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研究生： 江敬雯
Chiang, Ching-Wen
論文名稱： 資本結構與再保險：以英國壽險為證
Capital Structure and Reinsurance: Evidence from the United Kingdom Life Insurance Industry
指導教授： 許永明
Shiu, Yung-Ming
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際企業研究所
Institute of International Business
論文出版年： 2009
畢業學年度： 97
語文別： 英文
論文頁數： 47
中文關鍵詞： 再保險 、財務槓桿 、資本結構
外文關鍵詞： capital structure, leverage, reinsurance
相關次數： 點閱：151  下載：0 
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    • 根據MM資本結構理論，在完美效率市場中，財務決策對資本結構是無關的。因此，像是再保險的風險管理工具在完美效率市場中只會造成無謂的成本，並不會提升公司價值。但現實市場中，完美效率市場是不存在的，因為存在著許多資訊不對稱、稅率和交易成本等問題。因此，愈來愈多公司使用風險管理工具來分散風險或是避險。

    從過去的文獻，我們發現在保險業中，公司的資本結構對再保險需求有很重要的影響。然而，我們也發現再保險的需求對公司資本結構也有很重要的影響。在此篇論文中，我們用財務槓桿與再保險的使用來檢視保險公司的資本結構與再保險需求是同時被決定的。我們使用1985到2006年英國人身保險資料庫的資料及兩階段迴歸的方法來檢驗資本結構與再保險的關係。我們發現結果符合財務困難成本理論(financial distress cost argument)、代理成本理論(agency cost theory)及風險忍受假說(risk-bearing hypothesis)，風險越高的財務槓桿會增加再保險的需求，同時，也符合資本租用假說(renting capital hypothesis)，再保險的需求增加也會增加保險公司的財務槓桿。

    Under MM irrelevance theory, risk managements such as reinsurance are irrelevant in perfect markets. However, the markets are imperfect in fact. From literature review, we find that firms’ capital structure have strong impact on reinsurance in insurance industry. However, we also find that it might have the reverse causality relation from capital structure and reinsurance .In other words, reinsurance also have effect on leverage. In this paper, we will examine that an insurer’s capital structure and reinsurance are jointly determined. We use a data set of U.K. life insurers from 1985 through 2006 and examine two equations by simultaneous system. We find that higher leverage would increase the demand for reinsurance which is consistent with the financial distress cost argument, the agency cost theory and the risk-bearing hypothesis. Also, the demand for reinsurance increase would increase insurer’s leverage which is consistent with the renting capital hypothesis.

    Chapter1 Introduction 1 1.1 Introduction 1 1.2 Institutional background 5 Chapter 2 Literature Review and Hypothesis 7 2.1 The effects of leverage on reinsurance 7 2.2The effects of reinsurance on leverage 9 Chapter 3 Methodology and Data 12 3.1 Methodology and Framework 12 3.2 Data 14 3.3 Variables 14 3.3.1Dependent Variables 14 3.3.2 Control Variables 15 Chapter 4 Empirical Results 21 4.1 Univariate Results 21 4.2 Multivariate Results 22 4.2.1 Results for Equation (1) 23 4.2.2 Results for Equation (2) 24 4.3 Robustness Checks and Further Tests 26 4.3.1Effect without Time Lag 26 4.3.2 Effect in Two Periods 26 4.3.3 Alternative Proxy for Leverage 27 Chapter 5 Conclusion 28 References 30 Table 1 Variable Definition 33 Table 2 Descriptive Statistics 35 Table 3 Correlation Coefficient Matrix 36 Table 4 Effects of Leverage on Reinsurance 38 Table 5 Effects of Reinsurance on Leverage 39 Table 6 Effect without Time Lag 40 Table 7 Effect in Two Periods: 1985~1995 42 Table 8 Effect in Two Periods: 1996~2006 44 Table 9 Alternative Proxy for Leverage 46

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