Universitetsparken 5
DK-2100 Copenhagen
Denmark
University of Copenhagen
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consumption-portfolio optimization, recursive utility, stochastic control approach, stochastic volatility, unspanned state process, Campbell-Shiller approximation
default risk, financial distress, default correlation, contagion, Markov chain
portfolio optimization, liquidation, reorganization, default, finite state Markov chain
portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor
Life insurance mathematics, Multi-state model, stochastic control, mortality, disability, unemployment risk
Health shocks, Portfolio choice, Term life insurance, Mortality risk, Labor income risk
surrender option, free policy option, ordinary differential eqaution, recovery, dependence
Consistency, stochastic differential utility, pseudo-Bellman equations, time-globality, linear homogeneity
Finance, Markov processes, Consumption-investment problems, Utility maximization
Certainty equivalents, Random risk aversion, Time-inconsistency, Equilibrium approach, Power and Exponential utility
Merton's problem, Hamilton-Jacobi-Bellman equation, marginal indirect utility, life-cycle investment
Life insurance, worst-case scenario, deterministic control, Solvency II, multi-state Markov chain
Education, leisure, consumption hump, wage hump
Markov chains, credit risk, credit derivatives, contagion
Personal finance, Household finance, Multi-state model, Stochastic control, Power utility
dynamic programming, multi-period stochastic programming, power utility, personal finance, retirement
life-cycle models, portfolio optimization, investment product design, target date funds
Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.
Multi-state models, the disability model, state-dependent utility, Hamilton-Jacobi-Bellman equation
optimal retirement time, decision making, mortality, optimal consumption, investment
power utility optimization; defined contribution; deterministic control; Black-Scholes market; Pontryagin's maximum principle; suboptimal strategies
dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization
Compartment models, Markov models, contagion, Kolmogorov's differential equations, state-wise reserves
time-consistency, time-global preferences, recursive utility, equilibrium strategies, generalized Hamilton–Jacobi–Bellman equation, continuous time, certainty equivalents
Time consistency; time inconsistency; stochastic control; dynamic programming; pseudo Hamilton-Jacobi-Bellman equation; mean-variance; mean-standard deviation; state dependent risk aversion.
Dynamic programming, Optimal Asset Allocation, Expected Utility Theory, Polynomial Expansions
consumption, investment, retirement, life annuity, life insurance
Lifecycle investing, pensions, retirement savings, portfolio construction, withdrawals
Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfilling P-Risk Constraint
Stochastic Control; Martingale Method; Life Insurance; Rate Guarantee; Option Based Portfolio Insurance; CRRA Utility
stochastic control, quadratic optimization, linear regulation, consumption smoothing, formula based smoothed investment-linked annuities
Worst case scenarios, Interest and transition rates, Dependence, First order basis, Capital requirement