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題名：應用選擇權定價理論於股票市場與再保險市場
作者：黃志強
作者(外文)：Chih-Chiang Hwang
校院名稱：國立東華大學
系所名稱：企業管理學系
指導教授：呂進瑞
學位類別：博士
出版日期：2016
主題關鍵詞：財務槓桿；股東持股；財務政策；超額損失再保險契約；動機效果；道德風險；financial leverage；stock holding；financial policy；excess-of-loss reinsurance contracts；incentive effects；moral hazard
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本論文應用選擇權定價理論於股票市場與再保險市場，由二篇文章組成。第一篇討論股東對於公司財務政策的偏好。第二篇分析再保險契約的設計，其涉及保險公司的動機。利用選擇權定價理論，本論文對公司證券和再保險契約給予評價並獲得封閉解。在第一篇中，在選擇權定價理論與投資組合選擇架構，我們連結股東持股比例變動與財務槓桿，偵測股東對財務政策的偏好。我們在第二篇討論保險公司改變契約變數追求潛在的利益的動機。
第一篇基於公司結構模型和投資組合選擇理論，我們提出一個新的測量來評估股東對公司財務政策的態度。本文採用投資組合中股東持股比例的變動，捕捉股東對公司財務政策的態度。這方法優於股票預期報酬率模型，因為後者容易被其他因素干擾，例如市場報酬與噪音資訊。尤其是，公司股東持股是一個具體的指標與可觀察的變數，且有包含較多的經濟意涵，因為它可以直接發掘股東對政策的偏好。結果顯示，股東對較大型投資計劃而導致財務槓桿增加的公司不會贊同。但是股東認同高槓桿的公司，而高槓桿是因為公司採行低風險投資計畫。另外，股東不認同高度舉債而導致財務槓桿增加的公司。
第二篇討論再保險保單中的最適總損失分攤比例，並分析保險公司調整損失水準與波動率的動機。本文目的分析風險轉移和道德風險問題，並說明再保險契約定價與動機問題之相關。相對於之前許多文獻對超額損失再保險契約（ELR）的精算模型，本文係以選擇定價模式對ELR契約評價提供了封閉解、回答ELR契約中可能都有利於雙方的最適分攤比例，與探索保險公司在雙方簽約後有改變損失水準與風險承擔的動機。
本論文對財務文獻的貢獻有兩個方面。首先，在第一篇論文的公司財務政策分析中，本文在文獻上為第一篇藉由公司股東他們的持股，發展出股東對公司投資政策與融資政策偏好的理論模型。相對於公司股票市場報酬分析，本文可以直接與具體地衡量股東和股票投資者如何表現出對公司財務政策和槓桿的態度。之前沒有文獻探討股東投資組合權重比例的變化來回應公司的財務槓桿，而財務槓桿反應了公司財務政策。具體而言，在選擇權定價理論和投資組合選擇的框架下，本文連結公司價值和股東權益報酬率去分析股東對公司財務政策與槓桿的衡量。經濟意涵如下，可由股東持股的變動去觀測公司財務政策是否被股東所接受。如果股東不喜歡公司的政策，他們的投資組合中會降低其持股比例。因此，本文從持股比例此新的觀點來評價公司的財務決策，而非股票報酬率。
第二篇採用選擇權定價理論分析再保險保單契約的設計，接著探討保險公司和再保險公司雙方的動機效果。相對於再保險契約的精算分析方法，本文可以探索為何保險公司調整相關保險契約的數量和品質。本文也討論再保險公司有動機採取控制策略以便影響保險公司的動機及再保險契約價值。在再保險市場中，本文為第一篇分析雙方的策略行為。具體而言，本文探討再保險契約的評價，這涉及保險公司和再保險公司的策略行為。這項研究第一個指出再保險契約評價中應納入動機效果。因此經濟意涵為於再保險保單的設計和評價中，雙方應考慮另一方改變契約潛在價值的動機。
This dissertation includes two essays on the application of option pricing theory to stock markets and reinsurance markets. We first discuss shareholders’ preference regarding company’s financial policies, and then analyze a design of reinsurance contract which involves ceding company’s incentives, in the first and second essay, respectively. Using the option pricing theory, this dissertation values corporate securities and reinsurance contracts and obtain closed-form solutions. Stockholders’ preferences regarding to financial policy are performed through the links between the changes of weight of corporate stock and financial leverage, in the framework of option pricing theory and portfolio selections, in the first essay. In addition, the second essay shows how ceding insurers have desires to alter contracts’ variables to pursue potential interests.
The first essay, based on the firm structural model and portfolio selection theory, proposes a new measure to evaluate shareholders’ attitude regarding firm’s financial policies. We employ the changes of weight of corporate stock in shareholder’s portfolio to capture shareholders’ attitude regarding firm’s financial policies, which is superior to the expected return of stock model because the latter is easily disturbed by other factors, such as market return and noisy information. Moreover, the shareholder’s stock holding is a concrete metric and an observable variable and then has more meaningful economic implications because it can directly display shareholders’ policy preferences. The results show that shareholders do not admire the firms for their high leverage ratios caused by a greater scale of firms’ investment plan, give a support for high-leverage firm with a lower risk of firms’ investment plan, and do not like high-leverage firms who take a high level of debt-financing policy.
In the second essay, we design optimal sharing ratios on the aggregate losses for reinsurance policies to mitigate moral hazard, and analyze insurers’ incentives to alter loss levels and volatility rates. The aim of the essay is to analyze the risk-shifting and moral hazard problem using the instruments provided by the game theory analysis of options and to demonstrate how they are related. Compared to the actuarial models of excess-of-loss reinsurance (ELR) contracts in numerous prior studies, the essay provides a closed-form result for the valuations of ELR contracts within an option pricing model, answers the question of how two parties determine the optimal sharing ratios of ELR contracts, and explore the insurer’s incentives to change the coverage losses levels and risk takings after two parties have signed the contracts.
This dissertation contributes to financial literature in two aspects. First, in the analysis of corporate financial policies, the first essay is first to develop a theoretical model of shareholders’ policy preference by their holdings of corporate stock. Compared to the analysis of market return of corporate equity, the shareholder’s stock holding can directly and concretely measure how shareholders and stock investors perform their attitudes about corporate financial policies and leverage. There are no previous studies which examine the changes of stock weights in shareholders’ portfolio in response to corporate financial policies. Specifically, in the framework of option pricing theory and portfolio selections, the first essay connect the firm value and equity return to formulate a new measure of corporate financial policies and leverage. In economic implications, whether firm’s financial policies are accepted is answered by the changes of shareholders’ holdings. If the shareholders would not like the firm’s policies, they decrease the weights of firm’s equity in their portfolio. Therefore, the first essay evaluates firm’s financial decisions in a new perspective from shareholder’s holdings, not from stock returns.
Second, the second essay analyzes the contract designs of reinsurance policy by employing the option pricing theory, and then examines incentive effects of both ceding insurers and reinsurers. Compared to the actuarial analysis of reinsurance contracts, the second essay can explore why ceding insurers tend to adjust the quantity and quality of underlying insurance contracts. Furthermore, the essay can also discuss why reinsurers have motives to take controllable strategies to affect the reinsurance values. The essay is the first to analyze strategic behavior of two parties in reinsurance markets. Specifically, this essay can examine the valuation of reinsurance contracts, which involves both insurers’ and reinsurers’ strategic actions. That is, the research is the first to analyze the valuations of reinsurance contracts that take accounts of incentive effects. In the design and valuation of reinsurance policy, two parties should consider the other party’s incentives to change potential values of the contract.
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