CV

Curriculum Vitae and refereed publications

(incl. presentations and students)

Mogens Steffensen

April 2024

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Refereed Publications: 

1. 2024. On Smoothing and Habit Formation of Variable Life Annuity Benefits. Journal of Risk and Financial Management. 17(2):75. (with S. H. Vikkelsøe)

2. 2024. Optimal reinsurance design under solvency constraints. Scandinavian Actuarial Journal. 2024(4):383-416. (with B. Avanzi and H. Lau)

3. 2024. Individual Life Insurance During Epidemics. Annals of Actuarial Science. 18(1): 152-175. (with L. Francis)

4. 2023. Polynomial Utility. To appear in International Journal of Theoretical and Applied Finance (with A. S. Lollike)

5. 2023. What is the value of the annuity market? To appear in Decisions in Economics and Finance (with J. B. Søe)

6. 2023. Stable Dividends under Linear-Quadratic Optimization. Quantitative Finance. 23(9):1199-1215. (with B. Avanzi and D. K. Falden)

7. 2023. Equilibrium Investment with Random Risk Aversion. Mathematical Finance. 33(3):946-975. (with S. Desmettre)

8. 2023. Optimal consumption, investment, and insurance under state-dependent risk aversion. ASTIN Bulletin. 53(1):104-128. (with J. B. Søe)

9. 2022. On the Cost-of-Capital Rate under Incomplete Market Valuation. Journal of Risk and Insurance. 89(4):1139-1158. (with H. Albrecher, K.-T. Eisele, and M. V. Wüthrich)

10. 2021. An Intrinsic Value Approach to Valuation with Forward-Backward Loops in Dividend Paying Stocks. Mathematics. 9(13), 1520. (with A. K. Nyegaard and J. R. Ott)

11. 2021. On retirement time decision making. Insurance: Mathematics and Economics. 100:107-129. (with A. Chen and F. Hentschel)

12. 2021. How sub-optimal are age-based life-cycle investment products?  International Review of Financial Analysis. 73:101619. (with G. Khemka and G. Warren)

13. 2021. A Note on P- vs. Q-Expected Loss Portfolio Constraints. Quantitative Finance. 21(2):263-270. (with J. Gu and H. Zheng)

14. 2020. Nonrecursive Separation of Risk and Time Preferences. Journal of Mathematical Economics. 90:95-108. (with M. A. Fahrenwaldt and N. R. Jensen)

15. 2020. Eliciting Risk Preferences and Elasticity of Substitution. Decision Analysis. 17(4):314-329. (with J. Burgaard)

16. 2020. Matrix representations of life insurance payments. European Actuarial Journal. 10:29-67. (with S. Asmussen and M. Bladt) (Received the 2020 EAJ Best Paper Award / GAUSS-Prize of the German Society of Insurance and Financial Mathematics (DGVFM) and the German Actuarial Association)

17. 2020. Optimal control of an objective functional with non-linearity between conditional expectations. Mathematical Methods of Operations Research. 91:405-438. (with E. M. Kryger and M.-B. Nordfang)

18. 2019. Forward Transition Rates. Finance and Stochastics. 23(4):975-999. (with K. Buchardt and C. Furrer)

19. 2018. Personal non-life insurance decisions and the welfare loss from flat deductibles. ASTIN Bulletin. 49(1):85-116. (with J. Thøgersen)

20. 2018. Around the Life-Cycle: Deterministic Consumption-Investment Strategies. North American Actuarial Journal. 22(3):491-507. (with M. C. Christiansen)  

21. 2018. Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model. Mathematics of Operations Research. 43(2):377-398. (with J. Gu and H. Zheng)

22. 2017. Portfolio Optimization and Mortgage Choice. Journal of Risk and Financial Management. 10(1):1. (with M.-B. Nordfang)

23. 2016. Smooth Investment. Annals of Finance 12(3):335-361. (with K. Bruhn and N. R. Jensen) 

24. 2016. Life Insurance Demand under Health Shock Risk. Journal of Risk and Insurance 84(4):1171-1202. (with C. Hambel, H. Kraft, and L. Schendel). (Online appendix: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2712267)

25. 2016. Stress Scenario Generation for Solvency and Risk Management. Scandinavian Actuarial Journal 2016(6):502-529. (with M. C. Christiansen, L. F. B. Henriksen, K. J. Schomacker)

26. 2015. Reserve-dependent surrender rates. European Actuarial Journal 5(2):283-308. (with K. S. T. Gad and J. Juhl)

27. 2015. Personal finance and life insurance under separation of risk aversion and elasticity of substitution. Insurance: Mathematics and Economics 62:28-41. (with N. R. Jensen)

28. 2015. Optimal Consumption, Investment and Life insurance with Surrender Option Guarantee. Scandinavian Actuarial Journal 2015(1):59-87. (with M. T. Kronborg)

29. 2014. A Comparison of Modern Investment-Linked Pension Savings Products. Annals of Actuarial Science 9(1):72-84. (with K. Bruhn and P. Linnemann)

30. 2014. Inconsistent Investment and Consumption Problems. Applied Mathematics and Optimization 71(3):473-515. (with M. T. Kronborg)

31. 2014. Markov chain modeling of policyholder behavior in life insurance and pension. European Actuarial Journal  4(1):1-29. (with L. F. B. Henriksen, J. W. Nielsen, C. Svensson)

32. 2014. A combined stochastic programming and optimal control approach to personal finance and pensions. OR Spectrum 37(3):583–616. (with A. K. Konicz, D. Pisinger, K. M. Rasmussen)

33. 2013. Safe-Side Scenarios for Financial and Biometrical Risk. ASTIN Bulletin 43(3):323-357. (with M. C. Christiansen) (Received the Life Section Prize for the best life insurance paper in ASTIN Bulletin in 2013)

34. 2013. Deterministic Mean-Variance-Optimal Consumption and Investment. Stochastics 85(4):620-636. (with M. C. Christiansen)

35. 2013. Optimal Smooth Consumption and Annuity Design. Journal of Banking and Finance 37(8):2693-2701. (with K. Bruhn)

36. 2013. A Dynamic Programming Approach to Constrained Portfolios. European Journal of Operational Research 229(2):453-461. (with H. Kraft)

37. 2013. Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets. Finance and Stochastics 17(1):161-196. (with H. Kraft and F. T. Seifried)

38. 2012. Worst-Case-Optimal Dynamic Reinsurance for Large Claims. European Actuarial Journal 2(1):21-48. (with R. Korn and O. Menkens)

39. 2011. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. Journal of Economic Dynamics and Control 35(5):659-667.

