Papers
Refereed Publications:
2024. Fairness: plurality, causality, and insurability. European Actuarial Journal. To appear. (with M. Fahrenwaldt, C. Furrer, M.E. Hiabu, F. Huang, F.H. Jørgensen, M. Lindholm, J. Loftus, and A. Tsanakas)
2024. On Smoothing and Habit Formation of Variable Life Annuity Benefits. Journal of Risk and Financial Management. 17(2):75. (with S. H. Vikkelsøe)
2024. Optimal reinsurance design under solvency constraints. Scandinavian Actuarial Journal. 2024(4):383-416. (with B. Avanzi and H. Lau)
2024. Individual Life Insurance During Epidemics. Annals of Actuarial Science. 18(1): 152-175. (with L. Francis)
2023. Polynomial Utility. To appear in International Journal of Theoretical and Applied Finance (with A. S. Lollike)
2023. What is the value of the annuity market? To appear in Decisions in Economics and Finance (with J. B. Søe)
2023. Stable Dividends under Linear-Quadratic Optimization. Quantitative Finance. 23(9):1199-1215. (with B. Avanzi and D. K. Falden)
2023. Equilibrium Investment with Random Risk Aversion. Mathematical Finance. 33(3):946-975. (with S. Desmettre)
2023. Optimal consumption, investment, and insurance under state-dependent risk aversion. ASTIN Bulletin. 53(1):104-128. (with J. B. Søe)
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)
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)
2021. On retirement time decision making. Insurance: Mathematics and Economics. 100:107-129. (with A. Chen and F. Hentschel)
2021. How sub-optimal are age-based life-cycle investment products? International Review of Financial Analysis. 73:101619. (with G. Khemka and G. Warren)
2021. A Note on P- vs. Q-Expected Loss Portfolio Constraints. Quantitative Finance. 21(2):263-270. (with J. Gu and H. Zheng)
2020. Nonrecursive Separation of Risk and Time Preferences. Journal of Mathematical Economics. 90:95-108. (with M. A. Fahrenwaldt and N. R. Jensen)
2020. Eliciting Risk Preferences and Elasticity of Substitution. Decision Analysis. 17(4):314-329. (with J. Burgaard)
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)
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)
2019. Forward Transition Rates. Finance and Stochastics. 23(4):975-999. (with K. Buchardt and C. Furrer)
2018. Personal non-life insurance decisions and the welfare loss from flat deductibles. ASTIN Bulletin. 49(1):85-116. (with J. Thøgersen)
2018. Around the Life-Cycle: Deterministic Consumption-Investment Strategies. North American Actuarial Journal. 22(3):491-507. (with M. C. Christiansen)
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)
2017. Portfolio Optimization and Mortgage Choice. Journal of Risk and Financial Management. 10(1):1. (with M.-B. Nordfang)
2016. Smooth Investment. Annals of Finance 12(3):335-361. (with K. Bruhn and N. R. Jensen)
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)
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)
2015. Reserve-dependent surrender rates. European Actuarial Journal 5(2):283-308. (with K. S. T. Gad and J. Juhl)
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)
2015. Optimal Consumption, Investment and Life insurance with Surrender Option Guarantee. Scandinavian Actuarial Journal 2015(1):59-87. (with M. T. Kronborg)
2014. A Comparison of Modern Investment-Linked Pension Savings Products. Annals of Actuarial Science 9(1):72-84. (with K. Bruhn and P. Linnemann)
2014. Inconsistent Investment and Consumption Problems. Applied Mathematics and Optimization 71(3):473-515. (with M. T. Kronborg)
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)
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)
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)
2013. Deterministic Mean-Variance-Optimal Consumption and Investment. Stochastics 85(4):620-636. (with M. C. Christiansen)
2013. Optimal Smooth Consumption and Annuity Design. Journal of Banking and Finance 37(8):2693-2701. (with K. Bruhn)
2013. A Dynamic Programming Approach to Constrained Portfolios. European Journal of Operational Research 229(2):453-461. (with H. Kraft)
2013. Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets. Finance and Stochastics 17(1):161-196. (with H. Kraft and F. T. Seifried)
2012. Worst-Case-Optimal Dynamic Reinsurance for Large Claims. European Actuarial Journal 2(1):21-48. (with R. Korn and O. Menkens)
2011. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. Journal of Economic Dynamics and Control 35(5):659-667.
