產險公司之再保險與資本結構決策

Abstract

使用美國產險公司資料，利用再保險作為風險管理代理變數，本研究包含三篇文章，探討產險公司之再保險與資本結構決策。已知風險管理可以幫助企業增加槓桿，然而少有文獻探討風險管理對於目標槓桿之作用。第一篇文章探討風險管理（再保險）與目標資本結構的關係。研究發現，再保險與目標槓桿之間存在顯著正相關並且有助於提升目標槓桿的穩定性。此外，再保險對於目標槓桿的正向作用可長達10年。為緩解再保險與目標資本結構的潛在內生性，我們利用颶風卡崔娜（2005）和珊迪（2012）作为外生衝擊，使用difference-in-differences(DID)方法再次檢驗本文主要結論。\n過去文獻探討風險管理對槓桿有正向作用。然而對於此正向作用通過何種機制產生，並未做進一步探討。為了解答此問題，在第二篇文章中，利用美國產險公司2001到2019年的資料，將資本結構分解成兩個部分：目標資本結構和資本結構偏離，進而探討風險管理（再保險）通過何種路徑對資本結構產生影響。結果顯示，風險管理對目標資本結構有正向作用，然而對於資本結構偏離無明顯作用。此結論與假說一致，說明風險管理促使資本結構增加主要來自於目標資本結構的增加。此外，在主動資本結構偏離中，再保險可以幫助保險公司更加有效的調整資本結構。\n基於前兩篇文章研究結果：風險管理對於目標資本結構有正向作用，第三篇文章研究風險管理（再保險）對於目標資本結構的重要性，即風險管理是否應該作為重要因子納入目標資本結構之預估。根據共變數分析（analysis of covariance）與相對重要性分析（dominance analysis），結果顯示，再保險是解釋產險公司目標資本結構變動的重要因子。具體來說，再保險可解釋20.4%的目標資本結構（由system GMM方法估計）變動。此外，本文也探討在不同情境下，再保險對於目標資本結構的重要性。結果亦顯示，再保險對於公司規模大，槓桿高，或多角化經營的產險公司之目標資本結構發揮更重要的作用。

This dissertation includes three essays regarding risk management (reinsurance) and capital structure decisions in financial institutions using data on US non-life insurance firms. Given that active risk management policy can permit a higher leverage, few studies regarding the implications of risk management on optimal/target capital structure exist. In essay 1, we investigate the effect of reinsurance on target capital structure. Insurance firms with more reinsurance tend to increase target leverage: there is a significantly positive relation between reinsurance and target leverage. Additional evidence suggests that insurance firms with more reinsurance can boost the stability of their target capital structure in the long term. Besides, the positive effect of reinsurance on target capital structure is shown to be persistent for over 10 years. To mitigate the potential endogeneity concerns between reinsurance and target, using Hurricanes Katrina (2005) and Sandy (2012) as exogenous shocks, we employ difference-in-differences (DID) to confirm the results.\nPrevious studies have shown that risk management is positively related to capital structure. However, the mechanisms of the effects of risk management on capital structure are not known. To address this question, in essay 2, using panel data on US non-life insurance firms from 2001 to 2019, we decompose capital structure into two components: target capital structure and deviation from target capital structure. The results show that reinsurance has a significantly positive effect on target leverage but no effect on deviations from target leverage, which indicates that the positive effect of reinsurance on capital structure mainly results from an increase in target leverage. Besides, reinsurance helps to adjust faster in active deviations than in passive deviations.\nAccording to the findings of essays 1 and 2, given that risk management (reinsurance) has an effect on target capital structure, the empirical evidence on whether risk management would be an essential factor in target capital structure estimation is scarce. In essay 3, we address the question: Is risk management essential to be considered in target capital structure estimation? We investigate the importance of reinsurance for target capital structure. The results relying on the analysis of covariance (ANCOVA) and dominance analysis show that reinsurance is a vital factor for target capital structures of non-life insurance firms. Especially for the target capital structure estimated by system GMM, the total variation of target capital structure explained by reinsurance is approximately 20.4%. We also explore the importance of reinsurance in different circumstances. The results suggest that the effect of reinsurance is more significant for insurance firms with large size, high leverage, or more diversification.