Peter Løchte Jørgensen

University of Aarhus - Business and Social Sciences

Professor of Finance

Finance Research Group

Fuglesangs Allé 4

DK-8210 Aarhus, 8210

Denmark

http://pure.au.dk/portal/en/plj@econ.au.dk

SCHOLARLY PAPERS

26

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CITATIONS
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92

Scholarly Papers (26)

Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies

Number of pages: 37 Posted: 07 Apr 1999
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences
Downloads 870 (21,257)
Citation 42

Abstract:

Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies

Insurance: Mathematics and Economics, Vol. 26, No. 1, 2000
Posted: 03 Jan 2013
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences

Abstract:

Participating Life Insurance Policies, Embedded options, Contingent claims valuation, Bonus policy, Surrender

2.
Downloads 761 ( 26,243)
Citation 12

Analytical Valuation of American-Style Asian Options

Number of pages: 36 Posted: 15 May 1998
Peter Løchte Jørgensen and Asbjorn T. Hansen
University of Aarhus - Business and Social Sciences and Dresdner Kleinwort Benson
Downloads 761 (25,826)
Citation 12

Abstract:

Analytical Valuation of American-Style Asian Options

Management Science, Vol. 46, No. 8, 1116-1136, 2000
Posted: 22 Dec 2012
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences

Abstract:

Asian Options, American Options, Analytical Valuation Formulas, Numerical Work, Change of Numeraire

Return Smoothing Mechanisms in Life and Pension Insurance: Path-Dependent Contingent Claims

Number of pages: 38 Posted: 21 Feb 2004
Montserrat Guillén, Peter Løchte Jørgensen and Jens Perch Nielsen
University of Barcelona, Department of Econometrics, Riskcenter-IREA, University of Aarhus - Business and Social Sciences and City University London - Cass Business School
Downloads 641 (32,729)
Citation 5

Abstract:

Account based pension schemes, return smoothing, averaging principles, contingent claims valuation, path-dependence, life cycle asset allocation

Return Smoothing Mechanisms in Life and Pension Insurance: Path-Dependent Contingent Claims

Insurance: Mathematics and Economics, Vol. 38, No. 2, 2006
Posted: 09 Dec 2012 Last Revised: 02 Jan 2013
Montserrat Guillén, Peter Løchte Jørgensen and Jens Perch Nielsen
University of Barcelona, Department of Econometrics, Riskcenter-IREA, University of Aarhus - Business and Social Sciences and City University London - Cass Business School

Abstract:

account-based pension schemes, surplus distribution mechanisms, return smoothing, contingent claims valuation, path-dependence, life cycle asset allocation

4.

Overpricing and Hidden Costs of Structured Products for Retail Investors: Evidence from the Danish Market for Principal Protected Notes

Number of pages: 35 Posted: 13 Jun 2011 Last Revised: 19 Jul 2012
Peter Løchte Jørgensen, Henrik Nørholm and David Skovmand
University of Aarhus - Business and Social Sciences, University of Aarhus - School of Business and Social Sciences and University of Aarhus - School of Business and Social Sciences
Downloads 594 (26,895)
Citation 1

Abstract:

structured products, fair valuation, pricing efficiency, exotic option pricing, cost analysis

Time Charters with Purchase Options in Shipping: Valuation and Risk Management

Number of pages: 43 Posted: 01 Feb 2009 Last Revised: 24 Nov 2013
Peter Løchte Jørgensen and Domenico DeGiovanni
University of Aarhus - Business and Social Sciences and University of Aarhus - School of Business and Social Sciences
Downloads 513 (43,879)

Abstract:

Ship valuation, options on ships, leasing, lease contracts with options, optimal stopping

Time Charters with Purchase Options in Shipping: Valuation and Risk Management

Applied Mathematical Finance, Vol. 17, No. 5, 2010
Posted: 04 Dec 2012
Peter Løchte Jørgensen and Domenico DeGiovanni
University of Aarhus - Business and Social Sciences and University of Aarhus - School of Business and Social Sciences

Abstract:

ship valuation, options on ships, leasing, lease contracts with options, optimal stopping

Exact Analytical Valuation of Bonds when Spot Interest Rates are Log-Normal

Number of pages: 19 Posted: 21 Aug 1998
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences
Downloads 506 (44,659)

Abstract:

