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題名：法令壓力、特許權價值與產險公司風險承擔行為之整合分析
作者：賴怡洵 引用關係
作者(外文)：Lai, Yi-Hsun
校院名稱：國立中正大學
系所名稱：財務金融研究所
指導教授：林文昌
學位類別：博士
出版日期：2005
主題關鍵詞：法令壓力假說；特許權價值假說；風險承擔行為；風險性基礎資本；資本結構；平均選擇權訂價模式；產險業；regulatory pressure hypothesis；franchise value hypothesis；risk-taking behavior；risk-based capital；capital；average option pricing model；property-liaibility
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論文摘要
Cummins（1988）的理論模型，指出齊一式訂價之保險安定基金制度下，保險公司會無限制增加風險承擔行為（risk-taking behavior）使其公司的違約賣權價值（default put option）極大化，進而使得公司價值極大。然而從產險公司的資產配置可觀察到，保險公司並不會無限制增加風險承擔行為（Lee, et. al., 1997），這主要是保險公司風險承擔行為受到兩種自我約束工具（self-discipline devices）之影響，分別是保險公司的特許權價值（franchise value）及1994年所實施的風險基礎資本要求（risk-based capital requirement）法令所產生之法令壓力（regulatory pressure）。自從1994年美國保險監理官（NAIC）對產險業實施風險基礎資本要求法令後，產生一個有趣的問題：產險公司如何反映資本要求，即是資本要求法令對低於或瀕臨最小資本要求門檻（200％ RBC ratio）的產險公司之懲罰行動所產生的法令壓力及法令懲罰成本是否足以使得保險增加資本比例（capital ratio）或降低風險。
本文是首篇利用且修正平均選擇權訂價模式於保險產業RBC法令有效性探討的研究，利用平均選擇權路徑相依的概念來補抓產險公司過去資本波動與碰觸最小法令要求門檻的機率、預期成本的問題，進而反映兩種法令壓力來源，進而了解風險基礎資本要求法令所產生法令壓力調整成本如何透過資本與風險決策來影響保險公司的價值，即是建立純粹法令壓力理論模型。更進一步考慮特許權價值於我們修正後的純粹法令壓力之平均選擇權訂價模式中，即是同時考慮特許權價值與風險基礎法令要求對保險公司的資本與風險決策及價值的影響，透過本文理論模型進而了解特許權價值與風險基礎法令要求在抑止保險公司風險承擔行為上之關聯關係（interdependent）。本文除了提供理論模型的觀點外，我們也進一步使用美國產險公司財務年報資料及聯立迴歸模式之概念來探討RBC法令與特許權價值在抑止風險承擔行為之關聯性關係（interdependent），本文使用標準化RBC比例（standardized RBC ratio）補抓兩種RBC法令所產生的法令壓力來源及採行類似Levonian（1991）、Gizycki and Levonian（1993）的特許權價值的衡量定義以降低大量樣本偏誤問題（sample bias），以同時檢測法令壓力假說（regulatory pressure hypothesis）、特許權價值假說（franchise value hypothesis）及兩種風險控制工具之關聯性問題。
本文研究結果有以下幾點：
就理論模型之重要情境模擬結果顯示：
（1） 在法令最小要求門檻附近的產險公司採行增加資本或降低整體風險決策。在法令最小要求門檻附近徘徊的產險公司因面對較大的法令壓力及法令壓力調整成本影響效果，故在法令最小要求門檻附近的產險公司為了降低法令壓力調整成本對其資本或整體風險變動的敏感度（sensitively），則這類的產險公司會選擇低風險承擔行為，即是增加資本、降低整體風險。
（2） 就遠離法令監理行動標準的產險公司而言，不管是持有大量超額資本緩衝的產險公司或為資本嚴重不足的產險公司，這兩種產險公司因法令壓力調整成本對其資本或整體風險的變化不具有敏感度（inelasticity），故這兩種保險公司不會因RBC所產生法令壓力而增加資本及降低風險。
（3） 當保險公司面臨高法令壓力調整成本或高特許權價值的情境時，這兩種抑止工具只要存在有一種即可：反之，隨著法令壓力調整成本或高許權價值下降到中低情境時，則兩種抑止工具必須共存（coexistence）。
就實證結果顯示：
（4） RBC法令壓力假說檢測顯示，RBC法令壓力會促使高法令壓力的產險公司持有較高的資本比例、降低風險；高法令壓力的產險公司相較低法令壓力產險公司在資本與風險調整速度為快，且高法令壓力的產險公司透過增加資本降低風險的策略來重建資本緩衝水準，故支持法令壓力假說。
（5） 特許權價值假說檢測顯示，高特許權價值的產險公司持有較低的資本比例、從事較高資產風險、產品風險；高特許權價值的產險公司相較低特許權價值產險公司在資本調整速度為快，但高特許權價值的產險公司相較低特許權價值產險公司在產品風險調整速度為慢；就緩衝資本重建策略來看，低特許權價值的產險公司採行增加資本降低風險的策略來重建資本緩衝水準，而高特許權價值的產險公司採行同時增加（降低）資本與風險的策略來重建資本緩衝水準，故不支持特許權價值假說。
（6） RBC法令壓力與特許權價值之關聯性檢測顯示：在同時考慮RBC法令壓力與特許權價值等兩種風險控制工具時， RBC法令會使得高法令壓力的產險公司降低產品風險、加快產品風險與資產風險的調整速度，而特許權價值並不會使得高特許權價值產險公司隨著特許權價值增加降低資產風險、產品風險或加快資產風險與產品風險調整速度。資本緩衝水準重建策略同時受到RBC法令壓力與特許權價值的影響。但RBC法令壓力對資本、資產風險或產品風險的變動較特許權價值具有較大的敏感度，故在RBC法令制度實施後，RBC法令壓力在抑止產險公司風險承擔行為上的效果大於特許權價值，此一實證結果支持本文的理論模型，即是顯示RBC法令壓力與特許權價值在抑止風險承擔行為上具有共存關係（coexistence），且高法令壓力產險公司對於資本與風險變動的敏感度大於高特許權價值者。
關鍵字：法令壓力假說, 特許權價值假說, 風險承擔行為, 風險性基礎資本, 資本結構, 亞式選擇權訂價模式, 產險業
Abstract
