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題名：關於保險公司財務決策的兩個議題
作者：李佩純
作者(外文)：Lee, PeiChun
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：2011
主題關鍵詞：承保循環；公司特性；股權結構；特許權價值；風險；underwriting cycle；firm characteristics；ownership structure；franchise value；risk
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本研究共有二篇論文，分別討論美國產險公司與台灣保險公司的財務決策。不同於過去研究以產業面或險種角度探討承保循環，本研究第一篇論文以公司面觀點，證實美國產險市場存在承保循環不代表所有產險公司都有承保循環，並進一步分析什麼公司特性因素造成公司有、無明顯承保循環，最後，則探討什麼公司特性因素會影響承保循環的強度與週期。實證結果發現證發現(1)844家產險公司中，有73家公司呈現承保循環，其餘771家公司則沒有明顯承保循環現象；(2)保險公司的風險性負債主導了公司面的承保循環；(3)再保險比例與再保險比例變化的增加將加深承保循環強度，而全國型、集團型、或股票型保險公司特性將減緩承保循環強度；(4)損失與損失調整費用波動率、以及保費市佔率波動率的增加將造成承保循環週期的延長，而保險槓桿波動率的增加將造成承保循環週期的縮短。
第二篇論文則是探討國內保險公司的股權與特許權價值對其各種風險的影響。不同於過去文獻，本文以非線性觀點探討不同身份股東持股比例與與特許權價值對保險公司不同風險種類的影響。實證結果發現(1)不同身份股東持股比例對保險公司之不同風險有不同影響；(2)不同身份股東持股比例對保險公司風險承擔存在非線性影響，可能是U型非線性影響，也可能是倒U型非線性影響，須視持股者的身份與風險種類而定；(3)特許權價值並不是所有風險種類有效抑制工具。然而，總的來說，特許權價值除了對保險公司的系統風險與市場風險不具影響性外，對於保險公司的其他風險均具有顯著U型非線性影響；(4)保險公司會因公司規模擴大而愈有多角化分散總風險與公司特有風險效果，然而其承保風險、系統風險、以及市場風險卻因存在too-big-to-fail的心態而增加。
This dissertation constitutes two essays associated with the financial decision-making for the U.S. and Taiwan property-liability (P/L) insurance firms. The first essay attempts to explain the cross-sectional variation of underwriting cycles across insurers by using various firm characteristics. The empirical results reveal that the firm characteristics influencing the cyclical prices are highly dissimilar between insurers with significant cycles and those without significant cycles. We find that the risky-debt hypothesis to explain the cross-sectional cycle variation is more prevalent in the industry than the capacity constraint hypothesis. Besides, we also find that the higher reinsurance ratio can lead to the greater cycle intensity and insurers underwriting business nationally wide, grouped insurers and stock insurers are lore likely to have lower cycle intensity. Finally, we find that higher volatilities of incurred losses/ loss expenses and higher market share could expand the cycle period of an insurer. By contrast, the volatility of insurance ratio and the cycle length are inversely related.
The second essay aims to investigate whether the ownership structure and the franchise value of Taiwan P/L insurers would influence various types of firm risk. We particularly focus on the nonlinear relationship between insurer risks and various firm characteristics. The results suggest that the holding ratios of stockholders are nonlinearly related to insurer risks in different manners, depending on which the types of stockholders and the types of firm risk. In addition, we find that, although higher franchise values give no significant influence on most types of firm risk, it is related to many types of risk in a nonlinear U relationship except for the systematic risk and the market risk. Lastly, we also find larger insurers could effectively reduce their total risk and firm specific risk through the diversification while, but this may in turn increase their underwriting risk, systematic risk and market risk probably because of their too-big-to-fail perceptions.
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