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Two-Stage DEA Method in
Identifying the Exogenous Factors of Insurers’ Risk
and Investment Management Efficiency
(Kaedah DEA Dua-Peringkat
dalam Mengenal Pasti Faktor Luaran Terhadap Kecekapan
Pengurusan
Risiko dan Pelaburan Penanggung Insurans)
RUBAYAH YAKOB1*, ZULKORNAIN YUSOP2, ALIAS RADAM2 & NORISZURA ISMAIL3
1School
of Management, Faculty of Economics and Management
Universiti
Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia
2Faculty
of Economics and Management, Universiti Putra Malaysia
43400
Serdang, Selangor, Malaysia
3Faculty
of Science and Technology, Universiti Kebangsaan Malaysia
43600
Bangi, Selangor, Malaysia
Diserahkan:
25 September 2013/Diterima: 10 Januari 2014
ABSTRACT
The objective of this
study was to identify the exogenous variables of risk and investment management
efficiency by using a two-stage data envelopment analysis (DEA)
method. The first stage involves obtaining the efficiency scores of risk and
investment management via DEA that
requires only the traditional inputs and outputs. In the second stage, the
Tobit regression analysis is conducted in which the efficiency score obtained
from the first stage is treated as a dependent variable, while the exogenous
factors are considered to be independent variables. The exogenous factors
consist of operating systems, organizational form, consumer preference and
size. The results showed that the mutual company as well as the takaful system
demonstrate better risk management performance than their stock and
conventional system counterparts. In addition, size is also a significant
indicator for risk management efficiency in which the larger insurer/takaful
operator exhibits better risk management performance than the smaller one.
However, consumer preference is found to be insignificantly correlated with the
efficiency of risk management. In contrast, with risk management,
organizational form, operating system and size are not indicators of the
investment management efficiency, but consumer preference is significantly and
positively associated with investment management efficiency.
Keywords: Efficiency;
exogenous factors; risk and investment management; two-stage DEA
ABSTRAK
Objektif kajian ini
adalah untuk mengenal pasti pemboleh ubah luaran terhadap kecekapan pengurusan
risiko dan pelaburan dengan menggunakan kaedah analisis penyampulan data (DEA) dua-peringkat.
Peringkat pertama melibatkan perolehan skor kecekapan pengurusan risiko dan
pelaburan melalui DEA yang
hanya memerlukan input dan output tradisi. Pada peringkat kedua, analisis
regresi Tobit dijalankan dengan skor kecekapan yang diperoleh dari peringkat
pertama dilayan sebagai pemboleh ubah bersandar, manakala faktor luaran
dipertimbangkan sebagai pemboleh ubah bebas. Faktor luaran terdiri daripada
sistem operasi, bentuk organisasi, keutamaan pengguna dan saiz. Keputusan
menunjukkan bahawa syarikat bersama, begitu juga sistem takaful mempunyai
prestasi pengurusan risiko yang lebih baik berbanding rakan-rakan syarikat stok
dan sistem konvensional mereka. Di samping itu, saiz juga merupakan penunjuk
yang signifikan bagi kecekapan pengurusan risiko syarikat insurans/pengendali
takaful yang lebih besar mempamerkan prestasi pengurusan risiko yang lebih baik
daripada syarikat yang lebih kecil. Walau bagaimanapun, keutamaan pengguna
didapati tidak berkorelasi secara signifikan dengan kecekapan pengurusan
risiko. Berbeza dengan pengurusan risiko, bentuk organisasi, sistem operasi dan
saiz bukan merupakan penunjuk kepada kecekapan pengurusan pelaburan, tetapi
keutamaan pengguna mempunyai hubungan yang signifikan dan positif dengan
kecekapan pengurusan pelaburan.
Kata kunci: APD dua-peringkat; faktor luaran; kecekapan; pengurusan risiko dan
pelaburan
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*Pengarang untuk surat-menyurat; email: rubayah@ukm.edu.my
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