It is known that, under existing guaranty fund regulation, insurers are not punished for their over risk-taking behaviors (Cummins, 1988; Brewer et al., 1996). However, in real world, insurers are found to be self-disciplined from over risk-taking possibly due to several reasons. Among them, franchise value and regulatory pressure are known as two critical incentives, which drive a P/L insurer to be conservative in its capital and assets allocation decisions. They both had been investigated by several previous studies, respectively. The first purpose of this paper is to develop a financial option-based valuation model by accounting for the effect of franchise value and regulatory pressure based on the Average Option pricing model; so that we can examine the ambiguous capital and risk decisions for a P/L insurance firm more realistically. The second purpose of this paper is to test the regulatory pressure hypothesis, franchise value hypothesis. The last analysis of this paper is to integrate the analysis of the effects of franchise value and regulatory pressure on risk taking behavior. We investigate the ambiguous relationship between franchise value and regulatory pressure, thus conclude if there are any substitution, complementary, or coexistence effects between the two devices.
We include the distribution and ownership forms of insurers, insurers’ financial specifications, standardized RBC ratio, and franchise value as the principal explanatory variables. The empirical findings indicate that the insurers with high regulatory pressure increase more capital and decrease more their asset risk and product risk than insurers with low regulatory pressure, therefore we see that the higher regulatory pressure to an insurer, a larger influence, in term of standardized RBC, appear on insurers’ capital, asset and product risks, as well as a faster adjustment in capital level and portfolio risk. Insurers with high regulatory pressure try to rebuild an appropriate capital buffer by raising capital and lowering asset risk and product risk In contrast, insurers with low regulatory pressure try to maintain their capital buffer by increasing risk when capital increase. Hence, our empirical results support regulatory pressure hypothesis.
However, the empirical findings of franchise value hypothesis display that the insurers with high franchise value hold less capital and more asset risk and product risk as franchise value is increasing. Insurers with high franchise value are faster adjustment in capital level and slower adjustment in product risk than insurers with low franchise value. There are indifferent adjustment in asset risk between insurers with high franchise value and insurers with low franchise value. Insurers with low franchise value try to rebuild an appropriate capital buffer by raising capital and lowering asset risk and product risk In contrast, insurers with high franchise value try to maintain their capital buffer by increasing risk when capital increase. In sum, our empirical results don’t support franchise value hypothesis.
The last analysis of this paper is to integrate the analysis of the effects of franchise value and regulatory pressure on risk taking behavior. There is coexistence relationship between RBC regulatory pressure and franchise value on restraining risk-taking behaviors, but the impact effect of RBC regulatory pressure on restraining risk-taking is larger than the impact effect of franchise value on restrain risk-taking after implementing RBC regulatory.
Key words: regulatory pressure hypothesis, franchise value hypothesis, risk-taking behavior, risk-based capital, capital structure, average option pricing model
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