Details about Knut Kristian Aase

Access statistics for papers by Knut Kristian Aase.

Last updated 2023-07-08. Update your information in the RePEc Author Service.

Short-id: paa23

Working Papers

2025

1. Optimal Insurance Policies and Saving in a Temporal World
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
2. Optimal risk sharing with translation invariant recursive utility for jump-diffusions
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
3. Pareto Optimal Insurance Policies: Kinks with or without frictions
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
4. Recursive utility and jump-diffusions
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
   Also in Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014) View citations (1)
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2015) View citations (2)

2023

5. Intuitive probability of non-intuitive events
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
6. Optimal spending of a wealth fund in the discrete time life cycle model
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2021

7. Optimal Risk Sharing in Society
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
   See also Journal Article Optimal Risk Sharing in Society, Mathematics, MDPI (2022) (2022)
8. The optimal extraction rate versus the expected real return of a sovereign wealth fund: Some simulations
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (1)
9. The optimal spending rate versus the expected real return of a sovereign wealth fund
   Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (4)
   See also Journal Article The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund, JRFM, MDPI (2021) View citations (4) (2021)

2020

10. Elements of economics of uncertainty and time with recursive utility
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2019

11. Strategic Insider Trading Equilibrium with a Non-fiduciary Market Maker
    Papers, arXiv.org
    Also in Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2019)
12. Strategic Insider Trading in Continuous Time: A New Approach
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2016

13. Insider trading with non-fiduciary market makers
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2015

14. Beyond the local mean-variance analysis in continuous time: The problem of non-normality
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)
15. Heterogeneity and limited stock market Participation
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (3)
16. Recursive utility and the equity premium puzzle: A discrete-time approach
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (3)
17. Recursive utility using the stochastic maximum principle
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (5)
    See also Journal Article Recursive utility using the stochastic maximum principle, Quantitative Economics, Econometric Society (2016) View citations (1) (2016)
18. The Life Cycle Model with Recursive Utility: New insights on optimal consumption
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
19. The equity premium in a production economy; A new perspective involving recursive utility
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2014

20. Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)
    See also Journal Article LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL, ASTIN Bulletin, Cambridge University Press (2015) (2015)

2013

21. Recursive utility and disappearing puzzles for continuous-time models
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2012

22. What Puzzles? New insights in asset pricing
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

2011

23. Insider trading with partially informed traders
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
24. Long Dated Life Insurance and Pension Contracts
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
25. The equity premium and the risk free rate in a production economy. A new perspective
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
26. The long term equilibrium interest rate and risk premiums under uncertainty
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)

2010

27. An anticipative linear filtering equation
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)
28. Pareto Optimal Insurance Policies in the Presence of Administrative Costs
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
29. Strategic Insider Trading Equilibrium: A Filter Theory Approach
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (5)

2009

30. The investment horizon problem: A resolution
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (3)

2008

31. Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
    See also Journal Article Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate, ASTIN Bulletin, Cambridge University Press (2010) View citations (1) (2010)
32. The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
    See also Journal Article The Nash bargaining solution vs. equilibrium in a reinsurance syndicate, Scandinavian Actuarial Journal, Taylor & Francis Journals (2009) View citations (2) (2009)

2007

33. Strategic Insider Trading Equilibrium: A Forward Integration Approach
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (1)
34. Wealth Effects on Demand for Insurance
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (3)

2006

35. Optimal Risk-Sharing and Deductables in Insurance
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (1)

2005

36. Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005)
    See also Journal Article Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs, Journal of Risk & Insurance, The American Risk and Insurance Association (2007) View citations (5) (2007)
37. On the Consistency of the Lucas Pricing Formula
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2005)
    See also Journal Article ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA, Mathematical Finance, Wiley Blackwell (2008) (2008)
38. The perpetual American put option for jump-diffusions with applications
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
    Also in Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2005) View citations (5)
39. Using Option Pricing Theory to Infer About Equity Premiums
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (2)
40. Using Option Pricing Theory to Infer About Historical Equity Premiums
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (2)

2004

41. Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (3)
42. Negative volatility and the Survival of Western Financial Markets
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science View citations (1)
43. The perpetual American put option for jump-diffusions: Implications for equity premiums
    Discussion Papers, Norwegian School of Economics, Department of Business and Management Science

1996

44. Empirical Tests of Models of Catastrophe Insurance Futures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
45. Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (14)

Journal Articles

2022

1. Optimal Risk Sharing in Society
   Mathematics, 2022, 10, (1), 1-31
   See also Working Paper Optimal Risk Sharing in Society, Discussion Papers (2021) (2021)

