Capital and Risk in Property-Liability insurance market in Taiwan

• Main Authors: Shieh, Jia Wei, 謝嘉維
• Other Authors: Jong Rong , Chiou
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/50611793322654919740

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.