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題名 內部資本市場的三篇論文 : 以美國產險業為例
Three Essays on Internal Capital Markets: Evidence from the U.S. Non-Life Insurance Industry作者 蕭景元
Hsiao, Ching-Yuan貢獻者 許永明
Shiu, Yung-Ming
蕭景元
Hsiao, Ching-Yuan關鍵詞 Internal capital markets
Intra-group reinsurance
Risk-bearing capacity
Capital
Risk-taking
Capital structure
Capital adjustment channels日期 2018 上傳時間 23-Nov-2018 16:17:43 (UTC+8) 摘要 This dissertation consists of three essays and focuses on intra-group reinsurance arrangements as the main internal capital markets activities in the U.S. non-life insurance industry from the period of 1999 to 2016. In essay 1, by employing the regression model of Cragg (1971) to analyze the determinants of internal reinsurance provision and receipt, we document the following results. First, internal reinsurance provision is positively related to external reinsurance, investment risk, and profitability, suggesting that they are the capacity sources to support the provision internal reinsurance. In contrast, these variables negatively affect internal reinsurance receipt. Second, we discover the inverse-U patterns regarding the effects of external reinsurance and investment risk on internal reinsurance provision, which may indicate that these internal reinsurance providers tend to curtail internal reinsurance provision to avoid posing excessive counterparty risk on the recipients of internal reinsurance. Moreover, we also find such non-linear effects of underwriting risk variables on internal reinsurance receipt, which indicate that the recipients tend to avoid transferring excessive underwriting risk to the providers.In essay 2, we analyze the relations among intra-group reinsurance, capital, and risk, and document the following results. First, the insurers whose intra-group reinsurance participation status are converted to providers are associated with the decrease in capital ratio. Such result s may be driven by the substitution effect of an increase in the income streams from internal reinsurance transactions on capital financing. Second, we find a positive effect of capital ratio on internal reinsurance provision, which suggests that the provision of internal reinsurance is supported by capital. On the contrary, internal reinsurance receipt and capital are negatively interrelated, suggesting that they are substitutes. Moreover, we find a positive relation between internal reinsurance receipt and investment risk, which may imply that internal reinsurance could be utilized for allocating risk among investment and underwriting activities.In essay 3, we analyze how insurers adjust their capital structure and document the following results. First, the deviation from target leverage positively affects the funds received via internal capital transfer for both internal reinsurance providers and recipients. Such relation does not exist for the insurers without intra-group reinsurance participation. Our results may indicate that the insurers with the economic connections created by intra-group reinsurance are more likely to receive supports when they are undercapitalized. In addition, some results indicate that the negative effect of target leverage deviation on premiums growth is weaker for recipients, which may be caused by the offsetting effect of the capacity supplement via internal reinsurance. 參考文獻 Chapter 1:Almeida, H., and M. Campello (2010). “Financing Frictions and the Substitution between Internal and External Funds”, Journal of Financial and Quantitative Analysis, 45: 589-622.Almeida, H., C. Kim, and H. B. Kim (2015). “Internal Capital Markets in Business Groups: Evidence from the Asian Financial Crisis”, Journal of Finance, 70: 2539-2586.Baranoff, E. G., and T. W. Sager (2002). “The Relations among Asset Risk, Product Risk, and Capital in the Life Insurance Industry”, Journal of Banking and Finance, 26 : 1181-1197.Baranoff, E. G., and T. W. Sager (2003). “The Relations Among Organizational and Distribution Forms and Capital and Asset Risk Structures in the Life Insurance Industry”, Journal of Risk and Insurance, 70: 375-400.Berry-Stölzle, T., A. Liebenberg, J. Ruhland, and, D. Sommer (2012). “Determinants of Corporate Diversification: Evidence from the Property-Liability Insurance Industry”, Journal of Risk and Insurance, 79: 381-413.Berry-Stolzle, T., G.P. Nini, and S. Wende (2014). “External Financing in the Life Insurance Industry: Evidence from the Financial Crisis”, Journal of Risk and Insurance, 81: 529-562.Boutin, X.; G. Cestone; C. Fumagalli; G. Pica; and N. Serrano-Velarde (2013). “The Deep-Pocket Effect of Internal Capital Markets”, Journal of Financial Economics, 109: 122-145.Buchuk, D., B. Larrain, M. Francisco and I.M. Urzúa (2014), ‘The Internal Capital Markets of Business Groups: Evidence from Intra-group Loans’, Journal of Financial Economics, 112: 190-212.Cole, C. R., and K. A. McCullough (2006). “A Reexamination of the Corporate Demand for Reinsurance”, Journal of Risk and Insurance, 73: 169-192.Che, X., and A. P. Liebenberg (2017). “Effects of Business Diversification on Asset Risk-taking: Evidence