Die Asset Management Gesellschaft im Versicherungswesen — Gestaltungsmöglichkeiten, Problemfelder

The first part of the paper deals with the basic legal and organizational conditions, which are important in the case of insurance matters when founding an Asset Management. Its main emphasis deals with criteria which must be met when assuming the taking over of functions in the sense of § 5 subparagraph 3 no. 4 VAG. The author holds the opinion that insurance companies which hand over the above mentioned functions to an Asset Management company, exercise certain rights to advise this company. The second part is concerned with practical problems which arise in terms of organizational matters whenever a handing over of functions takes place from a legal point of view as mentioned in the first part of the paper. Finally, the opinion is taken that due to the remaining responsibility of the financial executive officers in insurance companies, Asset Management companies dealing with the assets of insurance companies have limited power.     

Altruism, redistribution and social insurance

The paper examines the influence of altruism on voluntary transfers and government redistribution in a simple model: two jobs of different productivity are assigned by chance to two individuals. Ex ante the individuals are identical, ex post they have different incomes. The first part of the paper examines voluntary transfers determined ex post or agreed upon ex ante in the absence of altruism. In the second part, the influence of altruism is examined. Altruism is modelled as a pure public good: the minimum consumption (or income, since there is only one consumption good). Both individuals can contribute to its provision, one person by earning wage income, the other by voluntary transfers. The ex ante solutions generally lead to higher expected welfare but create several incentive problems. Only lump-sum transfers are considered. Received: 28 February 1997 / Accepted: 31 January 2000     

Market structure and multiperiod hedging

This paper develops a multiperiod hedging model for a competitive risk-averse international firm. We study the optimal sequential hedging strategy and analyze the impact of the structure of available risk sharing markets on the firm's export decision. As a main result, we find that the number of risk sharing markets critically affects the export level while the timing of these markets is inconsequential.     

Hedging with mismatched currencies

This article presents a model of a risk-averse multinational firm facing risk exposure to a foreign currency cash flow. Forward markets do not exist between the firm's own currency and the foreign currency, but do exist for a third currency. Because a triangular parity condition holds among these three currencies, the available forward markets, albeit incomplete, provide a useful avenue for the firm to indirectly hedge against its foreign exchange rate risk exposure. This article offers analytical insights into the optimal cross-hedging strategies of the firm. In particular, the results show that separate unbiasedness of the forward markets does not necessarily imply a perfect full hedge that eliminates the entire foreign exchange rate risk exposure of the firm. The optimal cross-hedging strategies depend largely on the firm's marginal utility function and on the correlation of the random spot exchange rates. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19:859–875, 1999