40. 2011. Household Consumption, Investment and Life Insurance. Insurance: Mathematics and Economics 48(3):315-325. (with K. Bruhn) 

41. 2009. Asset Allocation with Contagion and Explicit Bankruptcy Procedures. Journal of Mathematical Economics 45(1-2):147-167. (with H. Kraft)

42. 2009. A Two-Account Model for Pension Saving Contracts. Scandinavian Actuarial Journal 2009(3):169-186. (with S. Waldstrøm)

43. 2008. The Policyholder’s Static and Dynamic Decision Making of Life Insurance and Pension Payments. Blätter der DGVFM 29(2):211-244. (with H. Kraft)

44. 2008. Optimal investment and life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics 43(1):15-28. (with P. H. Nielsen)

45. 2008. Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach. ASTIN Bulletin 28(1):231-257. (with H. Kraft)

46. 2008. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. Journal of Economic Dynamics and Control 32(2):348-385. (with H. Kraft)

47. 2007. On Worst Case Portfolio Optimization. SIAM Journal on Control and Optimization 46(6):2013-2030. (with R. Korn)

48. 2007. Bankruptcy, Counterparty Risk, and Contagion. Review of Finance 11:209-252. (with H. Kraft)

49. 2006. Quadratic Optimization of Life Insurance Payment Streams. ASTIN Bulletin 36(1): 245-267.

50. 2006. Surplus-linked Life Insurance. Scandinavian Actuarial Journal 2006(1):1-22.

51. 2006. Portfolio Problems Stopping at First Hitting Time with Applications to Default Risk. Mathematical Methods of Operations Research 63(1):123-150. (with H. Kraft)

52. 2005. A Note on the Free Policy Reserve. Blätter der DGVFM 27(2):185-198.

53. 2005. What is the Time Value of a Stream of Investments? Journal of Applied Probability 42:861-866. (with R. Norberg)

54. 2004. On Merton's Problem for Life Insurers. ASTIN Bulletin 34(1):5-25.

55. 2002. Intervention Options in Life Insurance. Insurance: Mathematics and Economics 31:71-85.

56. 2000. A No Arbitrage Approach to Thiele's Differential Equation. Insurance: Mathematics and Economics 27:201-214. 

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Books, book articles, and miscellaneous: 

1. 2020. Risk and Insurance. Springer. (with S. Asmussen)

2. 2007. Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press. (with T. Møller)

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1. 2022. Pension Product Design and Relations to the Danish Market. In: Andersen, T. M., Jensen, S. E. H., Rangvid, J. The Danish Pension System. Oxford University Press. (with C. Munk and S. F. Jarner)

2. 2007. Differential Equations in Finance and Life Insurance. In: Jensen, B. S., and Palokangas, T. Stochastic Economic Dynamics. CBS press.

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1. 2023. Matematikken bag bedre forsikringer til en mere fair pris. Aktuel Naturvidenskab 2023(1). (with M. Bladt, C. Furrer, and M. Hiabu)

2. 2022. Continuing Risks. Risks 11(1):10. (with C. Constantinescu and M. Guillen)

3. 2020. Forbrugerens udfordringer med forsikrings- og pensionsbeslutninger: Et livscyklusperspektiv. Finans/Invest, april - 2020. (with S. E. H. Jensen, M. Kallestrup-Lamb, and C. Tanggaard)

4. 2019. Ragnar Norberg (1945-2017): an actuary of a unique kind. Scandinavian Actuarial Journal 2019(8):637-641.

5. 2018. Ragnar Norberg, 1945-2017. European Actuarial Journal 8(1):1-7. (with P. Barrieu, S. Loisel, and W. Neuhaus)

6. 2016. Den store gevinst er simpel matematik. Magisterbladet.

7. 2014. Publishing Risks. Risks 2(1):1-2.

8. 2013. Obituary: Michael I. Taksar (1949-2012). Stochastics 85(4):559-574. (with A. Bensoussan and I. V. Evstigneev)

9. 2013. Surrounding Risks. Risks 1(1):43-44.

10. 2011. Sæt fokus på din udbetalingsprofil – en sammenligning af moderne pensionsprodukter med markedsrente. Finans/Invest, september – nr. 6 – 2011. (with P. Linnemann and K. Bruhn)

11. 2011. Functional High Performance Financial IT - The HIPERFIT Research Center in Copenhagen. Proceedings of ftp 2011 (12th International Symposium Trends in Functional Programming 2011). (with J. Berthold, K. F. Larsen, F. Henglein, A. Filinski, and B. Vinter)

12. 2009. Life Insurance. In: Encyclopedia of Quantitative Finance.

13. 2008. Liv og død på formel. Finans/Invest, juni 2008. (with T. Møller)

14. 2007. CDOs in Chains. Willmott magazine, May 2007 – issue 29. (with J. de Kock and H. Kraft)

15. 2001. On Valuation and Control in Life and Pension Insurance. Ph.D. Thesis. Institute for Mathematical Sciences, University of Copenhagen.

16. 2000. Contingent Claims Analysis in Life and Pension Insurance. Proceedings 10th AFIR Colloquium 2000, 587-603. 

Other works:

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=385732

http://scholar.google.dk/citations?user=7CDQeaEAAAAJ&hl=da&oi=ao 

Bibliometrics:

googlescholar: Citations: 1536; h-index: 25 (https://scholar.google.dk/citations?user=7CDQeaEAAAAJ&hl=da&oi=ao)

scopus: Citations: 658; h-index: 17 (https://www.scopus.com/authid/detail.uri?authorId=12144042900)

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Education:

• 2001, PhD in Actuarial Mathematics, University of Copenhagen

• 1997, Cand.Act. (M.Sc. in Actuarial Mathematics), University of Copenhagen

• 1995, B.Sc. in Actuarial Mathematics, University of Copenhagen

• 1989, General Certificate of Education, Vejen Gymnasium 

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Positions and longer visits (part-time and full-time): 

• 2023-. Head of Department, Department of Mathematical Sciences, University of Copenhagen.

• 2012-. Professor of life insurance mathematics, University of Copenhagen

• 2009-2023. Head of the Insurance and Economics Section, Department of Mathematical Sciences, University of Copenhagen (until 2013 called research group Mathematical and Statistical Methods in Insurance and Economics).

• 2008-2012. Professor (with special duties) of life insurance mathematics, University of Copenhagen

• 2005. Visitor at Department of Statistics, London School of Economics and Political Science, UK

• 2004-2008. Associate Professor, Laboratory of Actuarial Mathematics, University of Copenhagen

• 2003. Visitor at Arbeitsgruppe Stochastische Steuerung und Finanzmathematik, University of Kaiserslautern, Germany

• 2001-2004. Assistant Professor, Laboratory of Actuarial Mathematics, University of Copenhagen

• 2000. Visitor at Department of Applied Mathematics and Statistics, Stony Brook University, New York, USA

• 1999. Visitor at Lehrstuhl für Versicherungswissenschaft, University of Karlsruhe, Germany

• 1998-2001. PhD student, Laboratory of Actuarial Mathematics, University of Copenhagen

• 1997-1998. Research Assistant, Laboratory of Actuarial Mathematics, University of Copenhagen

• 1995-1996. Tutor in Life Insurance Mathematics, Laboratory of Actuarial Mathematics, University of Copenhagen

• 1993-1997. Assistant in Danica Pension (Danish life insurance company) 

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Professional: 

• 2018-. Member of the audit committee at PFA Pension (Chairman 2021-).

• 2018-. Member of the board of directors at PFA Pension.

• 2023-. Head of Department, Department of Mathematical Sciences, University of Copenhagen.

• 2023-. Member of the Expert Panel of the Hong Kong Research, Academic and Industry Sectors One-plus (RAISe+).

• 2023-. Co-investigator of WorkFair. Supported by Fynske Købstæders Fond.