2021

2. The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund
   JRFM, 2021, 14, (9), 1-36 View citations (4)
   See also Working Paper The optimal spending rate versus the expected real return of a sovereign wealth fund, Discussion Papers (2021) View citations (4) (2021)

2017

3. Optimal Insurance Policies in the Presence of Costs
   Risks, 2017, 5, (3), 1-17 View citations (1)

2016

4. LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY
   ASTIN Bulletin, 2016, 46, (1), 71-102 View citations (5)
5. Recursive utility using the stochastic maximum principle
   Quantitative Economics, 2016, 7, (3), 859-887 View citations (1)
   See also Working Paper Recursive utility using the stochastic maximum principle, Discussion Papers (2015) View citations (5) (2015)

2015

6. LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
   ASTIN Bulletin, 2015, 45, (1), 1-47
   See also Working Paper Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model, Discussion Papers (2014) View citations (2) (2014)

2010

7. Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
   ASTIN Bulletin, 2010, 40, (2), 491-517 View citations (1)
   See also Working Paper Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate, Discussion Papers (2008) (2008)

2009

8. The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
   Scandinavian Actuarial Journal, 2009, 2009, (3), 219-238 View citations (2)
   See also Working Paper The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate, Discussion Papers (2008) (2008)

2008

9. ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
   Mathematical Finance, 2008, 18, (2), 293-303
   See also Working Paper On the Consistency of the Lucas Pricing Formula, Discussion Papers (2005) (2005)

2007

10. Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs
    Journal of Risk & Insurance, 2007, 74, (1), 239-268 View citations (5)
    See also Working Paper Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs, Discussion Papers (2005) (2005)

2004

11. A Pricing Model for Quantity Contracts
    Journal of Risk & Insurance, 2004, 71, (4), 617-642 View citations (3)

2003

12. New Econ for Life Actuaries
    ASTIN Bulletin, 2003, 33, (2), 117-122

2002

13. Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
    Mathematical Finance, 2002, 12, (3), 173-198 View citations (14)
14. Perspectives of Risk Sharing
    Scandinavian Actuarial Journal, 2002, 2002, (2), 73-128
15. Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals
    Annals of Operations Research, 2002, 114, (1), 15-31

2001

16. On the St. Petersburg Paradox
    Scandinavian Actuarial Journal, 2001, 2001, (1), 69-78

2000

17. An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis
    Insurance: Mathematics and Economics, 2000, 27, (3), 345-363 View citations (5)
18. White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
    Finance and Stochastics, 2000, 4, (4), 465-496 View citations (26)

1999

19. An Equilibrium Model of Catastrophe Insurance Futures and Spreads
    The Geneva Risk and Insurance Review, 1999, 24, (1), 69-96 View citations (26)

1996

20. The Values of Insurance Companies Under Different Uncertain Portfolios
    The Geneva Risk and Insurance Review, 1996, 21, (2), 147-158 View citations (1)

1993

21. A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
    Mathematical Finance, 1993, 3, (2), 65-84 View citations (14)
22. Continuous trading in an exchange economy under discontinuous dynamics: A resolution of the equity premium puzzle
    Scandinavian Journal of Management, 1993, 9, (Supplement 1), S3-S28 View citations (7)
23. Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization
    ASTIN Bulletin, 1993, 23, (2), 185-211 View citations (21)
24. Preface
    Scandinavian Journal of Management, 1993, 9, (Supplement 1), S1-S1

1992

25. Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market
    The Geneva Risk and Insurance Review, 1992, 17, (2), 93-136 View citations (6)

1990

26. Unemployment Insurance and Incentives
    The Geneva Risk and Insurance Review, 1990, 15, (2), 141-157 View citations (4)

1988

27. A new method for valuing underwriting agreements for rights issues
    Insurance: Mathematics and Economics, 1988, 7, (3), 175-184
28. Admissible investment strategies in continuous trading
    Stochastic Processes and their Applications, 1988, 30, (2), 291-301 View citations (6)
29. Contingent claims valuation when the security price is a combination of an Ito process and a random point process
    Stochastic Processes and their Applications, 1988, 28, (2), 185-220 View citations (18)

1986

30. Ruin problems and myopic portfolio optimization in continuous trading
    Stochastic Processes and their Applications, 1986, 21, (2), 213-227 View citations (4)

1984

31. Optimum portfolio diversification in a general continuous-time model
    Stochastic Processes and their Applications, 1984, 18, (1), 81-98 View citations (33)

1981

32. Model reference adaptive systems applied to regression analyses
    Statistica Neerlandica, 1981, 35, (3), 129-155