.118
• Granger, C.W.J. (1969). Investigating causal relation by econometric and cross-sectional method. Econometrica, 37, 424–438. https://doi.org/10.2307/1912791
• Granger, C.W.J. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16, 121-130. https://doi.org/10.1016/0304-4076(81)90079-8
• Han, N.W. and Hung, M.W. (2017). Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks. Insurance: Mathematics and Economics, 73, 54-67. https://doi.org/10.1016/j.insmatheco.2017.01.004
• Hofflander, A.E. and Duvall, R.M. (1967). Inflation and sales of life insurance. The Journal of Risk and Insurance, 34(3), 355-361. https://doi.org/10.2307/250850
• Karl, K., Holzheu, T. and Laster, D. (2010). The impact of inflation on insurance (Sigma Technical Report No. 4). Retrieved from https://www.swissre.com/institute/research/sigma-research/sigma-2010-04.html.
• Kwak, M. and Lim, B.H. (2014). Optimal portfolio selection with life insurance under inflation risk. Journal of Banking and Finance, 46, 59-71. https://doi.org/10.1016/j.jbankfin.2014.04.019
• Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
• Linton, M.A. (1933). The effect of inflation upon life insurance. Proceedings of the Annual Meeting (American Association of University Teachers of Insurance), Vol. 1(Dec. 29, 1933). Retrieved from https://www.jstor.org/stable/249811
• Neumann, S. (1969). Anticipated and unanticipated inflation implications to life insurance. The Journal of Risk and Insurance, 36(3), 315-319. https://doi.org/10.2307/251484
• Pesaran, M. and Shin, Y. (1999). An autoregressive distributed lag modeling approach to cointegration analysis. In S. Strom (Ed.), Econometrics and economic theory in the 20th century: The Ragnar Frisch centennial symposium (pp. 371-413). Cambridge: Cambridge University Press. https://doi.org/10.1017/CCOL521633230.011
• Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationship. Journal of Applied Economics, 16, 289-326. https://doi.org/10.1002/jae.616
• Phillips, P.C.B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346. https://doi.org/10.2307/2336182
• Şamiloğlu, F., Eser, F. ve Bağcı, H. (2019). Türkiye’de sigortacılık sektörünün makroekonomik değişkenlerle olan ilişkisi. Ekonomi ve Yönetim Araştırmaları Dergisi, 8(1), 24-40. https://dergipark.org.tr/tr/pub/eyad/
• Şener, Y. ve Behdioğlu, S. (2013). Türkiye sigorta pazarının gelişimindeki ana unsurların belirlenmesine yönelik bir araştırma. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, EYİ 2013 Özel Sayısı, 523-534. Retrieved from https://dergipark.org.tr/tr/pub/dpusbe/