Aase, Knut Kristian

Knut Kristian Aase

E-mail:

Knut.Aase@nhh.no

Knut Aase

Telephone:

+47 55 95 92 49

Fax:

+47 55 25 64 70

Title:

Professor, Ph.D., University of California, Berkeley 1979

Date of birth:

August 20, 1948

Nationality:

Norwegian

Teaching languages:

Norwegian, English

Education:

Undergraduate: University of Bergen, Norway
Mathematics, Physics, Computer Science

Graduate: University of Bergen
Master of Science in Applied Mathematics

Doctoral: University of California, Berkeley
Ph.D. in Statistics

 

 

 

Teaching areas:

Finance, Insurance mathematics

 

 

Research:

 

Present:

Insurance Economics, Financial Economics

Former:

Probability theory, Statistics, Econometrics

 

 

Selected publications:

  • On the Consistency of the Lucas Pricing Formula, Mathematical Finance, 2008, vol. 18, no. 2, pp 293-303.

  • Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs, Journal of Risk and Insurance, 2007, vol. 74, no. 1, pp. 239-268.

  • A Pricing Model for Quantity Contracts, Journal of Risk and Insurance, vol. 71, no. 4, 2004, pp. 617-642.

  • New Econ for Life Actuaries, ASTIN Bulletin, vol. 33, no. 2, 2003, pp. 117-122 (with Svein-Arne Persson).

  • Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals, Annals of Operations Research (2002); 114: 15-31.

  • Perspectives of risk sharing. Scand. Act. J. (2002); 2: 73-128.

  • Equilibrium pricing in the presence of cumulative dividends following a diffusion. Mathematical Finance (2002); 12; 3: 173-198.

  • An Equilibrium Asset Pricing Model Based on Levy Processes: Relations to Stochastic Volatility, and the Survival Hypothesis. Insurance: Mathematics and Economics (2000); 27; 3: 345-63.

  • White Noise Generalizations of the Clark-Haussmann-Ocone Theorem with Application to Mathematical Finance. Finance and Stochastics (2000); 4; 4: 465-96 (with Bernt Øksendal, Nicolas Privault and Jan Ubøe).

  • An Equilibrium Model of Catastrophe Insurance Futures and Spreads. Geneva Papers on Risk and Insurance Theory (1999); 24; 1: 69-96.

  • Valuation of the Minimum Guaranteed Return embedded in Life Insurance Products (with Svein-Arne Persson) J. of Risk and Insurance (1997); 64: 3.

  • Pricing of Unit linked Life Insurance Policies (with Svein-Arne Persson). Scand. Act. J. (1994); 1: 26-52.

  • Premiums in a Dynamic Model of a Reinsurance Market. Scand. Act. J. (1993); 2: 134-160.

  • Continuous Trading in an Exchange Economy under Discontinuous Dynamics - A Resolution of the Equity Premium Puzzle. Scandinavian Journal of Management (1993); 9: 3-28.

  • Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization. ASTIN Bulletin (1993); 23; 2: 185-211.

  • A Jump/Diffusion Consumption-based Capital Asset Pricing Model and the Equity Premium Puzzle. Mathematical Finance (1993); 3; 2: 65-84.

  • Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market. The Geneva Papers on Risk and Insurance Theory (1992); 17; 2: 93-136.

  • Unemployment Insurance and Incentives. The Geneva Papers on Risk and Insurance Theory (1990); 15; 2: 141-157.

  • Stochastic Control of Geometric Processes (1987); Journal of Applied Probability, 24: 97-104.

  • Optimum Portfolio Diversification in a General Continuous-time Model. Stochastic Processes and Their Applications (1984); 18: 81-98.

  • Recursive Estimation in Nonlinear Time Series Models of Autoregressive Type. Journal of The Royal Statistical Society, B (1983); 45; 2: 228-237.

  • Stochastic Continuous-time Model Reference Adaptive Systems with decreasing Gain. Advances in Applied Probability (1982); 14: 763-788.

  • Conditional Moments of time to Fixation. Journal of Mathematical Biology (1977); 4: 323-326.

 

 

Visiting professor/visiting scholar:

 

 

 

 

Other interests/involvements: