| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 85 === It is the most important for regulators to regulate the
financial institution''s capial. To decrease the financial
insolvency , bank and insurance industries in turns of adopted
the new capital standard - risk based capital plan. The proposal
of new risk based capital plan brought the financial
institutions , regulators and scholars incentive to investigate
the relationship between capital and risk.
About the relationship between capital and risk in the banking
literature , scholars had different theoretical arguments. But
there are few in the insurance literature. So , according to the
theoretical foundation of Cummins and Sommer (1996) at first ,
they developed the positive relationship between capital and
risk based on option pricing theory. Then this study use the
empirical model of simultaneous equations methodology and
empirical finding to determine which our theoretical argument
was supported. In study methodology , mean analysis was used to
observe trends in changes in primary variables. Then this study
used correlation analysis to compare the correlation between
capital ratio and risk. Finally , this study used three stages
least square to estimate the simultaneous equations to test
causality. To distinguish the effect of new entered insurers
after 1981 , our entire study periods were divided into two
subgroups by age , respectively 1975-1986 and 1987-1995.
In causality analysis , the empirical study found , (1) only
changes in risk can effect the changes in capital and it''s
positive relationship during the entire study periods. And (2)
there is positive relationship between capital and risk ,and
support our theoretical model during the periods of 1987-1995.
The finding also support the insurers have the best capital
structure.
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