Research

Overview: My research has been focusing on applying theories for incomplete financial market in the analysis of integrated insurance and financial risks. In particular, I have studied methods for controlling the risk associated with unit-linked insurance contracts. More recently I have worked with stochastic mortality models, mortality derivatives used as hedging instruments and cash flow projections with policyholder behaviour. I have published scientific papers in various actuarial and financial journals, e.g. "Finance and Stochastics", "Insurance: Mathematics and Economics", “Scandinavian Actuarial Journal”, "ASTIN Bulletin" and "British Actuarial Journal". In addition I have co-authored a book on market valuation methods in life and pension insurance.

Publications:

Tax- and expense-modified risk-minimization for insurance payment processes (with C. Furrer and K. Buchardt), To appear in Scandinavian Actuarial Journal, 2020. Preprint version.
Hedging and cash flows in the presence of taxes and expenses in life and pension insurance (with K. Buchardt). Risks, 2018, 6(3), 68.
Life insurance cash flows with policyholder behaviour (with K. Buchardt). Risks, 2015, 3(3), 290-317.
Cash flows and policyholder behaviour in the semi-Markov life insurance setup (with K. Buchardt and K. B. Schmidt). Scandinavian Actuarial Journal 2015(8), 2015, 660-688. Preprint version.
Local risk-minimization with survivor bonds (with L. Henriksen). Applied Stochastic Models in Business and Industry 31(2), 241-263, March/April 2015.
A partial internal model for longevity risk (with S. Jarner). Scandinavian Actuarial Journal 2015(4), 2015, 352-382. Award: Best paper of the IAA Colloquium of Lyon 2013 in the Life section. Preprint version
Mixed dynamic and static risk-minimization with an application to survivor swaps (with M. Dahl and S. Glar). European Actuarial Journal 1, 2011, 233-260.
Dynamic programming and efficient hedging for unit-linked insurance contracts (with J.M. Johannesen ). Preprint, May 2009.
Dødelighedsderivater: Longevityobligationer og overlevelsesswaps (with M. Dahl). Finans/Invest, 2009/02.
Liv og død på formel (with M.Steffensen). Finans /Invest juni , nr. 4, 2008.
On systematic mortality risk and risk-minimization with survivor swaps (with M. Dahl and M. Melchior). Scandinavian Actuarial Journal 2008(2-3), 2008, 114-146. Preprint version. David Garrick Halmstad Prize for best actuarial research published in 2008.
Market-valuation methods in life and pension insurance (with M. Steffensen ). International Series on Actuarial Science, Cambridge University Press, 2007. (See here or here)
Valuation and hedging of life insurance liabilities with systematic mortality risk (with M. Dahl). Insurance: Mathematics & Economics 39, 2006, 193-217. Preprint version
Risk-minimization. In: Teugels , J.L. and Sundt , B. (ed.) Encyclopedia of Actuarial Science, Volume 3, pp. 1501-1508, J. Wiley and Sons, Chichester, 2004.
Stochastic orders in dynamic reinsurance markets. Finance and Stochastics 8, 2004, 479-499.
Indifference pricing of insurance contracts in a product space model: Applications. Insurance: Mathematics & Economics 32, 2003, 295-315. Preprint version
Indifference pricing of insurance contracts in a product space model. Finance and Stochastics 7(2), 2003, 197-217. Published paper
On valuation and risk management at the interface of insurance and finance. British Actuarial Journal 8(4), 2002, 787-828. Preprint version. David Garrick Halmstad Prize for best actuarial research published in 2002.
Hedging equity-linked life insurance contracts. North American Actuarial Journal 5(2), 2001, 79-95.
Risk-minimizing hedging strategies for insurance payment processes. Finance and Stochastics 5(4), 2001, 419-446.
On transformations of actuarial valuation principles. Insurance: Mathematics & Economics 28, 2001, 281-303. Preprint version.
Quadratic hedging approaches and indifference pricing in insurance. PhD thesis, 2000, Laboratory of Actuarial Mathematics, Univ. of Copenhagen. Berliner Preis für Versicherungswissenschaft , 2001.
Risk-minimizing hedging strategies for unit-linked life insurance contracts. ASTIN Bulletin 28, 1998, 17-47.