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研究生:賴逸蓁
研究生(外文):Yi-ChenLai
論文名稱:稅對避險活動的影響:以英國人身保險公司為例
論文名稱(外文):Effect of Tax on Hedging Activity: Evidence from the United Kingdom Life Insurance Industry
指導教授:許永明許永明引用關係
指導教授(外文):Yung-Ming Shiu
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:48
中文關鍵詞:人身保險再保險衍生性金融商品稅的凸性
外文關鍵詞:Life insuranceReinsuranceDerivativesTax Convexity
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  • 點閱點閱:103
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  • 收藏至我的研究室書目清單書目收藏:0
關於再保險與稅的議題,有兩個主要的假說。「收益波動減少」假說(the income volatility reduction argument)與「收益水準增加」假說(the income level enhancement argument)。收益波動減少假說認為當保險公司面臨稅的凸性時,傾向於避險以減少每年可課稅所得的波動,因此可降低稅的負債。收益水準增加假說主張再保險的佣金會增加公司帳面上的收入,導致增加公司稅的負債。 因此當保險公司面臨高邊際稅率時,傾向於購買較少的再保險。由於再保險與衍生性金融商品都是避險的工具,因此本研究使用再保險與衍生性金融商品做為被解釋變數,探討再保險與稅,衍生性金融商品與稅之間的關係。並利用1985 年至2010 年英國人身保險公司為研究標的, Standard & Poor’s 所提供之SynThesys Life數據資料,最終樣本為 371家人身保險公司與9276筆年資料來探討上述的兩個假說。研究方法採用二階最小平方法(2SLS)。在再保險與稅的凸性部分,我的驗證結果為正向關係,與預期之收益波動減少假說結果相符。在再保險相對於邊際稅率部分,我發現當公司面臨高邊際稅率會減少再保險的購買,與預期之收益水準增加假說相符。但是收益波動減少假說並不被我目前之衍生性金融商品數據所支持。
There are two main arguments about tax considering to the use of reinsurance-the income volatility reduction and income level enhancement. The income volatility reduction reveals that when firms face convex tax schedules, they incline to hedge for the purpose of reduce the volatility of their annual taxable income and therefore diminish expected tax liabilities. The income level enhancement contends that reinsurance can enhance current reported earnings of firms by means of receiving reinsurance commissions, thus results in increasing of their tax liabilities. Therefore, when the firm face high marginal tax rate tend to buy less reinsurance. Owning to the fact that reinsurance and derivatives are both hedging tools, in my research, I test the two arguments using reinsurance and derivatives as dependent variables through 1985-2010 data for a sample of United Kingdom life insurance firms. The data for firm variables are using the data set of SynThesys life which was provided by Standard & Poor’s. My final sample includes 371 life insurers and 9276 insurer-year observations. I examine the interaction among reinsurance and taxes by 2SLS in my methodology part. I find that life insurance firms with high tax convexity can buy more reinsurance to reduce the income volatility and lower their expected tax liabilities. In addition, those life insurance firms with high marginal tax rate tend to purchase less reinsurance than their low marginal tax rate counterparts. However, income volatility argument is not supported on the purchase of derivatives because tax convexity is found to have no significant influence on the using of derivatives.
Chapter 1 Introduction 1
1.1 Introduction 1
1.2 Institutional Background 5
Chapter 2 Hypothesis Development 8
2.1 Effect of Tax Convexity on Reinsurance 8
2.2 Effect of Marginal Tax Rate on Reinsurance 8
2.3 Effect of Tax Convexity on Derivatives 9
Chapter 3 Methodology and Framework 11
3.1 Methodology 11
3.2 Data 12
3.3 Variables 13
3.3.1 Dependent Variables 13
3.3.2 Control Variables 13
Chapter 4 Empirical Results 28
4.1 Univariate Analysis 28
4.1.1 Descriptive Statistics 28
4.1.2 Matrix of Correlation Coefficient 31
4.2 Multivariate Analysis 34
4.2.1 Result for Equation (1) 34
4.2.2 Result for Equation (2) 38
4.2.3 Robustness Check 41
Chapter 5 Conclusion 44
Reference 47

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