About:

I am an Actuary at Sampension, Department of Actuarial Finance, working with valuation and estimation within life, disability and pension insurance.  

I hold a MSc (cand.act.) and PhD degree in Actuarial Mathematics from University of Copenhagen, Denmark.  Furthermore, I am an international member ('Qualifying Actuary') of the Danish Society of Actuaries, where I take part in the Education Committee. 

My full CV is available here.

Papers: 

• Estimating absorption time distributions of general Markov jump processes (with M. Bladt and M. Bladt). Scandinavian Journal of Statistics 51(1), 171-200, 2024. 

• Aggregate Markov models in life insurance: estimation via the EM algorithm (with M. Bladt). Scandinavian Actuarial Journal, advance online publication, 2023. Available on arXiv:2212.10661.  

• Aggregate Markov models in life insurance: properties and valuation (with M. Bladt and C. Furrer). Insurance: Mathematics and Economics 113, 50-69, 2023. Received the Best Paper Award within Life/IAALS at ICA2023. 

• Phase-type representations of stochastic interest rates with applications to life insurance (with M. Bladt). European Actuarial Journal 13, 571–606, 2023. 

• Multivariate higher order moments in multi-state life insurance. Scandinavian Actuarial Journal 2022(5):399-420, 2022. Available on arXiv:2102.11714. 

• Computation of bonus in multi-state life insurance (with K. Buchardt and C. Furrer). ASTIN Bulletin 52(1):291-331, 2022. Available on arXiv:2007.04051.   

Theses: 

• Matrix methods in multi-state life insurance. PhD Thesis, Department of Mathematical Sciences, University of Copenhagen, December 2022. 

• Elimination of path dependencies for projection of cash flows in multi-state life insurance. Master's Thesis for the cand.act. degree, Department of Mathematical Sciences, University of Copenhagen, September 2019.

Talks: 

• Matrix metoder i livsforsikring. Members meeting at the Danish Society of Actuaries, Copenhagen, Denmark, February 2024. 

• Aggregate Markov models in life insurance: properties and valuation. 32nd International Congress of Actuaries (ICA), Sydney, Australia, May 2023. Available on Actuview (login required). 

• Matrix methods in multi-state life insurance. PhD Defense, Department of Mathematical Sciences, University of Copenhagen, Denmark, March 2023. 

• Aggregated Markov chain models in life insurance: properties and valuation. Seventh Workshop on Recent Developments in Dependence Modeling with Applications in Finance, Insurance and Pensions, Skala, Agistri, Greece, September 2022. 

• Statistical inference in an aggregated Markov chain model in life insurance. 5th European Actuarial Journal Conference (EAJ), Tartu, Estonia, August 2022.

• Statistical inference in an aggregated Markov chain model in life insurance. Joint Statistical Meetings (JSM), Washington, D.C., USA, August 2022. 

• Computation of bonus in multi-state life insurance. 57th Actuarial Research Conference (ARC), Champaign, Illinois, USA, August 2022.

• Estimating absorption-time distributions of Markov jump processes with piecewise constant transition rates. 25th International Congress on Insurance: Mathematics and Economics (IME), online, July 2022. 

• Aggregated Markov chain models in life insurance: properties and valuation. IMS Annual Meeting in Probability and Statistics, London, UK, June 2022. 

• Aggregated Markov chain models in life insurance: properties and valuation. 11th International Conference on Matrix-Analytic Methods in Stochastic Models (MAM), online, June 2022. 

• Computation of bonus in multi-state life insurance. AFIR-ERM Colloquium of the International Actuarial Association, online, June 2022. 

• Aggregated Markov chain models in life insurance: properties and valuation. 11th Conference in Actuarial Science & Finance on Samos (CASF), Karlovasi, Greece, May 2022.

• Statistical inference in an aggregated Markov chain model in life insurance. 10th International Hybrid Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), Salerno, Italy, April 2022. 

• Computation of bonus in multi-state life insurance. IAALS Webinar of the International Actuarial Association, online, March 2022. Available on Actuview (login required).

• Multivariate higher order moments in multi-state life insurance. 24th International Congress on Insurance: Mathematics and Economics (IME), online, July 2021.  Available on Actuview (login required). 

• Computation of bonus in multi-state life insurance. Online International Conference in Actuarial Science, Data Science and Finance (OICA), online, April 2020.

Teaching: 

• Projects in the Mathematics of Life Insurance, jointly with C. Furrer.  Optional course for the Master's degree in Actuarial Mathematics, University of Copenhagen, 2024. 

• Matrix metoder i livsforsikring. Course for members of The Danish Soceity of Actuaries, 2024. 

• Topics in Life Insurance (Liv2), jointly with M. Bladt. Mandatory course for the Master's degree in Actuarial Mathematics, University of Copenhagen, 2021, 2022, and 2024.

• Fremregning for gennemsnitsrente: tilstandsvist og tilstandsfrit, jointly with K. Buchardt and C. Furrer. Course for members of The Danish Society of Actuaries, 2022 and 2023. 

• Advances in Life Insurance Mathematics. Optional course for the Master's degree in Actuarial Mathematics, University of Copenhagen, 2021/22. 

Supervision of master's thesis: 

• Mathias Torplund Frederiksen (with M. Bladt), Path Dependent Life Insurance Models: A statistical approach to approximation of semi-Markovian valuation using aggregate Markov models, January 2023.

• Lasse Peter Ottosen (with M. Steffensen), Comparison of Bonus Computation Methods: State-Dependent & State-Independent, January 2023

• Muhammad Abdullah Iqbal (with M. Steffensen), Analysis of projection models with bonus in multi-state life insurance, January 2023.

• Nikolaj Vinkel (with M. Bladt), Aggregated Markov Models in Life Insurance: An efficient approach to valuation in path dependent multi-state models, June 2022.

• Sophie Elisabeth Gasser (with C. Furrer), Stochastic behavioral rates, June 2022.   

• Kevin Ma (with M. Steffensen), Computation of Bonus in Multi-State Life Insurance, June 2022. 

Longer visits:

• March 2022 - June 2022: Department of Actuarial Science, University of Lausanne, Switzerland.