Knut Kristian Aase

Professor Knut Kristian Aase

E-mail
Knut.Aase@nhh.no
Telephone
+47 55 95 92 49
Department
Business and Management Science
Office
C712
Expertise
Economics of Uncertainty Insurance

BIOGraphy

Knut Kristian Aase is a Professor of Insurance and Finance at NHH.  He received his Ph.D. from the University of California, Berkeley (UCB) in 1979 in statistics. He came to NHH in 1982 from Telemark Regional College, was Adjunct Professor at the Department of Mathematics, University of Oslo 1993-98, and Senior Researcher at Centre of Mathematics for Applications (CMA ), University of Oslo (a centre of excellence).

He has held visiting positions at UCB, University of Washington, Seattle, Massachusetts Institute of Technology, Sloan School, Graduate School of Business, Stanford University and Anderson School of Management, University of California, Los Angeles.

Aase has published more than 60 articles in journals of insurance, finance, actuarial  science, operations research, mathematics, probability and biology, and written one book in actuarial sciences.

He has presented papers on numerous conferences through the years, been in the arrangement committees for several events, led the Karl Borch lecture series at NHH for 13 years, been an editor for more than 10 years, and is currently on some editorial boards. He has been on the board of directors for a private life insurance company for more than 25 years.

Selected publications

Author(s) Title Publisher
Aase, Knut Kristian The investment horizon problem: a possible resolution Stochastics: An International Journal of Probability and Stochastic Processes Volume 89 (1), page 115 - 141, 2017
Aase, Knut Kristian Recursive utility using the stochastic maximum principle Quantitative Economics Volume 7 (3), page 859 - 887, 2016
Aase, Knut Kristian Life insurance and pension contracts II: the life cycle model with recursive utility Astin Bulletin : Actuarial Studies in Non-Life Insurance Volume 46 (1), page 71 - 102, 2015
Aase, Knut Kristian Life insurance and pension contracts I: The time additive life cycle model Astin Bulletin : Actuarial Studies in Non-Life Insurance Volume 45 (1), page 1 - 47, 2014
Aase, Knut, Bjuland, Terje, Øksendal, Bernt Partially informed noise traders Mathematics and Financial Economics Volume 6 (2), page 93 - 104, 2012
Aase, Knut Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate Astin Bulletin : Actuarial Studies in Non-Life Insurance Volume 40 (2), page 491 - 517, 2010
Aase, Knut The Nash bargaining solution vs. equilibrium in a reinsurance syndicate Scandinavian Actuarial Journal Volume 2009 (3), page 219 - 238, 2009
Aase, Knut K. On the consistency of the lucas pricing formula Mathematical Finance Volume 18 (2), page 293 - 303, 2008
Aase, Knut Equilibrium in marine mutual insurance markets with convex operating costs Journal of Risk and Insurance Volume 74 (1), page 239 - 268, 2007
Aase, Knut K. A pricing model for quantity contracts Journal of Risk and Insurance Volume 71 (4), page 617 - 642, 2004
Aase, Knut K. Perspectives of risk sharing Scandinavian Actuarial Journal Volume 2002 (2), page 73 - 128, 2002
Aase, Knut K. Equilibrium pricing in the presence of cumulative dividends following a diffusion Mathematical Finance Volume 12 (3), page 173 - 198, 2002
Aase, Knut Kristian, Øksendal, Bernt, Privault, Nicolas, Ubøe, Jan White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance Finance and Stochastics Volume 4 (4), page 465 - 498, 2000
Aase, Knut K. An Equilibrium Model of Catastrophe Insurance Futures and Spreads The Geneva Papers on Risk and Insurance Theory Volume 24 (1), page 69 - 96, 1999
Aase, Knut K., Persson, Svein-Arne Valuation of the minimum guaranteed return embedded in life insurance products Journal of Risk and Insurance Volume 64 (4), page 599 - 617, 1997
Aase, Knut Kristian, Persson, Svein Arne Pricing of Unit-linked Life Insurance Policies Scandinavian Actuarial Journal Volume 1994 (1), page 26 - 52, 1994
Aase, Knut Kristian Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market The Geneva Papers on Risk and Insurance Theory Volume 17 (2), page 93 - 136, 1992
Aase, Knut Kristian Optimum portfolio diversification in a general continuous-time model Stochastic Processes and their Applications Volume 18 (1), page 81 - 98, 1984
Aase, Knut Kristian Recursive Estimation in Non-Linear Time Series Models of Autoregressive Type Journal of The Royal Statistical Society Series B-statistical Methodology Volume 45 (2), page 228 - 237, 1983
Aase, Knut Kristian Conditioned moments of time to fixation Journal of Mathematical Biology Volume 4 (4), page 323 - 326, 1977
More publications in Cristin

Discussion Papers

Department of Business and Management Science, NHH

author pages

Research areas at the department

Main: Business Economics

  • Finance
  • Economics of Uncertainty
  • Insurance