from the U.S. Property-Liability Insurance Industry”, Journal of Banking and Finance, 77: 122-136.Cheng, J., and W.A. Weiss (2012). “The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry‐wide Factors in Property–Liability Insolvency Prediction,” Journal of Risk and Insurance, 79: 723-750.Cheng, J., and M. A. Weiss (2013). “Risk-Based Capital and Firm Risk Taking in Property-Liability Insurance”, Geneva Papers on Risk and Insurance - Issues and Practice, 38: 274–307.Cragg, J.G. (1971). “Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods”, Econometrica, 39: 829-44.Cummins, J. D., and D. W. Sommer (1996). “Capital and Risk in Property-Liability Insurance Markets”, Journal of Banking and Finance, 20: 1069-1092.Cummins, J. D., and M. A. Weiss (2014). “Systemic Risk and the U.S. Insurance Sector, Journal of Risk and Insurance”, 81: 489-527.Cummins, J. D., and P. M. Danzon (1997). “Price, Financial Quality, and Capital Flows in Insurance Markets”, Journal of Financial Intermediation, 6: 3-38.Cummins, J. D., R. D. Phillips, and S. D. Smith (2001). “Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry”, Journal of Risk and Insurance, 68: 51-91.De Haas, R., and I. Van Lelyveld (2010). “Internal Capital Markets and Lending by Multinational Bank Subsidiaries”, Journal of Financial Intermediation, 19: 1-25.De Haas, R., and I. Van Lelyveld (2014). “Multinational Banks and the Global Financial Crisis: Weathering the Perfect Storm?”, Journal of Money, Credit and Banking, 46: 333-364.Desai, M. A., C. F. Foley, and J. R. Hines Jr. (2004). “A Multinational Perspective on Capital Structure Choice and Internal Capital Markets”, Journal of Finance, 59: 2451–2488.Duchin, R., and D. Sosyura (2013). “Divisional Managers and Internal Capital Markets”, Journal of Finance, 68: 387-429.Fier, S., K. McCullough, and J. Carson (2013). “Internal Capital Markets and the Partial Adjustment of Leverage”, Journal of Banking and Finance, 37: 1029-1039.Garven, J. R., and J. Lamm-Tennant (2003). “The Demand for Reinsurance: Theory and Empirical Tests”, Assurances, 71: 217-238Gertner, R. H., D. S. Scharfstein, and J. C. Stein (1994). “Internal versus External Capital Markets”, Quarterly Journal of Economics, 109: 1211-1230.Gopalan, R., V. Nanda, A. Seru (2007). “Affiliated Firms and Financial Support: Evidence from Indian Business Groups”, Journal of Financial Economics, 86: 759-795.Kim, R. 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Weiss (2012). “The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry‐wide Factors in Property–Liability Insolvency Prediction,” Journal of Risk and Insurance, 79: 723-750.Cheng, J., and M. A. Weiss (2013). “Risk-Based Capital and Firm Risk Taking in Property-Liability Insurance”, Geneva Papers on Risk and Insurance - Issues and Practice, 38(2): 274–307.Cole, C. R., and K. A. McCullough (2006). “A Reexamination of the Corporate Demand for Reinsurance”, Journal of Risk and Insurance, 73: 169-192.Cole, C.R., E. He, K.A. McCullough, A. Semykina and D.W. Sommer (2011). “An Empirical Examination of Stakeholder Groups as Monitoring Sources in Corporate Governance”, Journal of Risk and Insurance, 78: 703-30.Cummins, J. D. (1988). “Risk-Based Premium for Insurance Guaranty Fund”, Journal of Finance, 43(4): 823-839.Cummins, J.D. and D.W. 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Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment, Journal of Corporate Finance, 39: 99-120. 描述 博士
國立政治大學
風險管理與保險學系
1013585033資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013585033 資料類型 thesis dc.contributor.advisor 許永明 zh_TW dc.contributor.advisor Shiu, Yung-Ming en_US dc.contributor.author (Authors) 蕭景元 zh_TW dc.contributor.author (Authors) Hsiao, Ching-Yuan en_US dc.creator (作者) 蕭景元 zh_TW dc.creator (作者) Hsiao, Ching-Yuan en_US dc.date (日期) 2018 en_US dc.date.accessioned 23-Nov-2018 16:17:43 (UTC+8) - dc.date.available 23-Nov-2018 16:17:43 (UTC+8) - dc.date.issued (上傳時間) 23-Nov-2018 16:17:43 (UTC+8) - dc.identifier (Other Identifiers) G1013585033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/121054 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 1013585033 zh_TW dc.description.abstract (摘要) This dissertation consists of three essays and focuses on intra-group reinsurance arrangements as the main internal capital markets activities in the U.S. non-life insurance industry from the period of 1999 to 2016. In essay 1, by employing the regression model of Cragg (1971) to analyze the determinants of internal reinsurance provision and receipt, we document the following results. First, internal reinsurance provision is positively related to external reinsurance, investment risk, and profitability, suggesting that they are the capacity sources to support the provision internal reinsurance. In contrast, these variables negatively affect internal reinsurance receipt. Second, we discover the inverse-U patterns regarding the effects of external reinsurance and investment risk on internal reinsurance provision, which may indicate that these internal reinsurance providers tend to curtail internal reinsurance provision to avoid posing excessive counterparty risk on the recipients of internal reinsurance. Moreover, we also find such non-linear effects of underwriting risk variables on internal reinsurance receipt, which indicate that the recipients tend to avoid transferring excessive underwriting risk to the providers.In essay 2, we analyze the relations among intra-group reinsurance, capital, and risk, and document the following results. First, the insurers whose intra-group reinsurance participation status are converted to providers are associated with the decrease in capital ratio. Such result s may be driven by the substitution effect of an increase in the income streams from internal reinsurance transactions on capital financing. Second, we find a positive effect of capital ratio on internal reinsurance provision, which suggests that the provision of internal reinsurance is supported by capital. On the contrary, internal reinsurance receipt and capital are negatively interrelated, suggesting that they are substitutes. Moreover, we find a positive relation between internal reinsurance receipt and investment risk, which may imply that internal reinsurance could be utilized for allocating risk among investment and underwriting activities.In essay 3, we analyze how insurers adjust their capital structure and document the following results. First, the deviation from target leverage positively affects the funds received via internal capital transfer for both internal reinsurance providers and recipients. Such relation does not exist for the insurers without intra-group reinsurance participation. Our results may indicate that the insurers with the economic connections created by intra-group reinsurance are more likely to receive supports when they are undercapitalized. In addition, some results indicate that the negative effect of target leverage deviation on premiums growth is weaker for recipients, which may be caused by the offsetting effect of the capacity supplement via internal reinsurance. en_US dc.description.tableofcontents Acknowledgement 1Abstract 2Chapter 1: The Determinants of Internal Capital Provision and Receipt: Evidence from the Intra-Group Reinsurance Activities of the U.S. Non-Life Insurance Industry 41. Introduction 42. Literature Review and Hypotheses Development 112.1 Several strands of studies on internal capital markets 112.2 Hypotheses Development 143. Data, Methodology, and Variables 233.1 Data 233.2 Regression Model 243.3 Variables 254. Empirical Results 314.1 Data Description 314.2 Descriptive statistics, correlation coefficients, and univariate analysis 354.3 Multivariate analysis 424.4 Non-Linear Effects of External Reinsurance, Investment Risk, and Underwriting Risk on Internal Reinsurance Decisions 494.5 Robustness Checks 535. Conclusion 57Appendix A 58Reference 62Chapter 2: The Interrelations among Internal Capital Markets Activities, Capital Holding, and Risk-Taking: Evidence from the Intra-Group Reinsurance Transactions of the U.S. Non-Life Insurance Industry 681. Introduction 682. Literature Review and Hypotheses Development 752.1 The Literature on Capital and Risk-Taking 752.2 Internal Capital Markets 802.3 Hypotheses Development 833. Data, Methodology, and Variables 933.1 Data 933.2 Variables 933.3 Methodology and Endogeneity Tests 984. Empirical Results 1054.1 Descriptive Statistics, Univariate Analysis, and Correlations 1054.2 Regression Results 1105. Conclusion 120Appendix B 122Reference 129Chapter 3: The Roles of Internal Capital Markets, External Financing, and Premiums Growth in Capital Structure Adjustment: Evidence from the U.S Non-Life Insurance Industry 1351. Introduction 1352. Literature Review and Hypotheses Development 1422.1 The Literature on Target Capital Structure 1422.2 The Possible Capital Adjustment Channels 1443. Data, Methodology, and Variables 1543.1 Data 1543.2 Methodology 1553.3 Variables 1574. Empirical Results 1644.1 Descriptive Statistics 1644.2 Partial Adjustment Model 1644.3 The Correlations between the Deviation from Target Leverage and Capital Adjustment Channels 1684.4 Univariate Analysis 1694.5 The Effects of the Deviation from Target Leverage on Capital Adjustment Channels 1714.6 Further Analysis 1805. Conclusion 183Appendix C 185Reference 189 zh_TW dc.format.extent 1441382 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1013585033 en_US dc.subject (關鍵詞) Internal capital markets en_US dc.subject (關鍵詞) Intra-group reinsurance en_US dc.subject (關鍵詞) Risk-bearing capacity en_US dc.subject (關鍵詞) Capital en_US dc.subject (關鍵詞) Risk-taking en_US dc.subject (關鍵詞) Capital structure en_US dc.subject (關鍵詞) Capital adjustment channels en_US dc.title (題名) 內部資本市場的三篇論文 : 以美國產險業為例 zh_TW dc.title (題名) Three Essays on Internal Capital Markets: Evidence from the U.S. Non-Life Insurance Industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Chapter 1:Almeida, H., and M. Campello (2010). “Financing Frictions and the Substitution between Internal and External Funds”, Journal of Financial and Quantitative Analysis, 45: 589-622.Almeida, H., C. Kim, and H. B. 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