• 2022-. Project frame manager of InterAct: Interaction in Actuarial Science.

• 2022-. Co-investigator of FAIR: Forsikringsmatematisk modellering Adapteret til Individets Retsstilling. Supported by Fynske Købstæders Fond.

• 2017-. Faculty member of CBS Board Leadership Education.

• 2016-. Private and Public Sector Services Coordinator, Department of Mathematical Sciences, Uni. of Copenhagen.

• 2015-. Member of the Advisory Accounting Board for Insurance and Pensions under the Danish Financial Supervisory Authority.

• 2014-. Member of the expert panel under the board of the Danish Financial Supervisory Authority.

• 2013-. Associate editor of Insurance: Mathematics and Economics.

• 2007-. Member of the Accounting Committee under the Danish Actuarial Association.

• 2006-. Editor of Scandinavian Actuarial Journal.

• 1998-. Member of the Danish Actuarial Association. 

• 2022. Principal Investigator of Dissemination and visualization of risk profiles. Supported by Copenhagen Fintech.

• 2021. The receiver of the Faculty of Science Business Prize 2021. The prize is awarded for public or private sector collaboration.

• 2020-2021. Member of the Expert Panel of the Hong Kong Research Assessment Exercise 2020.

• 2018-2022. Project manager at Probabli: PROjections of BAlances and Benefits in Life Insurance. Supported by Innovation Fund Denmark (Innovationsfonden).

• 2013-2023. Editor-in-Chief of Risks.

• 2011-2017. Research Area Manager at the research center HIPERFIT: Functional High-Performance Computing for Financial Information Technology. Supported by The Strategic Research Council (Det strategiske forskningsråd).

• 2011-2016. Project manager at Actulus: Actuarial Calculus and Computing. Supported by The Danish National Advanced Technology Foundation (Højteknologifonden).

• 2009-2023. Head of the Insurance and Economics Section, Department of Mathematical Sciences, University of Copenhagen (until 2013 called research group Mathematical and Statistical Methods in Insurance and Economics).

• 2009-2014. Member of the network Danish Center for Accounting and Finance. Supported by Nykredit A/S.

• 2006-2009. Member of the network Danish Center for Accounting and Finance. Supported by FSE (Forskningsrådet for Samfund og Erhverv) and Nykredit A/S.

• 2005-2007. Member of the network Multivariate Risk Models for Finance and Insurance. Supported by FNU (Forskningsrådet for Natur og Univers).

• 2004-2005. Member of the network Mathematical Finance Network.. Supported by SSF (Statens Samfundsvidenskabelige Forskningsråd).

• 2003-2007. Member of the Continued Professional Development Committee under the Danish Actuarial Association (Chairman 2005-2006).

• 2002-2004. Member of the network Stochastic Models for Risk and Extremes. Supported by SNF (Statens Naturvidenskabelige Forskningsråd).

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Presentations (Talks, invited lectures, and short courses): 

1. Investment under Uncertain Preferences. Oberwolfach, October 2023.

2. Individual Life Insurance During Epidemics. 26th International Congress on Insurance: Mathematics and Economics, Edinburgh, July 2023.

3. Optimal consumption, investment, and insurance under state-dependent risk aversion. 22nd ECMI Conference on Industrial and Applied Mathematics, Wroclaw, June 2023.

4. Optimal consumption, investment, and insurance under state-dependent risk aversion. SIAM Conference on Financial Mathematics and Engineering, Philadelphia, June 2023.

5. Developments in life insurance balance calculations: The Danish state-of-the-art. Nordic meeting on Insurance Mathematics, Stockholm, May 2023.

6. Optimal consumption, investment, and insurance under state-dependent risk aversion. Quantitative Finance Workshop, Gaeta, April 2023.

7. Perspectives on Reserve Calculations and Product Design. Conference in honour of Paolo De Angelis, Rome, April 2023.

8. Optimal consumption, investment, and insurance under state-dependent risk aversion. University of Lausanne, March 2023.

9. What is the Value of the Annuity Market? CBS, Copenhagen, March 2023.

10. Optimal consumption, investment, and insurance under state-dependent risk aversion. Linnaeus University, February 2023.

11. Optimal consumption, investment, and insurance under state-dependent risk aversion. Munich, February 2023.

12. Optimal consumption, investment, and insurance under state-dependent risk aversion. OWARS, online seminar, January 2023.

13. Contemporary Life: From Pandemics to Annuity Optimization. AAERS, Canberra, November 2022.

14. Optimal consumption, investment, and insurance under state-dependent risk aversion. Sydney, November 2022.

15. Equilibrium Investment with Random Risk Aversion. Nordic Congress of Mathematicians, Helsinki, August 2022.

16. Equilibrium Investment with Random Risk Aversion. IMS Annual Meeting, London, July 2022.

17. Equilibrium Investment with Random Risk Aversion. 11th Conference in Actuarial Science & Finance, Samos, May 2022.

18. Developments in life insurance balance calculations: The Danish state-of-the-art. Insurance Day, Oslo, April 2022.

19. Optimal Investment with Uncertain Risk Aversion. 10th International Conference on Mathematical and Statistical Methods for Actuarial Science and Finance, Salerno, April 2022.

20. Optimal Investment with Uncertain Risk Aversion. 13th International Workshop on Stochastic Models and Control, Lübeck, March 2022.

21. Optimal Investment with Uncertain Risk Aversion. Edinburgh, March 2022. (Online)

22. Optimal Investment with Uncertain Risk Aversion. Milano, November 2021.

23. Optimal Investment with Uncertain Risk Aversion. Barcelona, October 2021.

24. Optimal Investment with Uncertain Risk Aversion, 24th International Congress on Insurance: Mathematics and Economics, July 2021. (Online)

25. Personal Consumption and Insurance Decision Making. Mathematics Colloquium, University of Connecticut, April 2021. (Online)

26. Epiphanies in Pension Investments and Valuation. Bielefeld, January 2021. (Online)

27. Epiphanies in Pension Investments and Valuation. Paris, December 2020. (Online)

28. The consumption smoothing puzzle. OICA, Lyon, April 2020. (Online)

29. Epiphanies in Pension Design and Valuation. Liverpool, November 2019.

30. Epiphanies in Pension Design and Valuation. Salerno, October 2019.

31. Aspects of Valuation and Control in Pensions and Investments I: Accounting for behavior, Rome, October 2019.

32. Aspects of Valuation and Control in Pensions and Investments II: Optimization with time-additive utility, Rome, October 2019.

33. Aspects of Valuation and Control in Pensions and Investments III: Optimization with non-time-additive utility, Rome, October 2019.

34. Epiphanies in Pension Design and Valuation. Pension Finance Workshop, Vaduz, Liechtenstein, August 2019.

35. Forward Transition Rates. Insurance: Mathematics and Economics, Munich, June 2019.

36. Optimal Design: From Insurance Policy to Economic Policy. International Conference on Computational Finance, A Coruña, June 2019.

37. Three Small Epiphanies. Third International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, June 2019.

38. Three Small Epiphanies. Seminar, Dublin, May 2019.

39. Forward Transition Rates. IAA Colloquium, Cape Town, April 2019.

40. Optimal Design: From Insurance Policy to Economic Policy. Pension Liabilities meeting at the Royal Society, London, March 2019.

41. Life made simpler: From policyholder behavior to multi-state forward transition rates. Workshop on Fair Valuation in Insurance, Bruxelles, March 2019.

42. Forsikring, Pension og Nytteoptimering. UNF, København, February 2019.

43. Personal Consumption and Insurance Decision Making. Felix Klein Kolloquium, Kaiserslautern, January 2019.

44. Consumption-Investment-Insurance Problems. Seminar, Hosei University, January 2019.

45. Consumption-Investment-Insurance Problems. RSFAS Summer Research Camp, ANU, November 2018.

46. Life made simpler. Seminar, ANU, November 2018.

47. Consumption-Investment-Insurance Problems. Seminar, UNSW, November 2018.

48. Consumption-Investment-Insurance Problems. Seminar, Macquarie University, November 2018.

49. Consumption-Investment-Insurance Problems. UNISActuarial School, Pæstum, October 2018.

50. En aktuars bekendelser. Alumnefest, Math, KU, September 2018.

51. Pension Saving Decision Making under Lifetime and Investment Uncertainty. 27th Nordic Conference in Mathematical Statistics, Tartu, June 2018.

52. Pension Saving Decision Making under Lifetime and Investment Uncertainty. 31st International Congress of Actuaries, Berlin, June 2018.

53. Consumption-Investment-Insurance Problems. 2nd Conference, Mathematical Economics and Finance, Manchester, December 2017.

54. Around the Life-Cycle: Deterministic Consumption-Investment Strategies. IAA Life Colloquium, Barcelona, October 2017.

55. Consumption-Investment-Insurance Problems. 41st AMASES meeting, Cagliari, Sardinia, September 2017.

56. Approximations to expected utility optimization in continuous time. IME, Vienna, July 2017.

57. Time-Consistent Consumption and Investment. Workshop on Time Consistency at Chinese University of Hong Kong, Hong Kong, April 2017.

58. Time-Consistent Consumption and Investment. Workshop on Stochastic Models and Control, Trier, March 2017.

59. From Risk and Time Preferences to Optimal Annuity Design. Zürich-Hannover-Workshops on Insurance and Financial Mathematics, Hannover, November 2016.

60. On the Separation of Preferences for Risk and Substitution. Seminar, Heriot-Watt University, Edinburgh, October 2016.

61. On the Separation of Preferences for Risk and Substitution. Pension Finance, Asset-liability Management, Asset Allocation under Parameter Uncertainty, Bolzano, September 2016.

62. Non-recursive Separation of Risk and Time Preferences. 20th International Congress on Insurance: Mathematics and Economics, Atlanta, July 2016.

63. On the Separation of Preferences for Risk and Substitution. 3rd Annual CEAR – Huebner Summer Risk Institute, Atlanta, July 2016.

64. Consumption, insurance, and health decisions under life-time uncertainty. The 10th  Tartu Conference on Multivariate Statistics, Tartu, Estonia, June 2016.

65. On the Separation of Preferences for Risk and Substitution. Perspectives on financial and actuarial modelling, University of Salerno, Satellite Workshop of the 48th Scientific Meeting of the Italian Statistical Society, June 2016.

66. On the Separation of Preferences for Risk and Substitution. 27th Nordic Congress of Mathematicians, Stockholm, March 2016.

67. Aspects of Controlling Life Event Risk. Actuarial and Financial Mathematics Conference, Bruxelles, February 2016.

68. Aspects of Controlling Life Event Risk. Seminar, Imperial College, London, January 2016.

69. Aspects of Controlling Life Event Risk. Seminar, Cass Business School, London, November 2015.

70. Risk Management: Long-term Objectives and Short-term Constraints. Swiss Risk and Insurance Forum, Zurich, November 2015.

71. Fifty Ways to Hump Consumption. Loccum/Hannover, October 2015.

72. Fifty Ways to Hump Consumption. Oberwolfach, September 2015.

73. Aspects of Controlling Life Event Risk. ARC, Toronto, August 2015.

74. Optimality in Life-Cycle Mortgage Choice. IME, Liverpool, June 2015.

75. Aspects of Controlling Life Event Risk. IAA Life and PBSS, Oslo, June 2015.

76. Aspects of Controlling Life Event Risk. DGVFM Scientific Day 2015, Berlin, April 2015.

77. Aspects of Controlling Life Event Risk. Stochastic Models and Control 2015, Kaiserslautern, March 2015.

78. From Utility Optimization to Good Advice and Good Product Design. Perspectives on Actuarial Risks in Talks of Young Researchers 2015, Liverpool, January 2015.

79. From Utility Optimization to Good Advice and Good Product Design. 2014 Le Mans Insurance & Finance Risk Colloquium, Le Mans, November 2014.

80. From Utility Optimization to Good Advice and Good Product Design. Seminar, Norwegian Business School, Oslo, October 2014.

81. From Utility Optimization to Good Advice and Good Product Design. 2nd European Actuarial Journal Conference, Vienna, September 2014.

82. From Utility Optimization to Good Advice and Good Product Design. 11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, July 2014

83. Matematikken i økonomien - økonomien i matematikken. Conference on ’Fremtidens matematik’, Copenhagen, May 2014.

84. Optimal Investment, Consumption and Insurance with Recursive Utility. 30th International Congress of Actuaries, Washington, April 2014.

85. Status på opgørelse af livhensættelser og overvejelser omkring pensionsgarantier. KMPG Seminar, Copenhagen, November 2013

86. From Utility Optimization to Good Advice and Good Product Design. Ulm, October 2013.

87. From Utility Optimization to Good Advice and Good Product Design. Cramer Symposium, Stockholm, June 2013.

88. God rådgivning og godt produktdesign: Erhvervssamarbejde med forskningshøjde. CFIR, Copenhagen, December 2012.

89. Stochastic Control Applications in Life Insurance. Workshop on applied probability in honor of Professor Guy Latouche, Bruxelles, November 2012.

90. Stochastic Control Applications in Life Insurance. The 16th International Congress on Insurance: Mathematics and Economics, Hong Kong, June 2012.

91. Reserving for Solvency II: In the Footprints of Prudence. Actuarial Science & Risk Measures Workshop, Piraeus, May 2012.

92. On Consistent Decision Making and the Theory of Recursive Utility, Seminar, Köln, April 2012.

93. On the Theory of Recursive Utility, Oberwolfach, January 2012.

94. On the Theory of Recursive Utility, Seminar, Copenhagen, December 2011.

95. On the Theory of Recursive Utility, Seminar, Torino, November 2011.

96. On the Theory of Recursive Utility, Swissquote conference, Lausanne, October 2011.

97. Quadratic and Collective Objectives, Consistency, and Recursive Utility, Seminar, Maastrict, September 2011.

98. Credit Risk Modelling and Management, European Actuarial Academy Seminar, Copenhagen, June 2011.

99. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Dublin, March 2011.

100. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Hannover, January 2011.

101. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Bergen, November 2010.

102. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Bonn, May 2010.

103. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, København, January 2010.

