Knut K. Aase

Norwegian School of Economics (NHH) - Department of Business and Management Science

Professor

Helleveien 30

Bergen, NO-5045

Norway

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 32,490

SSRN RANKINGS

Top 32,490

in Total Papers Downloads

2,162

SSRN CITATIONS
Rank 16,543

SSRN RANKINGS

Top 16,543

in Total Papers Citations

25

CROSSREF CITATIONS

41

Scholarly Papers (37)

1.

Wealth Effects on Demand for Insurance

NHH Dept. of Finance & Management Science Discussion Paper No. 2007/6
Number of pages: 34 Posted: 28 Mar 2007
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 245 (174,567)
Citation 1

Abstract:

Loading...

The wealth effect in insurance, decreasing absolute risk aversion, inferior good, normal good, deductible, Pareto optimal risk exchange

2.

Strategic Insider Trading Equilibrium: A Forward Integration Approach

NHH Dept. of Finance & Management Science Discussion Paper No. 2007/24
Number of pages: 28 Posted: 05 Dec 2007
Knut K. Aase, Terje Bjuland and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science, Norwegian School of Economics (NHH) - Department of Finance and University of Oslo - Department of Mathematics
Downloads 208 (203,860)
Citation 1

Abstract:

Loading...

Insider trading, asymmetric information, equilibrium, strategic trade, filtering theory, forward integration

3.

Optimal Risk-Sharing and Deductables in Insurance

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/24
Number of pages: 14 Posted: 13 Jun 2008
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 120 (319,748)
Citation 3

Abstract:

Loading...

Reinsurance Exchange, Equilibrium, Pareto Optimality, Representative Agent, Core Solution, Individual Rationality, Deductibles, Costs, Moral Hazard

4.

The Investment Horizon Problem: A Resolution

NHH Dept. of Finance & Management Science Discussion Paper No. 2009/7
Number of pages: 31 Posted: 01 Nov 2009
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 107 (346,175)
Citation 8

Abstract:

Loading...

investment horizon problem, complete markets, life and pension insurance, dynamic programming, Kuhn-Tucker, directional derivatives, time consistency, aggregation

5.

Using Option Pricing Theory to Infer about Equity Premiums

NHH Dept. of Finance & Management Science Discussion Paper No. 2005/11
Number of pages: 33 Posted: 12 Oct 2007
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 101 (359,724)
Citation 1

Abstract:

Loading...

Historical equity premiums, perpetual American put option, equity premium puzzle, risk free rate puzzle, geometric Brownian motion, geometric Poisson process, CCAPM

6.
Downloads 98 (366,827)
Citation 4

Recursive Utility and Jump-Diffusions

NHH Dept. of Business and Management Science Discussion Paper No. 2015/6
Number of pages: 48 Posted: 30 Jan 2015
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 62 (481,879)
Citation 3

Abstract:

Loading...

Recursive utility, jump dynamics, the stochastic maximum principle

Recursive Utility and Jump-Diffusions

NHH Dept. of Business and Management Science Discussion Paper No. 2014/9
Number of pages: 42 Posted: 27 Mar 2014
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 36 (607,175)
Citation 2

Abstract:

Loading...

Recursive utility, jump dynamics, the stochastic maximum principle, early resolution, utility gradients

7.

The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate

NHH Dept. of Finance & Management Science Discussion Paper No. 2008/5
Number of pages: 25 Posted: 16 Jun 2008
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 94 (376,519)
Citation 2

Abstract:

Loading...

Nash's Bargaining Solution, Equilibrium, Pareto Optimal Risk Exchange, Reinsurance Treaties, Uncertainty, Risk Aversion, Correlations, Multinormal Universe

8.

The Equity Premium and the Risk Free Rate in a Production Economy: A New Perspective

NHH Dept. of Finance & Management Science Discussion Paper No. 2011/2
Number of pages: 32 Posted: 22 Feb 2011
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 84 (403,303)
Citation 2

Abstract:

Loading...

9.

Insider Trading with Partially Informed Traders

NHH Dept. of Finance & Management Science Discussion Paper No. 2011/21
Number of pages: 17 Posted: 15 Nov 2011
Knut K. Aase, Terje Bjuland and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science, Norwegian School of Economics (NHH) - Department of Finance and University of Oslo - Department of Mathematics
Downloads 82 (409,013)
Citation 2

Abstract:

Loading...

Insider trading, asymmetric information, strategic trade, correlated trade, partially informed noise traders

10.

The Life Cycle Model with Recursive Utility: New insights on optimal consumption

NHH Dept. of Business and Management Science Discussion Paper No. 2014/19
Number of pages: 31 Posted: 15 May 2014 Last Revised: 25 Feb 2016
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 78 (420,989)

Abstract:

Loading...

The life cycle model, recursive utility, consumption smoothing, consumption puzzles, the stochastic maximum principle, the equity premium puzzle, pension and life insurance

11.

Recursive Utility and the Equity Premium Puzzle: A Discrete-Time Approach

NHH Dept. of Business and Management Science Discussion Paper No. 2013/3
Number of pages: 32 Posted: 09 Apr 2015 Last Revised: 18 Sep 2015
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 75 (430,331)
Citation 5

Abstract:

Loading...

Recursive utility, the Epstein-Zin model, utility gradients, calibrations, the Markov property

12.

Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model

NHH Dept. of Business and Management Science Discussion Paper No. 2014/13
Number of pages: 52 Posted: 27 Mar 2014
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 66 (460,399)
Citation 1

Abstract:

Loading...

The life cycle model, pension insurance, optimal life insurance, longevity risk, the horizon problem, consumption puzzle

13.

The Long Term Equilibrium Interest Rate and Risk Premiums Under Uncertainty

NHH Dept. of Finance & Management Science Discussion Paper No. 2011/4
Number of pages: 35 Posted: 06 Mar 2011 Last Revised: 08 Apr 2011
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 63 (471,357)
Citation 1

Abstract:

Loading...

Dynamic equilibrium, the Lucas model, term structure, CIR, pure exchange, production economy, equity premium puzzle, risk free rate puzzle, climate models, Stern Review

14.

Strategic Insider Trading Equilibrium: A Filter Theory Approach

NHH Dept. of Finance & Management Science Discussion Paper No. 2010/9
Number of pages: 24 Posted: 13 Sep 2010
Knut K. Aase, Terje Bjuland and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science, Norwegian School of Economics (NHH) - Department of Finance and University of Oslo - Department of Mathematics
Downloads 62 (475,084)
Citation 3

Abstract:

Loading...

Insider trading, equilibrium, strategic trade, linear filter theory, innovation equation

15.

The Perpetual American Put Option for Jump-Diffusions with Applications

NHH Finance & Management Science Discussion Paper No. 12/2005
Number of pages: 35 Posted: 13 Mar 2007
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 53 (510,818)
Citation 1

Abstract:

Loading...

Optimal exercise policy, American put option, perpetual option, optimal stopping, incomplete markets, equity premiums, CCAPM

16.

Pareto Optimal Insurance Policies in the Presence of Administrative Costs

NHH Dept. of Finance & Management Science Discussion Paper No. 2010/7
Number of pages: 17 Posted: 13 Sep 2010
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 51 (519,552)

Abstract:

Loading...

Pareto optimal risk sharing, administrative costs in insurance, household insurance, XL-contracts

17.

Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate

NHH Dept. of Finance & Management Science Discussion Paper No. 2008/13
Number of pages: 24 Posted: 13 Aug 2008
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 51 (519,552)
Citation 7

Abstract:

Loading...

Existence of equilibrium, uniqueness of equilibrium, Pareto optimality, reinsurance model, syndicate theory, risk tolerance, exchange economy, probability distributions, Walras' law

On the Consistency of the Lucas Pricing Formula

NHH Dept. of Finance & Management Science Discussion Paper No. 2005/9
Number of pages: 20 Posted: 20 Mar 2007
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 42 (573,346)

Abstract:

Loading...

