Lars Frederik Brandt Henriksen

University of Copenhagen

Ph.d. Student

Universitetsparken 5

Copenhagen, DK-2100

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

389

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Markov Chain Modeling of Policy Holder Behavior in Life Insurance and Pension

Number of pages: 24 Posted: 06 Jul 2013 Last Revised: 07 Oct 2013
Lars Frederik Brandt Henriksen, Jeppe Woetmann Nielsen, Mogens Steffensen and Christian Svensson
University of Copenhagen, Edlund A/S, University of Copenhagen and Edlund A/S
Downloads 192 (157,625)

Abstract:

Loading...

surrender option, free policy option, ordinary differential eqaution, recovery, dependence

2.

Stress Scenario Generation for Solvency and Risk Management

Number of pages: 25 Posted: 30 Mar 2014
Heriot-Watt University, University of Copenhagen, Edlund A/S and University of Copenhagen
Downloads 155 (190,130)

Abstract:

Loading...

Life insurance, worst-case scenario, deterministic control, Solvency II, multi-state Markov chain

3.

On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements

UNSW Business School Research Paper No. 2016ACTL03
Number of pages: 21 Posted: 17 Aug 2016 Last Revised: 16 Dec 2016
Benjamin Avanzi, Lars Frederik Brandt Henriksen and Bernard Wong
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 42 (416,697)

Abstract:

Loading...

Optimal dividends, Funding ratio, Stochastic Control, Regulation, Solvency, Recovery requirements