- 2010. Optimal Consumption and
Investment under Time-Varying Relative Risk Aversion. To appear in Journal of Economic Dynamics and
Control. WP version available at SSRN: http://ssrn.com/abstract=1413723.
- 2010. Household Consumption,
Investment and Life Insurance. To appear in Insurance:
Mathematics and Economics. WP version available at SSRN: http://ssrn.com/abstract=1586229.
(jointly with Kenneth Bruhn).
- 2009. Asset Allocation with Contagion and Explicit
Bankruptcy Procedures. Journal of
Mathematical Economics 45(1-2): 147-167. (Jointly with H. Kraft)
- 2009. A Two-Account Model for
Pension Saving Contracts. Scandinavian
Actuarial Journal 2009(3): 169 – 186. (Jointly 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. (Jointly with H. Kraft)
- 2008. Optimal investment and
life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics
43(1): 15-28. (Jointly with P. H. Nielsen)
- 2008. Optimal Consumption and
Insurance: A Continuous-Time Markov Chain Approach. ASTIN Bulletin 28(1):231-257. (Jointly 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.
(Jointly with H. Kraft)
- 2007. On
Worst Case Portfolio Optimization. SIAM Journal on Control and Optimization
46(6): 2013-2030. (Joint with R. Korn)
- 2007. Bankruptcy, Counterparty
Risk, and Contagion. Review of
Finance 2007; 11, 209-252. (Jointly with H. Kraft)
- 2006. Quadratic Optimization of
Life Insurance Payment Streams. ASTIN Bulletin 36 (1):245-267.
- 2006. Surplus-linked Life
Insurance. Scandinavian Actuarial
- 2006. Portfolio Problems
Stopping at First Hitting Time with Applications to Default Risk. Mathematical Methods of Operations
Research, 63(1):123-150. (Jointly with H. Kraft)
- 2005. A Note on the Free Policy
Reserve. Blätter der DGVFM, Band XXVII, Heft 2,
- 2005. What is the Time Value of
a Stream of Investments? Journal of
Applied Probability, 42, 861-866. (Jointly 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,
- 2010. Consumption-Portfolio Optimization with
Recursive Utility in Incomplete Markets (June 7, 2010). Available at SSRN:
(jointly with Holger Kraft and Frank Thomas
- 2010. Some Solvable Portfolio
Problems with Quadratic and Collective Objectives (March 23, 2010).
Available at SSRN: http://ssrn.com/abstract=1577265.
(jointly with Esben Masotti
- 2011. Safe-Side Scenarios for
Financial and Biometrical Risk (January 11, 2011). Available at SSRN: http://ssrn.com/abstract=1738552.
(jointly with Marcus Christian Christiansen)
Books, book articles, and miscellaneous:
- 2009. Life Insurance. In: Encyklopedia of Quantitative Finance.
- 2008. Liv og død på formel.
juni – nr. 4 – 2008. (Jointly with Thomas
- 2007. Market-Valuation Methods in Life and
Pension Insurance. Cambridge
(Jointly with Thomas Møller)
- 2007. CDOs in Chains. Working
paper. Willmott magazine, May 2007 – issue 29.
(Jointly with J. de Kock and H. Kraft)
- 2007. Differential Equations in Finance
and Life Insurance. To appear in: Jensen, B.S. and Palokangas,
T. (2007) Stochastic Economic
Dynamics. CBS Press.
- 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,