104. Interviewundersøgelse om Skandia Pension, Analyse og kommentarer, Skandia Invest Forum, København, December 2009.

105. Livsforsikringsmatematiske essays. Den Danske Aktuarforening, København, December 2009.

106. Pension fund management based on solutions to constrained consumption-investment problems. Life Colloquium, Munich, September 2009.

107. 50 ways to leave your stocks. Humboldt University, Berlin, July 2009.

108. 50 ways to leave your stocks. British-Nordic Congress of Mathematicians, Oslo, June 2009

109. Pension fund management based on solutions to constrained consumption-investment problems. CMA workshop on Insurance mathematics and longevity risk, Oslo, May 2009.

110. Constrained portfolio optimization with applications to insurance. Cologne Life Insurance Day, Cologne, March 2009.

111. Det er koldt og man må gå sig varm: Om finanskrise, kundernes valgmuligheder og Markovprocesser i pensionsbranchen. Dansk Selskab for Teoretisk Statistik, København, December 2008.

112. On optimal decision making in a life insurance multi-state Markov model. Universität Rostock, December 2008.

113. On qualitative modelling and management of insurable and securitizable risks. Center for Advanced Security Studies, Copenhagen 2008.

114. Optimal Control in Finite State Markov Chains with Applications to Personal Finance and Credit Risk Management. Workshop on Optimization and Optimal Control. Linz, Austria, October 2008.

115. Allocation with Contagion and Explicit Bankruptcy Procedures. Symposium on Stochastic Dynamic Models in Finance and Economics, Odense, August 2008.

116. Moderne metoder i livsforsikring. The Danish Society of Actuaries, Copenhagen, June 2008.

117. What Has Finance Done for Life Insurance – and vice versa? Oberwolfach, February 2008.

118. What Has Finance Done for Life Insurance – and vice versa? Workshop on Finance, Stochastics and Insurance, Bonn, February 2008.

119. Market-Valuation Methods in Life and Pension Insurance. International Summer School, Swiss Association of Actuaries. Scientific Director (with T. Møller), Lausanne, August 2007.

120. From Life Insurance to Credit Risk: On Optimal Decisions in a Multi-state Model. Heriot-Watt University, Edingburgh, May 2007.

121. Moderne metoder i livsforsikring. The Danish Society of Actuaries, Copenhagen, April 2007.

122. Market-Valuation Methods in Life and Pension Insurance. Third Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, March 2007.

123. Decisions and Design in Life and Pension Insurance. Risk and Stochastics Day, London School of Economics and Political Science, March 2007.

124. From Life Insurance to Credit Risk: On Portfolio Choice in Multistate Markov Chains. Danish Center for Accounting and Finance, Sandbjerg, March 2007.

125. Decisions and Design in Life and Pension Insurance. Oberwolfach, February 2007.

126. Decisions and Design in Life and Pension Insurance. Cass Business School, November 2006.

127. Finansiering og forsikring: Er det matematik? Ungdommens Naturvidenskabelige Forening, Copenhagen, September 2006.

128. Optimal Consumption and Insurance. 21st European Conference on Operations Research, Reykjavik, July 2006.

129. Accounting for Intervention Options. 28th International Congress of Actuaries, Paris, June 2006.

130. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. Tanaka Business School, Imperial College, London, UK, November 2005.

131. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. London School of Economics and Political Science, November 2005.

132. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. International Conference on Finance, Copenhagen, September 2005.

133. On Life Insurance and Pension Insurance Accounting and Solvency Standards. Nordea Investment Management, Copenhagen, October 2004.

134. Differential Systems in Life Insurance. 3rd Conference in Actuarial Science and Finance on Samos, September 2004.

135. Optimization in Life Insurance. 6th World Congress of the Bernoulli Society for Mathematical Statistics and Probability, Barcelona, July 2004.

136. New Financial Products in Insurance. The 1st Nordic summer school in insurance mathematics. Main lecturer (with T. Møller), Stockholm, September 2003.

137. Optimization in Life Insurance. University of Ulm, July 2003.

138. Optimization in Life insurance. Technical University Munich, July 2003.

139. Quadratic Optimization of Life Insurance Payment Streams. 7th International Congress on Insurance: Mathematics and Economics, Lyon, June 2003.

140. Optimization in Life Insurance. 2nd Workshop on Dynamic Optimization Problems in Finance and Insurance, Kaiserslautern, June 2003.

141. On Merton's Problem for Life Insurers. Scientific Conference on Insurance and Finance, Bonn, April 2003.

142. Hvad laver de på universitetet? - og hvad kan det bruges til? Den Danske Aktuarforening, København, April 2003.

143. Quadratic versus utility-based optimization in life insurance. Workshop on stochastics for risk, insurance and finance, London, December 2002.

144. On Merton's problem for insurers. 6th International Congress on Insurance: Mathematics and Economics, Lisbon, July 2002.

145. On Merton's Problem for insurers. Interplay between Mathematical Finance and Insurance, Århus, June 2002.

146. Life insurance mathematics and optimization. Fraunhofer ITWM, Kaiserslautern, June 2002.

147. On jump-diffusion factor models with intervention and Danish accounting practice. International Symposium on Insurance and Finance, Bergen, April 2002.

148. Intervention options in life and pension insurance. 12th AFIR Colloquium, Cancun, March 2002.

149. Utility optimization of payment streams in life and pension insurance. Workshop on stochastic control and its application in insurance, Karlsruhe, December 2001.

150. Aspekter af værdifastsættelse i livs- og pensionsforsikring. Nordea Markets, Copenhagen, October 2001.

151. Intervention options in life and pension insurance. 5th International Congress on Insurance: Mathematics and Economics, PennState, Pennsylvania, July 2001.

152. On valuation and control in life and pension insurance. PhD defence. Copenhagen, June 2001.

153. Intervention options in life and pension insurance. FML colloquium, Copenhagen, May 2001.

154. Aspects of valuation in life insurance. University of Southern Denmark, Odense, October 2000.

155. Thiele's differential equation - still going strong. The 1st T.N.Thiele Symposium on Stochastic in Insurance and Finance, Copenhagen, August 2000.

156. Contingent claims analysis in life and pension insurance. 10th AFIR Colloquium, Tromsø, June 2000.

157. Contingent claims analysis in life and pension insurance. University of Oslo, January 2000.

158. A financial approach to life and pension insurance. ETH Zurich, June 1999.

159. A financial approach to life and pension insurance. University of Karlsruhe, July 1999.

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Supervision (PhD): 

1. Tessa Steensgaard. In progress. (Supervised jointly with Christian Furrer and Munir Hiabu).

2. Philipp Carsten Hornung. In progress. (Supervised jointly with Christian Furrer).

3. Julie Bjørner Søe. In progress. 

4. Oliver Lunding Sandqvist. In progress. (Supervised jointly with Christian Furrer, and Lars Frederik Brandt Henriksen and Niklas Lindholm, PFA, industrial partner).

5. Anna Kamille Nyegaard (2023). Projections and sensitivities of life insurance liabilities.

6. Jamaal Ahmad (2023). Matrix methods in multi-state life insurance. (Co-supervised jointly with Mogens Bladt).

7. Snorre Jallbjørn (2023). Multi-Population Mortality Models and Scenario-Based Projections. (Co-supervised jointly with Niels Richard Hansen, and Søren Fiig Jarner, ATP, industrial partner).