Exchange economy, state price deflator, discrete time, continuous

On the Consistency of the Lucas Pricing Formula

Mathematical Finance, Vol. 18, Issue 2, pp. 293-303, April 2008
Number of pages: 11 Posted: 12 Mar 2008
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 7 (850,543)

Abstract:

Loading...

19.

Recursive Utility Using the Stochastic Maximum Principle

NHH Dept. of Business and Management Science Discussion Paper No. 2014/3
Number of pages: 36 Posted: 22 Feb 2014 Last Revised: 09 Apr 2015
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 47 (537,396)
Citation 6

Abstract:

Loading...

The equity premium puzzle, the risk-free rate puzzle, recursive utility, the stochastic maximum principle

20.

The Equity Premium in a Production Economy; A New Perspective Involving Recursive Utility

NHH Dept. of Business and Management Science Discussion Paper No. 2015/15
Number of pages: 48 Posted: 11 Apr 2015
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 46 (542,146)

Abstract:

Loading...

Equity risk premium, production economy, recursive utility, CAPM, CCAPM, ICAPM

21.

The Optimal Spending Rate Versus the Expected Real Return of a Sovereign Wealth Fund

NHH Dept. of Business and Management Science Discussion Paper No. 2021/1
Number of pages: 53 Posted: 05 Feb 2021
Knut K. Aase and Petter Bjerksund
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 40 (571,896)

Abstract:

Loading...

Optimal spending rate, endowment funds, expected utility, risk aversion, EIS, recursive utility

22.

Insider Trading with Non-Fiduciary Market Makers

NHH Dept. of Business and Management Science Discussion Paper No. 2016/8
Number of pages: 50 Posted: 23 May 2016
Knut K. Aase and Frøystein Gjesdal
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics and Business Administration (NHH) - Department of Accounting, Auditing and Law
Downloads 39 (577,055)
Citation 1

Abstract:

Loading...

Insider trading, asymmetric information, strategic trade, correlated trade, price distortion, partially informed market maker

23.

An Anticipative Linear Filtering Equation

NHH Dept. of Finance & Management Science Discussion Paper No. 2010/8
Number of pages: 11 Posted: 13 Sep 2010
Knut K. Aase, Terje Bjuland and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science, Norwegian School of Economics (NHH) - Department of Finance and University of Oslo - Department of Mathematics
Downloads 35 (599,016)
Citation 3

Abstract:

Loading...

Anticipative linear filter equation, enlargement of filtration, insider trading

24.

Beyond the Local Mean-Variance Analysis in Continuous Time: The Problem of Non-Normality

NHH Dept. of Business and Management Science Discussion Paper No. 2015/11
Number of pages: 23 Posted: 26 Feb 2015
Knut K. Aase and Jostein Lillestol
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 33 (610,641)
Citation 3

Abstract:

Loading...

Mean-variance analysis, Consumption based CAPM, Equilibrium real interest rate, The equity premium puzzle, jump-diffusions, Bi-variate Normal Inverse Gaussian distribution

25.

Heterogeneity and Limited Stock Market Participation

NHH Dept. of Business and Management Science Discussion Paper No. 2014/5
Number of pages: 37 Posted: 06 Mar 2014 Last Revised: 09 Apr 2015
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 31 (622,704)
Citation 3

Abstract:

Loading...

The equity premium puzzle, the risk-free rate puzzle, recursive utility, the stochastic maximum principle, heterogeneity, limited market participation

26.

The optimal extraction rate versus the expected real return of a sovereign wealth fund: Some simulations

NHH Dept. of Business and Management Science Discussion Paper No. 2019/7
Number of pages: 54 Posted: 10 Sep 2019 Last Revised: 04 Feb 2021
Knut K. Aase and Petter Bjerksund
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 30 (629,011)

Abstract:

Loading...

