Homepage of Ninna Reitzel Heegaard

LinkedIn page: www.linkedin.com/in/ninnareitzel/

Private homepage: www.sites.google.com/site/ninnareitzel/

Employer

PFA Pension

Sundkrogsgade 4

DK-2100 København Ø

Denmark

Education

PhD in Actuarial Mathematics, University of Copenhagen, 2013-2016

MSc in Actuarial Mathematics, University of Copenhagen, 2010-2013

BSc in Actuarial Mathematics, University of Copenhagen, 2007-2010

Previous Work Experience

Senior Portfolio Manager/Portfolio Manager, ATP, January 2018-July 2020

Manager/Senior Consultant, KPMG, April 2016-December 2017

• I worked as an actuary in the Financial Risk Management team in Copenhagen, serving life insurance and non-life insurance clients.

PhD student, University of Copenhagen, April 2013-March 2016

• Research with particular focus on utility optimization, optimal product design, pension prognoses, and account projection. Teaching of two master classes in actuarial science (valuation in life insurance & utility optimization).

Scientific Assistant, University of Copenhagen, March 2013

• Research with focus on utility optimization including life insurance. Leading up to my PhD study.

Student assistant, PFA Pension, May 2011-February 2013

• Development and maintenance of Excel-based tool for pension advice using VBA-programming. Involvement in preparations for Solvency II.

Teaching Assistant, University of Copenhagen, November 2010-October 2011

• Solving exercises in advanced probability theory, non-life insurance, and stochastic calculus for fellow master’s students.

Published Papers

Nonrecursive Separation of Time and Risk Preferences, Journal of Mathematical Economics, 2020, 90, 95-108 (jointly with Matthias Albrecht Fahrenwaldt and Mogens Steffensen)

Life Insurance Decisions under Recursive Utility, Scandinavian Actuarial Journal, 2019, 2019 (3), 204-227

Smooth Investment, Annals of Finance, 2016, 12 (3), 335-361 (jointly with Kenneth Bruhn and Mogens Steffensen)

Scenario-based Life Insurance Prognoses in a Multi-State Markov Model, European Actuarial Journal, 2016, 6(2), 307-330

Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk, Risks, 2015, 3(2), 183-218 (jointly with Kristian Juul Schomacker)

Personal Finance and Life Insurance under Separation of Risk Aversion and Elasticity of Substitution, Insurance: Mathematics and Economics, 2015, 62, 28–41 (jointly with Mogens Steffensen)

PhD Thesis

Modern Policyholder Preferences and Scenario-Based Projections, March 2016

Master's Thesis

On the Theory of Life Insurance Decisions under Recursive Utility, February 2013

PhD Supervisors

Mogens Steffensen, University of Copenhagen

(Jesper Lund Pedersen, University of Copenhagen)

Talks as PhD student

Modern Policyholder Preferences and Scenario-Based Projections, Actulus - The Conference, Copenhagen, Denmark, March 2016

Life Insurance Decisions under Recursive Utility, The Quantitative Methods in Finance 2015 Conference, Sydney, Australia, December 2015

A Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk, The 19th International Congress on Insurance: Mathematics and Economics, Liverpool, UK, June 2015

A Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk, Colloquium of the International Actuarial Association, Oslo, Norway, June 2015

Personal Finance and Life Insurance under Separation of Risk Aversion and Elasticity of Substitution, RMI Research Seminar, Georgia State University, Atlanta, USA, November 2014

Personal Finance and Life Insurance under Separation of Risk Aversion and Elasticity of Substitution, 8th Conference in Actuarial Science & Finance on Samos, Samos, Greece, June 2014

On the Theory of Life Insurance Decisions under Recursive Utility, The 17th International Congress on Insurance: Mathematics and Economics, Copenhagen, Denmark, July 2013

On the Theory of Life Insurance Decisions under Recursive Utility, Perspectives on Actuarial Risks in Talks of Young Researchers, Ascona, Switzerland, January 2013

Participation in Other Conferences

31th International Congress of Actuaries, Washington D.C., USA, April 2014

30th International Congress of Actuaries, Berlin, Germany, June 2018

Teaching as PhD student

Topics in Life Insurance (Liv2), Mandatory course for the Master's degree in Actuarial Science, March-April 2015, University of Copenhagen

• Market-consistent valuation in life insurance, surplus and bonus, unit-linked products.

Consumption-Investment-Insurance Problems, Optional course for the Master's degree in Actuarial Science, April-June 2015, University of Copenhagen

• Stochastic optimal control theory with particular reference to utility optimization and optimal decisions in life insurance and pensions.

Longer Scientific Visits Abroad

Visited professor Daniel Bauer at Risk Management & Insurance, J. Mack Robinson College of Business, Georgia State University, USA, August-December 2014

Miscellaneous

Chairman of "Efteruddannelsesudvalget" (Continued education committee) under the Danish Society of Actuaries

Member of the 2013-2014 Working Group on Pension Prognoses under the Danish Society of Actuaries

Member of the Local Organizing Committee for The 17th International Congress on Insurance: Mathematics and Economics, Copenhagen, Denmark, July 2013