8. Debbie Kusch Falden (2022). Projection of balances and benefits in life insurance with various dividend strategies.

9. Alexander Lollike (2022). Projections in Life Insurance and the Equilibrium Approach to Utility Optimization.

10. Christian Furrer (2020). Multi-state modeling in the mathematics of life insurance: meditations and applications. (Supervised jointly with Niels Richard Hansen, and Kristian Buchardt and Peter Holm Nielsen, PFA Pension, industrial partner).

11. Maj-Britt Nordfang (2017). Preferences, behaviour and the design of financial contracts. (Supervised jointly with Trine Krogh Boomsma and Ken Friis Larsen).

12. Ninna Reitzel Jensen (2016). Modern Policyholder Preferences and Scenario-Based Projections. (Supervised jointly with Jesper Lund Pedersen).

13. Kristian Buchardt (2015). Life Insurance Liabilities with Policyholder Behavior and Stochastic Rates. (Supervised jointly with Thomas Møller and Peter Holm Nielsen, PFA pension, industrial partner).

14. Kamille Sofie Tågholt Gad (2015). Optimal Stopping and Policyholder Behavior in Life Insurance. (Co-supervised jointly with Jesper Lund Pedersen).

15. Lars Frederik Brandt Henriksen (2014). Aspects of Valuation and Optimization in Life Insurance. (Supervised jointly with Jesper Lund Pedersen).

16. Morten Tolver Kronborg (2014). Advances in Consumption-Investment Problems with Applications to Pension. (Supervised jointly with Søren Fiig Jarner and Michael Preisel, ATP, industrial partner).

17. Bruhn, Kenneth (2013). Preferences and Design in Insurance and Pensions. (Supervised jointly with Per Klitgård and Per Linnemann).

18. Masotti, Esben Kryger (2010). Five Essays in Life Insurance Mathematics. (Supervised jointly with Søren Fiig Jarner and Michael Preisel, ATP, industrial partner).

19. Nielsen, Peter Holm (2006). Financial Optimization Problems in Life and Pension Insurance. (Co-supervised jointly with Hanspeter Schmidli).

20. Dahl, Mikkel (2005). On Mortality and Investment Risk in Life Insurance. (Co-supervised jointly with Thomas Mikosch and Thomas Møller). 

_______________________________________________________________________________________________________________________________________________________________

Supervision (Master/Cand.Act.): 

1. Amalie Riff Brems.

2. Sigrid Grejsler. (Supervised jointly with Philipp Carsten Hornung).

3. Joachim Edelberg Glenstrup. (Supervised jointly with Julie Bjørner Søe).

4. Peter Johan Hammer. (Supervised jointly with Julie Bjørner Søe).

5. Kasper Nørmark Hansen. (January 16, 2024). Interest rate modelling in with-profit life insurance using linear dividend strategies. (Supervised jointly with Alexander Lollike). 

6. Anders Bjørn Darlyng Ramming. (January 16, 2024). Valuing consumption with utility from a bequest and access to an investment and insurance market.  (Supervised jointly with Julie Bjørner Søe). 

7. Emil Andersen. (June 22, 2023). Modelling Reserve Dependent Lapse Intensities in Life Insurance. (Supervised jointly with Jesper Buchardt Andersen).

8. Emil Filtenborg Olesen. (June 22, 2023). Market Value Reduction and Portfolio Insurance.

9. Savannah Halling Vikkelsøe. (June 12, 2023). Optimal strategies for consumption and investment strategies with habit formation in life insurance.

10. Rikke Nordbo Keller. (June 12, 2023). Housing wealth as a supplement for consumption. (Supervised jointly with Luca De Gennaro Aquino). 

11. Lasse Peter Ottosen. (January 16, 2023). Comparison of Bonus Computation Methods: State-Dependent & State-Independent. (Supervised jointly with Jamaal Ahmad).

12. Muhammad Abdullah Iqbal. (January 16, 2023). Analysis of projection models with bonus in multi-state life insurance. (Supervised jointly with Jamaal Ahmad). 

13. Frederik Zobbe Christiansen. (January 6, 2023). Aspects of mortality rate modelling.

14. Jens-Philip Dehn-Toftehøj. (January 6, 2023). Calibration of risk aversion to real asset allocations in personal finances. (Supervised jointly with Debbie Kusch Falden).

15. Christine Winther. (September 29, 2022). Stochastic Retirement. (Supervised jointly with Peter Fledelius).

16. Christopher Glaf Stenhammer. (June 17, 2022). Optimal sustainable investments and consumption with green preferences.

17. Kevin Ma. (June 17, 2022). Computation of Bonus in Multi-State Life Insurance. (Supervised jointly with Jamaal Ahmad).

18. Laura Sylow Francis. (January 18, 2022). Epidemiological Modelling in Life Insurance.

19. Marica Sjøsten. (June 16, 2021). En juridisk og matematisk analyse af tab af erhvervevneforsikringerne.  (Supervised jointly with Mads Bryde Andersen).

20. Oliver Richmann Truesen. (June 16, 2021). Experience Rated Premiums in the Classic Markov Chain. (Supervised jointly with Alexander Sevel Lollike).

21. Lasse Sørensen. (January 11, 2021). Consolidation in a scenario-based projection model. (Supervised jointly with Anna Kamille Nyegaard).

22. Magnus Lyhne Jessen. (January 7, 2021). Reserve-Dependent Payments and Future Management Actions. (Supervised jointly with Debbie Kusch Falden).

23. Steffen Thyge Pedersen. (December 1, 2020). Prognoses and Sensitivities. 

24. Sandra Bervig Kjær. (November 11, 2020). A Rational Approach to Stochastic Retirement. (Supervised jointly with John Olsen).

25. Julie Bjørner Søe. (September 15, 2020). Optimal consumption and investment decisions under state-varying relative risk aversion.

26. Rasmus Tolker Nielsen. (September 9, 2020). Tidspension - Stochastic modeling of liabilities. (Supervised jointly with Jesper Buchardt Andersen).

27. Viktor Jeppesen. (August 24, 2020). Forward Transition Rates in Multi-State Models.

28. Alexandra Debel Andreasen. (December 19, 2019). Comparison of Design Properties in Pension Savings.

29. Hung Vo Bao Nguyen. (December 19, 2019). Consumption and Portfolio Optimization in Life Insurance.

30. Kristian Koch-Hansen. (December 16, 2019). Valuation of Technical Provisions in Participating Life Insurance under Solvency II.

31. Jacob Juhl Sørensen. (December 16, 2019). Experience Rating in the Setup of Multivariate Correlated Frailties. (Supervised jointly with Christian Furrer).

32. Hilmar Kass. (September 27, 2019). Gap risk in Constant Proportion Portfolio Insurance for life insurance.

33. Frederik Højrup Clausen. (September 23, 2019). On the calculation of forecasts for simple unit-linked products. (Supervised jointly with Magnus Tor Ry Hessler).

34. Sebastian Kjellerød Have. (September 20, 2019). Implementation of future management actions and effects on liability management in Danish life insurance. (Supervised jointly with Jette Lunding Sandqvist and Johan Burgaard).