Optimal Extraction Rate, Endowment Funds, Expected Utility, Recursive Utility

27.

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

Number of pages: 26 Posted: 15 Nov 2002
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 30 (629,011)

Abstract:

Loading...

28.

A Pricing Model for Quantity Contracts

Number of pages: 26 Posted: 23 Dec 2004
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 28 (642,027)
Citation 1

Abstract:

Loading...

29.

Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 239-268, March 2007
Number of pages: 30 Posted: 04 Mar 2007
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 27 (648,742)
Citation 1

Abstract:

Loading...

30.

Long Dated Life Insurance and Pension Contracts

NHH Dept. of Finance & Management Science Discussion Paper No. 2011/10
Number of pages: 38 Posted: 01 Jun 2011
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 26 (655,770)

Abstract:

Loading...

The life cycle model, pension insurance, optimal life insurance, longevity risk, the horizon problem, equity premium puzzle

31.

Strategic Insider Trading Equilibrium With a Non-Fiduciary Market Maker

NHH Dept. of Business and Management Science Discussion Paper No. 2019/2
Number of pages: 46 Posted: 29 Aug 2019 Last Revised: 12 Dec 2019
Knut K. Aase and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science and University of Oslo - Department of Mathematics
Downloads 25 (662,975)

Abstract:

Loading...

Insider Trading, Asymmetric Information, Strategic Trade, Price Distortion, Non-Fiduciary Market Maker, Bid-Ask Spread, Linear Filtering Theory, Innovation Equation

32.

Elements of Economics of Uncertainty and Time with Recursive Utility

NHH Dept. of Business and Management Science Discussion Paper No. 2020/13
Number of pages: 39 Posted: 05 Nov 2020 Last Revised: 03 Jun 2021
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 16 (733,632)

Abstract:

Loading...

Recursive utility, axioms, scale invariance, utility gradients, the equity premium puzzle, precautionary savings

33.

Optimal Risk Sharing in Society

NHH Dept. of Business and Management Science Discussion Paper No. 10, 2021
Number of pages: 50 Posted: 10 Jan 2022
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 15 (742,347)

Abstract:

Loading...

Optimal risk sharing, Syndicates, Savage expected utility, Evaluation measures, No-arbitrage pricing, State prices

34.

Strategic Insider Trading in Continuous Time: A New Approach

NHH Dept. of Business and Management Science Discussion Paper No. 2019/3
Number of pages: 31 Posted: 30 Aug 2019
Knut K. Aase and Bernt Oksendal
Norwegian School of Economics (NHH) - Department of Business and Management Science and University of Oslo - Department of Mathematics
Downloads 7 (818,543)
Citation 1

Abstract:

Loading...

insider trading, asymmetric information, strategic trade, filtering theory, forward integration

35.

White Noise Generalizations of the Clark-Haussmann-Ocone Theorem with Application to Mathematical Finance

Posted: 17 Nov 2000
Norwegian School of Economics (NHH) - Department of Business and Management Science, University of Oslo - Department of Mathematics, Université de la Rochelle and Norwegian School of Economics (NHH) - Department of Business and Management Science

Abstract:

Loading...

36.

An Equilibrium Model of Catastrophe Insurance Futures Contracts

Posted: 13 Jul 1998
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science

Abstract:

Loading...

Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products

WFIC 96-20
Posted: 23 Apr 1998
Knut K. Aase and Svein-Arne Persson
Norwegian School of Economics (NHH) - Department of Business and Management Science and Norwegian School of Economics (NHH)

Abstract:

Loading...

Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products

Journal Of Risk And Insurance, Vol. 64, No. 4, December, 1997
Posted: 04 May 1998
Svein-Arne Persson and Knut K. Aase
Norwegian School of Economics (NHH) and Norwegian School of Economics (NHH) - Department of Business and Management Science

Abstract:

Loading...