Fast and Accurate Approximation of Bond Prices When Short Rates are Log-Normal

Journal of Computational Finance, Vol. 3, No. 3, pp. 27-45, 2000
Posted: 21 Dec 2012
Asbjorn T. Hansen and Peter Løchte Jørgensen
Dresdner Kleinwort Benson and University of Aarhus - Business and Social Sciences

Abstract:

Life Insurance Liabilities at Market Values: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework

EFA 2001 Barcelona Meetings
Number of pages: 43 Posted: 27 Dec 2000
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences
Downloads 485 (47,148)
Citation 25

Abstract:

Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework

Journal of Risk & Insurance, Vol. 69, No. 1, pp. 63-91, 2002
Number of pages: 30 Posted: 16 Jan 2003
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences
Downloads 16 (490,612)
Citation 27
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Abstract:

8.
Downloads 497 ( 46,279)
Citation 1

Traffic Light Options

Number of pages: 31 Posted: 21 Mar 2006 Last Revised: 08 Nov 2013
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Downloads 497 (45,693)
Citation 1

Abstract:

Traffic light solvency tests, asset-liability management in pension funds, hedging interest rate and stock price risk, derivatives pricing, Black-Scholes-Vasicek model

Traffic Light Options

Journal of Banking and Finance, Vol. 31, No. 12, 2007
Posted: 15 Jan 2013
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

traffic light solvency tests, regulatory solvency requirements, asset-liability management in pension funds, hedging interest rate and stock price risk, derivatives pricing, Black-Scholes/Hull-White model

9.
Downloads 333 ( 75,043)
Citation 1

American-Style Indexed Executive Stock Options

Number of pages: 40 Posted: 06 Dec 2001
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Downloads 333 (74,502)
Citation 1

Abstract:

Executive stock options, premature exercise, delayed vesting, incentive effects

American-Style Indexed Executive Stock Options

European Finance Review, Vol. 6, No. 3, 2002
Posted: 03 Jan 2013
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

Executive stock options, premature exercise, incentive effects, delayed vesting

10.

On the Reconciliation of the Extended Nelson-Siegel and the Extended Vasicek Models (with a View Towards Swap and Swaption Valuation)

Number of pages: 27 Posted: 24 Mar 2013
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Downloads 250 (80,996)

Abstract:

Term structure of interest rates, Nelson-Siegel models, extended Vasicek model, term structure curve fitting, interest rate swaps and swaptions

The Valuation of Callable Bonds with Floored CMS-spread Coupons

Number of pages: 47 Posted: 02 Mar 2007
David Skovmand and Peter Løchte Jørgensen
University of Aarhus - School of Business and Social Sciences and University of Aarhus - Business and Social Sciences
Downloads 219 (117,121)
Citation 2

Abstract:

Structured products, callable bonds, optimal call strategies, Least-Squares Monte Carlo, G2++ and LIBOR market models.

The Valuation of Callable Bonds with Floored CMS-Spread Coupons

Wilmott Magazine, pp. 106-125, November 2007
Posted: 06 Dec 2012
Peter Løchte Jørgensen and David Skovmand
University of Aarhus - Business and Social Sciences and University of Aarhus - School of Business and Social Sciences

Abstract:

structured products, callable bonds, optimal call strategies, least-squares Monte Carlo, G2 and LIBOR market models

12.

The Value and Incentives of Option-based Compensation in Danish Listed Companies

Journal of Derivatives Accounting, Vol. 1, No. 1, pp. 91-109
Number of pages: 28 Posted: 06 May 2003
Ken L. Bechmann and Peter Løchte Jørgensen
Copenhagen Business School - Department of Finance and University of Aarhus - Business and Social Sciences
Downloads 165 (149,723)
Citation 1

Abstract:

Option-based compensation, executive pay, disclosure requirements, valuation, incentives

13.

On Risk Charges and Shadow Account Options in Pension Funds

Number of pages: 34 Posted: 27 Oct 2012 Last Revised: 19 Dec 2013
Peter Løchte Jørgensen and Nadine Gatzert
University of Aarhus - Business and Social Sciences and Friedrich-Alexander University Erlangen-Nürnberg
Downloads 125 (175,548)

Abstract:

Pension contracts, options, guarantees, valuation, risk management

14.

An Analysis of the Solvency II Regulatory Framework's Smith-Wilson Model for the Term Structure of Risk-Free Interest Rates

Number of pages: 46 Posted: 15 Aug 2017
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences
Downloads 0 (371,927)

Abstract:

Solvency II, financial regulation, term structure of interest rates, calibration, market valuation

15.

