Sains Malaysiana 43(9)(2014): 1439–1450

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

Received: 25 September 2013/Accepted: 10 January 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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*Corresponding author; email: rubayah@ukm.edu.my