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研究生:黃琬淯
研究生(外文):Wan-YuHuang
論文名稱:信用評等、再保險與資本結構:以英國壽險為證
論文名稱(外文):Credit Rating, Reinsurance and Capital Structure:Evidence from the United Kingdom Life Insurance Industry
指導教授:蔡惠婷蔡惠婷引用關係
指導教授(外文):Huei‐Ting Tsai
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:41
中文關鍵詞:信用評等再保險資本結構
外文關鍵詞:Credit RatingReinsuranceCapital Structure
相關次數:
  • 被引用被引用:2
  • 點閱點閱:199
  • 評分評分:
  • 下載下載:14
  • 收藏至我的研究室書目清單書目收藏:0
本篇論文主要是在探討信用評等、再保險和資本結構三者的相互影響關係,在保險市場,信用評等反映保險公司經營財務狀況的訊息並且提供資訊給投資人以及投保人,因此信用評等會影響保險公司的資金成本與再保險決策;然而再保險需求與資本結構也會影響保險公司的違約風險,因此對於信用評等有很重要的影響。我們認為保險公司的信用評等、再保險需求與資本結構三者是同時被決定的。我們使用1985到2010年間英國壽險的資料並以聯立方程迴歸模型及二階段最小平方法來估計。結果發現使用較多再保險及有較低財務槓桿的保險公司信用評等較高,這是因為再保險能夠幫助減少保險公司的未來損失而較低的財務槓桿降低公司的破產風險;再者,信用評等及財務槓桿對再保險皆有正向關係;最後,符合租用資本假說,再保險的需求增加也會增加保險公司的財務槓桿,然而我們的樣本並不支持信用評等對財務槓桿的影響。
In this study we primarily examine the interaction between credit rating, reinsurance and capital structure. Credit rating can be regarded as a signal in insurance market to reflect the insurance firm’s operating and financial conditions and provide information to investors and policyholders. Therefore, credit rating can affect the cost of capital and reinsurance decisions. At the same time, the use of reinsurance and leverage also affect the default risk and change the rating level assigned by the rating agency. We therefore think these three variables are jointly determined. We use a data set of U.K. life insurance industry from 1985 through 2010 and employ a simultaneous equation model and test it by two-stage least squares. First, we find that insurers use more reinsurance and with a lower level of leverage are more likely to get a higher rating level. This is because reinsurance effectively helps to reduce ceding insurer’s probability of future loss and less leverage decreases the insolvent risk. Then, the results show that both credit rating and leverage have positive effect on reinsurance. Finally, consistent with renting capital hypothesis, the findings indicate that the more demand for reinsurance increase insurer’s leverage, however, the effect of credit rating on leverage is not supported by our sample.
Chapter 1 Introduction 1
1.1 Introduction 1
1.2 Institutional Background 4
Chapter 2 Literature Review and Hypothesis 5
2.1 Credit Rating and Reinsurance 5
2.1.1 The Effects of Reinsurance on Credit Rating 5
2.1.2 The Effects of Credit Rating on Reinsurance 6
2.2 Credit Rating and Capital Structure 7
2.2.1 The Effects of Leverage on Credit Rating 7
2.2.2 The Effects of Credit Rating on Leverage 7
2.3 Capital Structure and Reinsurance 9
2.3.1 The Effects of Leverage on Reinsurance 9
2.3.2 The Effects of Reinsurance on Leverage 10
Chapter 3 Methodology and Data 11
3.1 Methodology and Framework 11
3.2 Data 13
3.3 Variables 14
3.3.1 Dependent Variables 14
3.3.2 Control Variables 18
Chapter 4 Empirical Results 24
4.1 Univariate Results 24
4.1.1 Descriptive Statistics 24
4.1.2 Matrix of Correlation Coefficients 26
4.2 Multivariate Results 28
4.2.1 Results for Equation (1) 28
4.2.2 Results for Equation (2) 31
4.2.3 Results for Equation (3) 33
4.2.4 Results for the Ordered Probit Regression 35
Chapter 5 Conclusions 37
References 39
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