| Publication | Date of Publication | Type |
|---|
What is the value of the annuity market?
Decisions in Economics and Finance | 2026-01-16 | Paper |
Calibration of risk aversion to real pension asset allocation
Quantitative Finance | 2025-12-12 | Paper |
Optimal smooth consumption and its trade-offs
Mathematical Methods of Operations Research | 2025-11-20 | Paper |
Optimal investment strategies under the relative performance in jump-diffusion markets
Decisions in Economics and Finance | 2025-08-25 | Paper |
A buy-hold-sell pension saving strategy
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Optimal reinsurance design under solvency constraints
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
POLYNOMIAL UTILITY
International Journal of Theoretical and Applied Finance | 2024-02-20 | Paper |
Equilibrium investment with random risk aversion
Mathematical Finance | 2024-01-31 | Paper |
Stable dividends under linear-quadratic optimisation
Quantitative Finance | 2023-09-25 | Paper |
Optimal consumption, investment, and insurance under state-dependent risk aversion
ASTIN Bulletin | 2023-06-26 | Paper |
On retirement time decision making
Insurance Mathematics & Economics | 2021-10-19 | Paper |
Eliciting risk preferences and elasticity of substitution
Decision Analysis | 2021-06-03 | Paper |
A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
Quantitative Finance | 2021-06-02 | Paper |
Matrix representations of life insurance payments
European Actuarial Journal | 2020-11-04 | Paper |
Nonrecursive separation of risk and time preferences
Journal of Mathematical Economics | 2020-09-17 | Paper |
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
Mathematical Methods of Operations Research | 2020-08-03 | Paper |
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
Mathematics of Operations Research | 2020-03-12 | Paper |
Risk and insurance. A graduate text
Probability Theory and Stochastic Modelling | 2020-02-20 | Paper |
Forward transition rates
Finance and Stochastics | 2019-09-19 | Paper |
Ragnar Norberg (1945–2017): an actuary of a unique kind
Scandinavian Actuarial Journal | 2019-09-10 | Paper |
Obituary: Ragnar Norberg (1945--2017)
European Actuarial Journal | 2019-09-03 | Paper |
| Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes | 2019-05-11 | Paper |
Personal non-life insurance decisions and the welfare loss from flat deductibles
ASTIN Bulletin | 2019-03-27 | Paper |
Around the life cycle: deterministic consumption-investment strategies
North American Actuarial Journal | 2018-10-22 | Paper |
Stress scenario generation for solvency and risk management
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Optimal consumption, investment and life insurance with surrender option guarantee
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Smooth investment
Annals of Finance | 2017-05-23 | Paper |
Reserve-dependent surrender rates
European Actuarial Journal | 2016-01-15 | Paper |
A combined stochastic programming and optimal control approach to personal finance and pensions
OR Spectrum | 2015-08-03 | Paper |
A dynamic programming approach to constrained portfolios
European Journal of Operational Research | 2015-07-28 | Paper |
Inconsistent investment and consumption problems
Applied Mathematics and Optimization | 2015-07-22 | Paper |
Personal finance and life insurance under separation of risk aversion and elasticity of substitution
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Markov chain modeling of policyholder behavior in life insurance and pension
European Actuarial Journal | 2015-01-22 | Paper |
The policyholder's static and dynamic decision making of life insurance and pension payments
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2014-08-05 | Paper |
Deterministic mean-variance-optimal consumption and investment
Stochastics | 2014-04-17 | Paper |
Michael I. Taksar
Stochastics | 2014-04-17 | Paper |
SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
ASTIN Bulletin | 2014-02-27 | Paper |
Worst-case-optimal dynamic reinsurance for large claims
European Actuarial Journal | 2013-08-05 | Paper |
Consumption-portfolio optimization with recursive utility in incomplete markets
Finance and Stochastics | 2013-02-07 | Paper |
Household consumption, investment and life insurance
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Optimal consumption and investment under time-varying relative risk aversion
Journal of Economic Dynamics and Control | 2011-03-31 | Paper |
A two-account model of pension saving contracts
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
How to invest optimally in corporate bonds: a reduced-form approach
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
ASTIN Bulletin | 2009-09-13 | Paper |
Quadratic Optimization of Life and Pension Insurance Payments
ASTIN Bulletin | 2009-06-15 | Paper |
| Differential systems in finance and life insurance | 2009-02-26 | Paper |
Asset allocation with contagion and explicit bankruptcy procedures
Journal of Mathematical Economics | 2009-02-10 | Paper |
On Worst-Case Portfolio Optimization
SIAM Journal on Control and Optimization | 2008-12-05 | Paper |
Optimal investment and life insurance strategies under minimum and maximum constraints
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Bankruptcy, Counterparty Risk, and Contagion*
Review of Finance | 2007-12-12 | Paper |
Surplus-linked life insurance
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
| scientific article; zbMATH DE number 5151672 (Why is no real title available?) | 2007-05-10 | Paper |
Portfolio problems stopping at first hitting time with application to default risk
Mathematical Methods of Operations Research | 2006-08-18 | Paper |
What is the time value of a stream of investments?
Journal of Applied Probability | 2006-01-26 | Paper |
On Merton’s Problem for Life Insurers
ASTIN Bulletin | 2005-03-30 | Paper |
Intervention options in life insurance
Insurance Mathematics & Economics | 2003-06-25 | Paper |
A no arbitrage approach to Thiele's differential equation
Insurance Mathematics & Economics | 2001-09-09 | Paper |