35. Asbjørn Emil Feldinger. (September 20, 2019). Valuation of Future Management Actions in Pension Insurance. (Supervised jointly with Jette Lunding Sandqvist and Johan Burgaard).

36. Jamaal Ahmad. (September 18, 2019). Elimination of Path Dependencies for Projection of Cash Flows in Multi-State Life Insurance. (Supervised jointly with Kristian Buchardt and Christian Furrer).

37. Marie Louise Bitsch Lauritzen. (August 26, 2019). An Evaluation of Volatility Adjustment under Solvency II.

38. Anna Kamille Petersen. (July 5, 2019). Analysis and Calculation of Prospective Reserves where benefits depend on the reserve and a reserve-dependent Markov process.

39. Nete Damgaard Wangsbøll. (June 18, 2019). Application of Solvency II Future Management Actions.

40. Stine Galsøe. (March 28, 2019). The Danish Pension System – the interaction between social and private pensions.

41. Mette Klint Axelsen. (March 28, 2019). Retaining the consumption level upon disability and retirement.

42. Bolette Linding Nielsen. (March 27, 2019). Longevity and health risks in a three-state Markov model with focus on disability and retirement.

43. Amalie Pedersen. (March 27, 2019). Longevity, Health Risk and Retirement Timing in Life Insurance.

44. Sofie Frium. (March 19, 2019). Danish model: Relation between disability insurance benefit and public social security. (Supervised jointly with Asbjørn Stub Korsgaard Jacobsen).

45. Malene Kristoffersen. (February 21, 2019). Consumption-Investment-Insurance Decisions over the Life-Cycle.

46. Frederik Dyhl Østerkryger. (September 27, 2018). Optimal retirement age.

47. Jakob Essendrop. (August 31, 2018). An excursion into life-cycle investment products. (Supervised jointly with Thomas Møller).

48. Alexander Lollike. (July 6, 2018). Expected Utility Optimization and Polynomial Approximations.

49. Nikoline Benedikte Nyeland Ehlers. (April 9, 2018). Profit margin for Unit-linked Policies. (Supervised jointly with Thomas Møller).

50. Kristian Schmidt Rasmussen. (March 9, 2018). A Pension Fund Optimizing its Wealth over Liabilities.

51. Jingye She. (December 11, 2017). Suboptimal deterministic investment strategies.

52. Martin Steen Andersen (November 29, 2017). Projection of Unit-Linked Policies.

53. Monica Josefine Lind Blair (November 29, 2017). The Economic Value of Insurance Contracts under Reselection.

54. Anders Druedahl. (November 27, 2017). Optimal Consumption-Insurance Problems.

55. Christian Furrer. (August 11, 2017). Empirical Bayes credibility for the classic Markov chain life insurance setting.

56. Ulla Bergstedt (March 29, 2017). Profit Margin in Life Insurance.

57. Lasse Bo Krabbe (November 30, 2016). Optimalt forbrug, investeringer og husbeslutning.

58. Andreas Voigt Dalgaard (August 31, 2016). Optimal Choice of Coverage in a Disability Product.

59. Ida Egede Andersen (August 31, 2016). Numerical Calculations of Static and Dynamic Optimal Consumption and Products.

60. Snorre Jallbjørn (August 29, 2016). A Co-integration Analysis of Danish Mortality Data. (Supervised jointly with Søren Fiig Jarner).

61. Jeppe Woetmann Nielsen (June 20, 2016). Calculating Risk Margins under Solvency II.

62. Mette-Louise Davidsen (June 16, 2016). Optimal Consumption, Individualized Payment Profiles, and Legislation.

63. Monica Gjøg Piil (June 16, 2016). Optimal Consumption in Relation to Life Insurance Products and the Danish Legislation.

64. Johan Baastrup Burgard (December 14, 2015). Eliciting Risk and Time Preferences Under Separation of Risk Aversion and Elasticity of Substitution.

65. Sofie Østergard (November 30, 2015). Fee Structures for Variable Annuities.

66. Maria Nasgård (November 20, 2015). An Analysis of the New Accounting Rules and the Effects on the Risk Return.

67. Mia Frøkjær (September 29, 2015). An Analysis of the New Executive Order on the Contribution Principle and the New Executive Order on the Preparation of Financial Statements.

68. Marie-Louise Suk Olsen (September 14, 2015). Numerical Methods to Derive Cash Flows and Prospective Reserves in Generalized Models.

69. Nikolaj Mikkelsen (August 28, 2015). Optimal Life Insurance Purchase, Consumption, Investment, and Retirement.

70. Asbjørn Stub Jacobsen (June 29, 2015). Reserve Dependent Cash Flows in Life Insurance Mathematics.

71. Sidsel Fiedler Røge (June 15, 2015). Optimal consumption.

72. Line Lindschouw Grenaae (June 15, 2015). Optimal insurance products for consumer.

73. Marcus Jonathan Sebastian Hannerz (April 17, 2015). Stochastic Longevity Models & Solvency II Stress Scenarios.

74. Asger Thorbjørn Thøgersen (February 6, 2015). Valuation of Life Insurance Contracts.

75. Mette Ulstrup Mortensen (December 19, 2014). Optimal Consumption and Life Insurance Choices with Leisure Control and Habit Formation.

76. Camilla Myrdal Engmark. (December 12, 2014). An extended disability model with causal explanation of disability. (Supervised jointly with Kristian Buchardt).

77. Lise Hemmeshøj Jensen (November 27, 2014).

78. Mads Hjeresen (November 24, 2014). Numerical valuation of Surrender Options.

79. Mia Jensbøl Johansen (October 31, 2014). Optimal consumption and Life insurance with the option to control leisure time.

80. Christian Thulstrup Kongsgard (October 8, 2014). Market Value Calculations in Life Insurance by PDEs or ODEs? (Supervised jointly with Kristian Buchardt).

81. Jonas Fuglsang Nielsen (May 7, 2014). Anvendelse af 7-tilstandsmodellen ved beregning af markedsværdihensættelser.

82. Mads Reiter (April 30, 2014). Time-Homogeneous Consumption-Investment Problems.

83. Naja Holm (April 22, 2014). ATP’s produktdesign.

84. Matej Sucha (September 5, 2013). Valuation of life insurance companies: Market consistent embedded value approach vs. Dividend discount model.

85. Line Brodersen Warncke (April 24, 2013). Optimal investering for investor med tidsafhængigt formuemål.

86. Magnus Tor Ry Hessler (April 9, 2013). Modellering af genkøbsadfærd – et datastudie.

87. Ninna Reitzel Jensen (February 28, 2013). On the Theory of Life Insurance Decisions under Recursive Utility.

88. Christian Norre (November 7, 2012). Et simulationsstudie af tilstands-pris-deflatoren.

89. Eva Pedersen (July 6, 2012). Indregning af genkøbs- og fripoliceoption i markedsværdihensættelser.

90. Paul Membrere (July 6, 2012). Beregning af hensættelser i en flertilstands-Markov-model med indregning af genkøbs- og fripoliceadfærd.

91. Cecilie Horn (July 2, 2012). Solvency II: An analysis of the loss distribution in the interest module.

92. Geske Kristensen (May 9, 2012). Særlige bonushensættelser i livsforsikring. (Supervised jointly with Mads Bryde Andersen).

