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研究生:賴彥宇
研究生(外文):Yen-YuLai
論文名稱:英國人壽保險產業使用衍生性金融商品與再保險使用關係之探討
論文名稱(外文):Evidence form U.K life insurance industry:The relationship between the usages of reinsurance and derivative
指導教授:劉佳玲劉佳玲引用關係
指導教授(外文):Chia-Ling Liu
學位類別:碩士
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:47
中文關鍵詞:再保險衍生性金融商品英國人壽保險產業
外文關鍵詞:ReinsuranceDerivativeU.K Life insurance industries
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過往研究多認為衍生性金融商品與保險業者間之再保險互為避險的工具,兩者將處於互相替代的使用狀況,亦即多使用衍生性金融商品時,則會少使用再保險;反之亦然。
為了重新檢驗兩者之關係,從Synthesis資料庫裡抓出從1985到2010的變數資料,丟入Limdep軟體與設定的模型中跑2SLS,得到不同的實證結果。當再保險為因變數,而衍生性金融商品為自變數,輔加以與再保險相關的變數落後一期資料納入考量後,得到不顯著的替代效果,且整體模型的配適性優與解釋能力好;反之,當衍生性金融商品為因變數,而自變數為再保險時,得出兩者關係為顯著互補效果,亦即多使用衍生性金融商品時,也會同時多使用再保險工具,與過往研究的發現有所不同。
The motivation of my research is due to most scholars think that both of reinsurance and derivatives are hedging tools for insurers and they are substitute usage, saying that while use more derivative, they will adopt less reinsurance, and vice versa. The aim of this study is to reexamine the relationship between the usage of reinsurance and derivatives is whether substitute or complementary. Thus I collect data from synthesis database ranging from the year 1985 to 2010 and put many variables into the model I establish to run 2SLS by Limdep software. Accidentally, I get the different empirical results than before have been done. When the equation (1) that reinsurance is dependent variable and derivative is one of the independent variables and further take some variables of the lagged one period dataset which correlate with dependent variable into consideration, I get insignificantly substitute effect between the usage of reinsurance and derivative and the overall model fit excellent. However, when the equation (2) that derivative is dependent variable and reinsurance is independent variable, I find that the effect of reinsurance on derivative are complementary, saying that while use more reinsurance, insurers tend to increase the usage of derivative. These findings have great different results comparing to the previous researches.
Contents
Chapter 1 Introduction...................................1
1.1 Introduction........................................1
1.2 Industry background................................11
Chapter 2 Literature Review.............................13
2.1 The positive relationship between the usage of
reinsurance and derivative for life insurers.......13
2.2 The negative relationship between the usage of
reinsurance and derivative for life insurers.......15
Chapter 3 Data and Variables............................16
3.1 Data...............................................16
3.2 Variables..........................................17
3.2.1 Control Variables for equation (1).............17
3.2.2 Control Variables for equation (2).............26
Chapter 4 Empirical Result..............................35
4.1 Univariate Analysis................................35
4.2 Multivariate Results for Equation (1)..............38
4.3 Multivariate Results for Equation (2)..............41
Chapter 5 Conclusion....................................44
Reference...............................................46
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[2]Barrese, N. S. a. J. The Economic Value from the Use of Reinsurance.
[3]Canter, M. S., Cole, J. B., & Sandor, R. L. (1997). Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry. Journal of Applied Corporate Finance, 10(3), 69-81.
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[8]Doherty, N., & Smetters, K. (2005). Moral Hazard in Reinsurance Markets. Journal of Risk and Insurance, 72(3), 375-391
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[11]Gatzert, N. (2010). The Secondary Market for Life Insurance in the United Kingdom, Germany, and the United States: Comparison and Overview. Risk Management and Insurance Review.
[12]González, L. O. (2005). Determinants of Derivative Usage in the Spanish Life Insurance Industry. SSRN.
[13]Hardwick, P., & Adams, M. (1999). The Determinants of Financial Derivatives Use in the United Kingdom Life Insurance Industry. Abacus, 35(2), 163-184.
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[15]KOZUBIKOVA, Z. (2005). Risk Transfer Tools In The Insurance Business. Journal of Information, Control and Management
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[19]Regan, L., & Tennyson, S. (2001). Insurance Distribution Systems Handbook of Insurance. In G. Dionne (Ed.), (Vol. 22, pp. 709-748): Springer Netherlands.
[20]S Fernandez Lopez, L. O. G. (2012). Hedging with Derivatives and Value Creation: An Empirical Examination in the Insurance Industry. SSRN.
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[22]Shiu, Y.-M. (2011). Reinsurance and Capital Structure: Evidence From the United Kingdom Non-Life Insurance Industry. Journal of Risk and Insurance, 78(2), 475-494.
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