2011. Household Consumption, Investment and Life Insurance. Insurance: Mathematics and Economics 48(3):315-325. (with K. Bruhn)
2009. Asset Allocation with Contagion and Explicit Bankruptcy Procedures. Journal of Mathematical Economics 45(1-2):147-167. (with H. Kraft)
2009. A Two-Account Model for Pension Saving Contracts. Scandinavian Actuarial Journal 2009(3):169-186. (with S. Waldstrøm)
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)
2008. Optimal investment and life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics 43(1):15-28. (with P. H. Nielsen)
2008. Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach. ASTIN Bulletin 28(1):231-257. (with H. Kraft)
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)
2007. On Worst Case Portfolio Optimization. SIAM Journal on Control and Optimization 46(6):2013-2030. (with R. Korn)
2007. Bankruptcy, Counterparty Risk, and Contagion. Review of Finance 11:209-252. (with H. Kraft)
2006. Quadratic Optimization of Life Insurance Payment Streams. ASTIN Bulletin 36(1): 245-267.
2006. Surplus-linked Life Insurance. Scandinavian Actuarial Journal 2006(1):1-22.
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)
2005. A Note on the Free Policy Reserve. Blätter der DGVFM 27(2):185-198.
2005. What is the Time Value of a Stream of Investments? Journal of Applied Probability 42:861-866. (with R. Norberg)
2004. On Merton's Problem for Life Insurers. ASTIN Bulletin 34(1):5-25.
2002. Intervention Options in Life Insurance. Insurance: Mathematics and Economics 31:71-85.
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:
2020. Risk and Insurance. Springer. (with S. Asmussen)
2007. Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press. (with T. Møller)
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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)
2007. Differential Equations in Finance and Life Insurance. In: Jensen, B. S., and Palokangas, T. Stochastic Economic Dynamics. CBS press.
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2023. Matematikken bag bedre forsikringer til en mere fair pris. Aktuel Naturvidenskab 2023(1). (with M. Bladt, C. Furrer, and M. Hiabu)
2022. Continuing Risks. Risks 11(1):10. (with C. Constantinescu and M. Guillen)
2020. Forbrugerens udfordringer med forsikrings- og pensionsbeslutninger: Et livscyklusperspektiv. Finans/Invest, april - 2020. (with S. E. H. Jensen, M. Kallestrup-Lamb, and C. Tanggaard)
2019. Ragnar Norberg (1945-2017): an actuary of a unique kind. Scandinavian Actuarial Journal 2019(8):637-641.
2018. Ragnar Norberg, 1945-2017. European Actuarial Journal 8(1):1-7. (with P. Barrieu, S. Loisel, and W. Neuhaus).
2016. Den store gevinst er simpel matematik. Magisterbladet.
2014. Publishing Risks. Risks 2(1):1-2.
2013. Obituary: Michael I. Taksar (1949-2012). Stochastics 85(4):559-574. (with A. Bensoussan and I. V. Evstigneev)
2013. Surrounding Risks. Risks 1(1):43-44.
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)
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)
2009. Life Insurance. In: Encyklopedia of Quantitative Finance.
2008. Liv og død på formel. Finans/Invest, juni – nr. 4 – 2008. (with T. Møller)
2007. CDOs in Chains. Willmott magazine, May 2007 – issue 29. (with J. de Kock and H. Kraft)
2001. On Valuation and Control in Life and Pension Insurance. Ph.D. Thesis. Institute for Mathematical Sciences, University of Copenhagen.
2000. Contingent Claims Analysis in Life and Pension Insurance. Proceedings 10th AFIR Colloquium 2000, 587-603.
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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: 1563; h-index: 25 (https://scholar.google.dk/citations?user=7CDQeaEAAAAJ&hl=da&oi=ao)
scopus: Citations: 667; h-index: 17 (https://www.scopus.com/authid/detail.uri?authorId=12144042900)