American Bond Option Pricing in One-Factor Dynamic Term Structure Models

Review of Derivatives Research, Vol. 1, No. 3, 1996
Posted: 20 Dec 2012
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

American bond options, term structure of interest rates, numerical work

16.

Numeraire Invariance, Change of Measure, and Pricing by Arbitrage in Continuous Time Financial Models

Advances in Futures and Options Research, Vol. 10, No. 1, 1999
Posted: 19 Dec 2012
Peter Løchte Jørgensen and Johannes Raaballe
University of Aarhus - Business and Social Sciences and University of Aarhus - Department of Management

Abstract:

arbitrage-free pricing, risk-neutral valuation, forward risk-adjustment, equivalent martingale measures, numeraire invariance, option pricing

17.

A Finite Difference Approach to the Valuation of Path-Dependent Life Insurance Liabilities

Geneva Papers on Risk and Insurance Theory, Vol. 26, No. 1, 57-84, 2001
Posted: 15 Dec 2012
Bjarke Jensen, Peter Løchte Jørgensen and Anders Grosen
University of Aarhus, University of Aarhus - Business and Social Sciences and University of Aarhus - Department of Finance

Abstract:

participating life insurance policies, embedded options, contingent claim valuation, numerical solution, finite difference approach

18.

Life Insurance Contracts with Embedded Options: Valuation, Risk Management, and Regulation

Journal of Risk Finance, Vol. 3, No. 1, 19-30, Fall 2001
Posted: 15 Dec 2012
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

19.

The Bonus-Crediting Mechanism of Danish Pension and Life Insurance Companies: An Empirical Analysis

Journal of Pension Economics and Finance, Vol. 1, No. 3, pp. 249-268, 2002
Posted: 13 Dec 2012
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences

Abstract:

20.

On Accounting Standards and Fair Valuation of Life Insurance and Pension Liabilities

Scandinavian Actuarial Journal, Vol. 104, No. 5, pp. 372-394, 2004
Posted: 12 Dec 2012
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

accounting standards, fair value, financial valuation, regulation

21.

Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs

European Journal of Finance, Vol. 13, No. 7, 595-619, 2007
Posted: 09 Dec 2012
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

Account-based pension schemes, return smoothing, payoff distributions, density approximation, Monte Carlo simulation, Asian options

22.

Hedging Life and Pension Company Balance Sheets with Hybrid Derivatives - A Case Study of the Traffic Light Option

Journal of Insurance and Risk Management, Vol. IV, No. 3, pp. 49-59, 2009
Posted: 05 Dec 2012
Peter Løchte Jørgensen
University of Aarhus - Business and Social Sciences

Abstract:

23.

A Comparison of Three Different Pension Savings Products with Special Emphasis on the Payout Phase

Annals of Actuarial Science, Vol. 6, Issue 1, pp. 137-152, March 2012
Posted: 30 Nov 2012
Peter Løchte Jørgensen and Per Linnemann
University of Aarhus - Business and Social Sciences and Independent

Abstract:

Comparison of retirement products, Stochastic financial analysis, Traditional with-profits, Unitlinked, Formula based smoothed investment-linked, Payout phase, Stabilisation of retirement income payments

24.

Optimal Investment in Structured Bonds

Journal of Derivatives, Vol. 19, No. 4, 2012
Posted: 30 Nov 2012
Pernille Jessen and Peter Løchte Jørgensen
Aarhus School of Business, Aarhus University and University of Aarhus - Business and Social Sciences

Abstract:

25.

On the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes

Insurance: Mathematics and Economics, Vol. 60, No. 1, 2015
Posted: 26 Jul 2012 Last Revised: 09 Dec 2014
Alexander Bohnert, Nadine Gatzert and Peter Løchte Jørgensen
Friedrich-Alexander University Erlangen-Nürnberg, Friedrich-Alexander University Erlangen-Nürnberg and University of Aarhus - Business and Social Sciences

Abstract:

Participating life insurance, surplus distribution, risk-neutral valuation, management mechanisms

26.

Valuation of Early Exercisable Interest Rate Guarantees

Journal of Risk and Insurance, Vol. 64 No. 3, 1997.
Posted: 12 Feb 1998
Anders Grosen and Peter Løchte Jørgensen
University of Aarhus - Department of Finance and University of Aarhus - Business and Social Sciences

Abstract: