風險與財務再保險的使用動機及再保險的使用與清償能力的關係

Abstract

本計畫的目的在於找出人壽保險公司使用風險再保險與財務再保險的動機並檢驗再保 險的使用與清償能力的雙向關係。文獻有很多關於風險再保險決定因子的研究，但卻 沒有關於財務再保險決定因子的論文，可能的原因之一係由於缺乏保險公司使用財務 再保險的相關資料。英國金融保險監理機關自2002 年底起，要求人壽保險業者在年度 的財務報告中，揭露財務再保險的使用資料。此規定的實施，讓英國人壽保險業成為 進行此一研究的絕佳標的樣本。我們同時也會進行風險再保險決定因子的研究，並加 以比較其異同。利用SynThesys Life 資料庫中2002 至2008 年英國人壽保險公司的年 度財報資料，我們可以檢驗文獻中所討論的保險公司購買再保險的理由是否得到支 持，這些理由包括：降低破產成本(Reduction in financial distress costs)、降低代理成本 (Reduction in agency costs)、確保未來投資機會的資金無虞(Ensuring availability of funds for future investment opportunities)、使用再保險公司提供的服務 (Use of real services)、 降低預期稅賦(Reduction in expected taxes)及增加收入水準(Increase in income level) 等。本計畫也將研究保險公司再保險的使用與清償能力的雙向關係。據我們所知，這 方面的研究在文獻中極為缺乏，我們認為保險公司使用再保險多寡與清償能力高低的 決策應該是同時被決定的。

This project aims to identify the determinants of risk and financial reinsurance and to examine the two-way relation between reinsurance and solvency. Risk reinsurance determinants have been well documented in the literature. To our knowledge, no research has ever empirically examined the factors affecting financial reinsurance. The U.K. life insurers and friendly societies have been required by the Financial Services Authority, the U.K. insurance regulator, to report their use of financial reinsurance in the regulatory returns from the financial year ending on or after 31 December 2002. This institutional attribute makes the U.K. life insurance industry an interesting environment within which to conduct our research. The results of financial reinsurance determinants will be compared with the results of risk reinsurance determinants. This comparative analysis is believed to reveal what firm-specific characteristics are better able to explain the variations in risk and financial use. Using specific insurer characteristic variables that proxy for the motivations, we investigate the rationales for reinsurance use that are discussed in the literature, including the reduction in financial distress costs, reduction in agency costs, ensuring availability of funds for future investment opportunities, use of real services, reduction in expected taxes, and increase in income level. In this project, we attempt to examine whether the above motivations are supported by our United Kingdom life insurance data obtained from the SynThesys Life data set for the 2002- 2008 period. We also attempt to investigate the effects of insurer solvency on reinsurance use and the reverse causality from reinsurance to solvency. This two-way causation has never been well examined in the literature. As suggested by the model of Krvavych and Sherris (2006), however, an insurer uses reinsurance and risk capital supplied by shareholders to maintain its solvency level. In this project, we further argue that the insurer’s solvency and level and the reinsurance used by the insurer may be simultaneously determined.