Knut K. Aase

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

Professor

Helleveien 30

Bergen, NO-5045

Norway

SCHOLARLY PAPERS

34

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Top 15,958

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14

CROSSREF CITATIONS

39

Scholarly Papers (34)

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 219 (141,647)
Citation 1

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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 192 (160,281)
Citation 1

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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 115 (244,386)
Citation 1

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

4.

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 97 (274,828)
Citation 1

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

5.

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 91 (286,436)
Citation 7

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

6.

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 91 (286,436)

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

7.

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 82 (305,639)
Citation 2

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8.

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 78 (314,778)
Citation 1

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

9.
Downloads 75 (322,054)
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 41 (436,364)
Citation 3

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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 34 (467,627)
Citation 2

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

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 68 (339,984)

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

11.

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 62 (356,669)
Citation 1

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

12.

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 60 (362,624)
Citation 1

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

13.

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 57 (371,836)
Citation 5

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

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 56 (375,064)
Citation 3

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

15.

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 49 (398,177)
Citation 4

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

16.

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 49 (398,177)
Citation 1

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

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 41 (436,364)

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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 (638,601)
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18.

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 45 (412,301)
Citation 4

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

19.

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 45 (412,301)

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

20.

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 34 (456,582)
Citation 1

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

21.

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 32 (465,541)
Citation 3

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Anticipative linear filter equation, enlargement of filtration, insider trading

22.

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 31 (470,269)

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

23.

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 31 (470,269)
Citation 1

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

24.

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

Mathematical Finance, Vol. 12, pp. 173-198, 2002
Number of pages: 26 Posted: 15 Nov 2002
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 29 (480,021)
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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 26 (496,101)
Citation 3

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

26.

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 (496,101)

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

27.

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 26 (496,101)
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28.

A Pricing Model for Quantity Contracts

Journal of Risk and Insurance, Vol. 71, No. 4, pp. 617-642, December 2004
Number of pages: 26 Posted: 23 Dec 2004
Knut K. Aase
Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads 26 (496,101)
Citation 1
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29.

The Optimal Extraction Rate versus the Expected Real Return of a Sovereign Wealth Fund

NHH Dept. of Business and Management Science Discussion Paper No. 2019/7
Number of pages: 54 Posted: 10 Sep 2019
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 8 (605,224)

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

30.

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: 47 Posted: 29 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 8 (605,224)

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

31.

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 1 (661,356)

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

32.

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

Finance and Stochastics, Vol. 4, No. 4
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

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33.

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

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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)

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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

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