衍生性金融商品、再保險與風險－－以英國壽險為例

本文藉由分析英國壽險公司自2005年至2012年的樣本資料，探討保險公司使用衍生性金融商品與再保險，對於其風風險的影響。本文以股東權益報酬率標準差及半標準差，作為保險公司總風險及下方風險之指標。實證結果顯示衍生性金融商品的使用者有較低的風險，然而衍生性金融商品使用量卻與風險產生正相關，此結果可能表示持有過高的衍生性金融商品部位，反而有提高盈收波動及風險之虞。另一方面，再保險使用量比較高的公司，風險也較高，可能係因為保險公司透過再保險使用，使其得以承受比較高的核保風險。 Using a sample of UK life insurers from 2005 to 2012, we examine the effects of risk management instruments use on insurers' risk. In our work, we use the standard deviation and semi-deviation of returns on equity as the proxies for insurers' total risk and downside risk respectively. Results show that derivatives participants tend to have lower values in these risk measurements. However, insurers that use more derivatives have higher risk. One of the possible explanations is that the excessive amount of derivatives use could make insurers' income flows more volatile and thus increase insurers' risk. On the other hand, the volume of reinsurance usage is related to higher insurers' risk. This result may indicate that insurers use reinsurance to increase their capability to take higher underwriting risk.