Bla i på forfattere "Aase, Knut K."

American derivatives : a review
Aase, Knut K. (Discussion paper, Working paper, 199712)The paper gives an overview over the theory of pricing and hedging financial derivatives that can be exercised at any time during a fixed time interval [0, T]. The analysis makes use of the theory of optimal stopping, and ... 
An anticipative linear filtering equation
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper, Working paper, 201008) 
Area yield futures and options : risk management and hedging
Aase, Knut K. (Discussion paper, Working paper, 2001)It is shown how a farmer can lock in a certain revenue by a combined trade in futures price and futures yield contracts, abstracting from production costs. An economic model is proposed for a combined price futures and ... 
Area yield futures and options : risk management and hedging
Aase, Knut K. (Discussion paper, Working paper, 2002)Suppose there exists a market for yield futures contracts as well as ordinary futures contracts for price. Intuitively one would think that a combined use of yield contracts and and futures price contracts ought to provide ... 
Beyond the local meanvariance analysis in continuous time. The problem of nonnormality
Aase, Knut K.; Lillestøl, Jostein (Discussion paper;11/15, Working paper, 20150223)The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, shortterm interest rate in the conventional rational expectations equilibrium model of Lucas ... 
Equilibrium in marine mutual insurance markets with convex operating costs
Aase, Knut K. (Discussion paper, Working paper, 200602)The paper analyzes the possibility of reaching an equilibrium in a market of marine mutual insurance syndicates, called Protection and Indemnity Clubs, or P&I Clubs for short, displaying economies of scale. Our analysis ... 
The equity premium and the risk free rate in a production economy : a new perspective
Aase, Knut K. (Discussion paper, Working paper, 201102) 
Existence And Uniqueness Of Equilibrium In a Reinsurance Syndicate
Aase, Knut K. (Journal article; Peer reviewed, 2010)In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions ... 
Existence and uniqueness of equilibrium in a reinsurance syndicate
Aase, Knut K. (Discussion paper, Working paper, 200807)In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions ... 
Financial economics
Aase, Knut K. (Discussion paper, Working paper, 200301)We consider a one period (two time points) model of efficient risk sharing, when the risk of possible sharing rules are constrained to be linear. This can be interpreted as a model of a market for common stocks. Here we ... 
Heterogeniety and limited stock market participation
Aase, Knut K. (Discussion paper;05/14, Working paper, 201402)We derive the equilibrium interest rate and risk premiums using recursive utility with heterogeneity in a continuous time model. Two ordinally equivalent versions are considered, each associated with a di erent set of ... 
Insider trading with nonfiduciary market makers
Aase, Knut K.; Gjesdal, Frøystein (Discussion paper;8/16, Working paper, 20160523)The single auction equilibrium of Kyle's (1985) is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected ... 
Insider trading with partially informed traders
Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper;2011:21, Working paper, 201111)The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise ... 
The investment horizon problem : a resolution
Aase, Knut K. (Discussion paper, Working paper, 200909)In the canonical model of investments, the optimal fractions in the risky assets do not depend on the time horizon. This is against empirical evidence, and against the typical recommendations of portfolio managers. We ... 
Jump dynamics : the equity premium and the riskfree rate puzzles
Aase, Knut K. (Discussion paper, Working paper, 200406)The paper develops a consumption based equilibrium model, focusing on the risk premium and the riskfree interest rate. We derive testable expressions for these quantities, and confront these with sample estimates for the ... 
The life and career of Karl H. Borch
Aase, Knut K. (Discussion paper, Working paper, 2003) 
Life insurance and pension contracts I : the time additive life cycle model
Aase, Knut K. (Discussion paper;13/14, Working paper, 201403)We analyze optimal consumption in the life cycle model by intro ducing life and pension insurance contracts. The model contains a credit market with biometric risk, and market risk via risky securi ties. This idealized ... 
Long dated life insurance and pension contracts
Aase, Knut K. (Discussion paper, Working paper, 201105) 
The long term equilibrium interest rate and risk premiums under uncertainty
Aase, Knut K. (Discussion paper, Working paper, 201102) 
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 ...