Browsing NHH Brage by Author "Aase, Knut K."
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The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
Aase, Knut K. (Discussion paper, Working paper, 200805)We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find ... 
Negative volatility and the survival of the western financial markets
Aase, Knut K. (Discussion paper, Working paper, 200401)The paper discusses situations where certain parameters are given values that are outside their natural ranges. One case is obtained when plugging in a negative value for the volatility parameter in the Black and Scholes ... 
New econ for life actuaries
Aase, Knut K.; Persson, SveinArne (Discussion paper, Working paper, 200303)In an editorial in ASTIN BULLETIN, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this ... 
On the consistency of the Lucas pricing formula
Aase, Knut K. (Discussion paper, Working paper, 200504)In order to find the real market value of an asset in an exchange economy, one would typically apply the formula appearing in Lucas (1978), developed in a discrete time framework. This theory has also been extended to ... 
Optimal risk sharing
Aase, Knut K. (Discussion paper, Working paper, 200301)Optimal risk sharing is considered from the perspective of the risk sharing model introduced by Karl Borch in the late 50ies. First we introduce, in a modern setting, the main concepts from this theory. These we apply ... 
Optimal RiskSharing and Deductables in Insurance
Aase, Knut K. (Discussion paper, Working paper, 2006)Risksharing in insurance is analyzed, with a view towards explaining the prevalence of deductibles. First we introduce, in a modern setting, the main concepts of the theory of risksharing in a group of agents. This theory ... 
The optimal spending rate versus the expected real return of a sovereign wealth fund
Aase, Knut K.; Bjerksund, Petter (Discussion paper;1/21, Working paper, 20210204)We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the ... 
Pareto optimal insurance policies in the presence of administrative costs
Aase, Knut K. (Discussion paper, Working paper, 201008)In his classical article in The American Economic Review, Arthur Raviv (1979) examines Pareto optimal insurance contracts when there are expost insurance costs c induced by the indemnity I for loss x. Raviv’s main ... 
The perpetual American put option for jumpdiffusions : implications for equity premiums
Aase, Knut K. (Discussion paper, Working paper, 200412)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jumpdiffusion. Under certain conditions our solution can be interpreted as the price of an American ... 
The perpetual American put option for jumpdiffusions with applications
Aase, Knut K. (Discussion paper, Working paper, 200511)In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jumpdiffusion. Under certain conditions our solution can be interpreted as the price of an American ... 
Perspectives of risk sharing
Aase, Knut K. (Discussion paper, Working paper, 200005)In this paper we present an overview of the standard risk sharing model of insurance. We discuss and characterize a competitive equilibrium, Pareto optimality, and representative agent pricing, including its implications ... 
Pooling in insurance
Aase, Knut K. (Discussion paper, Working paper, 200301)Risk sharing resulting in pooling of risk is considered. First pooling is discussed from the perspective of life and pension insurance. Second we take the perspective of Pareto optimal risk sharing, originating from a model ... 
A pricing model for yield contracts
Aase, Knut K. (Discussion paper, Working paper, 2002)An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ... 
A pricing model for yield contracts
Aase, Knut K. (Discussion paper, Working paper, 2002)An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ... 
Recursive utility and disappearing puzzles for continuoustime models
Aase, Knut K. (Discussion papers;2013/02, Working paper, 201305)Motivated by the problems of the conventional model in rational izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. Two ordinally equivalent ... 
Recursive utility and jumpdiffusions
Aase, Knut K. (Discussion paper;09/14, Working paper, 201403)We derive the equilibrium interest rate and risk premiums using recursive utility for jumpdi usions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk ... 
Recursive utility and jumpdiffusions
Aase, Knut K. (Discussion paper;06/15, Working paper, 20150130)We derive the equilibrium interest rate and risk premiums using recursive utility for jumpdiffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk ... 
Recursive utility and the equity premium puzzle: A discretetime approach
Aase, Knut K. (Discussion papers;2013/03, Working paper, 201305)We study the EpsteinZin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not Markovian, we use methods not depending upon the Markov property to solve the model. ... 
Recursive utility using the stochastic maximum principle
Aase, Knut K. (Journal article; Peer reviewed, 2016)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuoustime model. We use the stochastic maximum ... 
Recursive utility using the stochastic maximum principle
Aase, Knut K. (Discussion paper;03/14, Working paper, 201402)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. We consider ...