93. Nicholas Højer-Nielsen (March 26, 2012). Tarifering af Variable Annuiteter.

94. Elisabeth Nærum (December 19, 2011). Optimale investerings- og opsparingsstrategier med endogen vanedannelse.

95. Lukas Torp-Pedersen (December 19, 2011). Endogeneous Habit Formation.

96. Sofie Vester (December 13, 2011). Garantier i pensionsaftaler. (Supervised jointly with Mads Bryde Andersen).

97. Catherine Louise Poulsen (October 10, 2011). Kontributionsprincippet versus Gennemsnitsrenteprincippet. (Supervised jointly with Peter Holm Nielsen).

98. Søren Skytte (October 3, 2011). Kontributionsprincippet.

99. Kristian Buchardt (September 19, 2011). Affine Processes in Life Insurance Mathematics – With a View Towards Solvency II. (Supervised jointly with Thomas Møller).

100. Cathrine Renneberg (May 19, 2011). Værdifastsættelse af en forsikringskontrakt med fokus på forsikringstagerens adfærd.

101. Maj-Britt Nordfang (March 22, 2011). Approximating optimal investment strategies.

102. Kamilla Petersen (December 9, 2010). Inkonsistente porteføljeproblemer under kollektiv potensnytte.

103. Martine Stokholm (September 27, 2010). Overskudsfordeling til homogene delbestande.

104. Morten Tolver Kronborg (September 23, 2010). Inkonsistente investerings- og forbrugsproblemer.

105. Kirsten Niels-Christiansen (September 23, 2010). Porteføljer og priser under middelværdi-varians nytten med konstant og hyperbolsk risikoaversion.

106. Christel Clausen (September 23, 2010). Porteføljeproblemer med eksponentiel nytte of kollektive objektfunktioner.

107. Michael Hartvigsen Knudsen (September 7, 2010). Optimal portfolios and utility indifference pricing under mean-variance utility.

108. Linda Maria Bodholdt (September 7, 2010). Optimeringsproblemer og prisfastsættelse af ikke-hedgebare forsikringskrav med mean-variance nytten.

109. Agnieszka Konicz (August 19, 2010). Performance measurement of empirical and theoretical pension investment strategies.

110. Iben Jespersen (March 2, 2010). Optimal investment strategies for house owners.

111. Thomas Styrk (2009). Time-homogeneous optimal investment: Maximisation of expected utility of consumption and minimisation of ruin probabilities.

112. Michala Holm Rode (2009). Nytteoptimering med regime-skift, garantier og oplevelsesforsikring. (Supervised jointly with Peter Holm Nielsen and Thomas Møller).

113. Ieva Masiulyte (2009). Dependent decrement theory in a Markov chain framework.

114. Kenneth Jensen (2009). Optimal Insurance and Consumption under Changing Mortality.

115. Diane Dross (2009). Portfolio Optimization under Market Crashes and Liquidity Constraints.

116. Kenneth Bruhn Kristiansen (2009). Optimal consumption, investment and life annuity purchase under constraints for a single person and multiple persons.

117. Marie Refsgaard Sielemann (2009). Porteføljeforsikringsstrategier på unit-link forsikringer.

118. Hanne Kuckelhahn (2009). Quadratic Hedging of Index Linked Life Insurance Contracts.

119. Mads Hindkær Dahl (2008). Optimal investering, forbrug og dødsfaldsydelse for husejere.

120. Nichlas Abel Korsgaard (2008). Risk and Cost Analysis of a Closed Life Insurance Portfolio.

121. Peter Andersen (2008). Sammenligning af strategier til afdækning af finansielle risici i et Black-Scholes marked.

122. Henrik Jespersen (2008). Bonusprognose.

123. Morten Winther (2008). Risikomargen. (Supervised jointly with Peter Fledelius).

124. Minna Ghasemi (2008). VaR-based Valuation and Optimization. (Supervised jointly with Peter David Melchior).

125. Lars Fogh Jensen (2008). Optimale genforsikringsstrategier.

126. Lise Jørgensen (2007). Optimale investeringsstrategier i oplevelsesforsikringer.

127. Rune Hove Jacobsen (2007). Optimal Reinsurance of Life Insurance Risk in a Dynamic Setting.

128. Louise Kjellerup Eigtved (2007). Betydningen af folkepension og beskatning i forbindelse med beslutningsproblemer i livs- of pensionsforsikring.

129. Kristian Smedemark Hasløv (2007). Porteføljeoptimering under stress. (Supervised jointly with Peter Holm Nielsen).

130. Katrine Loug (2006). Dynamisk versus statisk optimal investering.

131. Julie Have (2005). Corporate Bond Prices in a Market with Correlated Defaults.

132. Lasse Jensen (2005). Aktiv passiv modellering i forsikring.

133. Helle Simonsen (2005). Price Indexed Pension Contracts.

134. Anina Grell (2005). Stopping Time Problems and Stopping Games in Life Insurance.

135. Jacob Bille (2005). Værdifastsættelse i livsforsikring baseret på højere ordens momenter.

136. Lars Keyper Winkel (2005). Prissætning af Unit-link forsikringer med særlige stiafhængige garantier. (Supervised jointly with Jesper Lund Pedersen).

137. Jens Wissing Jensen (2005). Unit-link produkter baseret på ekstrema og fraktiler. (Supervised jointly with Jesper Lund Pedersen).

138. Stine Breiner Andersen (2005). Optimale dækningsstrategier i livsforsikring. (Supervised jointly with Peter Holm Nielsen)

139. Rikke Schlüter Justesen (2005). Optimale pensionsopsparingsstrategier. (Supervised jointly with Peter Holm Nielsen).

140. Jeanette Halle Larsen (2005). Fair fordeling af overskud i livsforsikring.

141. Stephan Waldstrøm (2004). Værdifastsættelse af en unit-link forsikring med en stiafhængig garanti.

142. Bitten Lind Nielsen (2004). Stokastisk dødelighed for livrenter.

143. Karen Skjøtt Christensen (2004). Asset Liability Management - med fair parametre.

144. David Melchior (2003). Optimal allokering og udlodning af overskud i livsforsikring.

145. Line Dahlbæk Nielsen (2002). Analytiske resultater om genkøbs- og fripoliceoptionen.

146. Morten Winther Hansen (2002). An Approximation Method to Exercise and Surrender Options.

147. Jeppe Ekstrøm (2001). Numerisk beregning af fair strategier for investering og udbetaling af overskud.

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Teaching and supervision areas: 

Life insurance mathematics and

• Life and Pension Insurance

•           Personal Insurance             

•           Market Consistent Valuation

•           Pension Fund Management

• Mathematical Finance

•           Personal Finance

•           Consumption-Investment-Insurance Problems

•           Stochastic Control

(1997-2023): 

1. 15 courses on advanced life insurance mathematics and mathematical finance (master courses)

2. 20 courses on basic life insurance mathematics (2./3. year bachelor courses)

3. 5 courses on introductory insurance mathematics (1. year bachelor courses)

4. 12 optional courses on topics in finance and life insurance (master courses in optimization problems, optimal stopping, stochastic control, and financial methods)