£44: PREVENTION

Abstracts and Reviews

£50: FINANCE, GENERAL ANDMISCELLANEOUS

73

073049 (E44)

Numerical Simulation as a Complement toEconometric Research on Workplace Safety.

Kniesner T.J., Leeth J.D., Journal of Risk and

Uncertainty, 1995, Vol 10, Number 2, pp. 99-125.

Using a computable hedonic equilibrium model of the

labor market, we numerically simulate the interactionsbetween workers and firms as tempered by the state and

federal regulations intended to influence workplacesafety. We compute the changes needed for OSHA tobecome economicalIy meaningful and determine theimpact on safety from further expanding the experiencerating of workers' compensation insurance premiums.

Most importantly, we show how numerical simulation

can serve as a complementary research tool toeconometric models. Simulation is well suited forstudying extreme policy changes and locating structural

conditions pivotal in determining economic outcomes.

Keywords : Numerical Simulation, Hedonic Equilibrium,

Compensating Wage Differentials, Job Safety, Workers'Compensation Insurance, OSHA.

£46: SUPERVISION

073050 (E46)Theories of Regulation: Some Reflections on theStatutory Supervision of Insurance Companies inAnglo-American Countries.Adams M.B., Tower G.D., The Geneva Papers on Riskand Insurance , 1994, W. 71 (19th year), pp. 156-177.The paper evaluates the regulation of insurance marketsby utilizing three strands of regulation theory - publicinterest theory, capture theory and the economic theoryof regulation. It seeks to explain why the insuranceindustry in some Anglo-American countries, such asAustralia, is subj ect to stricter statutory control than in

other Anglo-American countries, like New Zealand.

Our analy sis suggests that the economic regulationmodel offers the most appropriate framework forexplaining different regulatory environments incountriesbecause of its greater explanatory and predictive power.

Six hypotheses drawn from economic regulation theoryare put forward. They are proposed in this paper as apreliminary step which may assist in the conduct offuture empirical research into the regulation of insurancemarkets.Keyw ords: Insurance Markets.

073051 (E50)

Analyse und Steuerung von Aktien-Portefeuilles aufder Grundlage von Faktorenmodellen.

Albrecht P., Maurer R., Mayser J., Deutschland,Transactions ICA Brussels, 1995, Vol. 3, pp. 21-40 .

Factor models are nowadays playing a central role in

putting the ideas developed in Markowitz' portfolioselection theory as well the CAPM to practicalinvestment management applications. The present papergives a systematic introduction to the model theoreticalbasis as welI as to the most important applications ininvestment management.

Keywords: CAPM-Model. Markowitz .

073052 (E50)

Die Integration von Schuldscheindarlehen in

portfoliotheoretischeAsset Allocation-Modelle fUr die

bilanzielle Kapitalanlagesteuerung von Versiche­rungsunternehmen.Albrecht P., Stephan T.G., Deutschland, TransactionsICA Brussels, 1995, Vol. 3, pp. 41-64.This contribution presents a model which incorporatesthe important asset class of "Schuldscheindarlehen" intomean-variance analysis. German accounting specialtiescause the need of a distinct treatment of this asset class.

The mean and variance/covariance of multi-periodaverage returns are investigated. As an important resultwe find, that there are negative correlations between thereturns of "Schuldscheindarlehen" and the returns of theasset classes stocks and bonds . This property leads toimportant consequences for the efficient frontier , whichis calculated in an empirical application for the Germanfinancial market.Keywords : Mean-Variance, Financial Market.

073053 (E50)The 'savings mortgage', a Dutch bargain? A case

study of an asset driven ALM process.Alkema H., Sijmons J., The Netherlands, TransactionsICA Brussels, 1995, Vol. 3, pp. 87-104.The Savings Mortgage was introduced in The Nether­

lands in the late eighties. It resembles the traditionalmortgage products sold by life insurers . But the tabularinterest on the investment portion of the premium isbased upon the interest rate of the mortgage.One of the most remarkable features of the SavingsMortgage is that as well at decease before expiry date as