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Details about Knut Kristian Aase

Homepage:http://www.nhh.no/Default.aspx?ID=2004
Workplace:Institutt for foretaksøkonomi (Department of Business and Management Science), Norges Handelshøyskole (NHH) (Norwegian School of Economics), (more information at EDIRC)

Access statistics for papers by Knut Kristian Aase.

Last updated 2016-01-18. Update your information in the RePEc Author Service.

Short-id: paa23


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Working Papers

2015

  1. Beyond the local mean-variance analysis in continuous time: The problem of non-normality
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (1)
  2. Heterogeneity and limited stock market Participation
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (3)
  3. Recursive utility and jump-diffusions
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (2)
    Also in Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (2014) Downloads View citations (1)
  4. Recursive utility and the equity premium puzzle: A discrete-time approach
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics View citations (2)
  5. Recursive utility using the stochastic maximum principle
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (5)
  6. The Life Cycle Model with Recursive Utility: New insights on optimal consumption
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  7. The equity premium in a production economy; A new perspective involving recursive utility
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads

2014

  1. Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (2)

2013

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

2012

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

2011

  1. Insider trading with partially informed traders
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  2. Long Dated Life Insurance and Pension Contracts
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  3. The equity premium and the risk free rate in a production economy. A new perspective
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  4. The long term equilibrium interest rate and risk premiums under uncertainty
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (1)

2010

  1. An anticipative linear filtering equation
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (2)
  2. Pareto Optimal Insurance Policies in the Presence of Administrative Costs
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  3. Strategic Insider Trading Equilibrium: A Filter Theory Approach
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (4)

2009

  1. The investment horizon problem: A resolution
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads View citations (2)

2008

  1. Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  2. The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads

2007

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

2006

  1. Optimal Risk-Sharing and Deductables in Insurance
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads

2005

  1. Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
    Also in Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (2005) Downloads

    See also Journal Article in Journal of Risk & Insurance (2007)
  2. On the Consistency of the Lucas Pricing Formula
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
    Also in Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (2005) Downloads

    See also Journal Article in Mathematical Finance (2008)
  3. 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 Downloads View citations (1)
    Also in Discussion Papers, Department of Business and Management Science, Norwegian School of Economics (2005) Downloads View citations (2)
  4. Using Option Pricing Theory to Infer About Equity Premiums
    Discussion Papers, Department of Business and Management Science, Norwegian School of Economics Downloads
  5. 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 Downloads View citations (2)

2004

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

1996

  1. Empirical Tests of Models of Catastrophe Insurance Futures
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads
  2. 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 Downloads View citations (13)

Journal Articles

2008

  1. ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
    Mathematical Finance, 2008, 18, (2), 293-303 Downloads
    See also Working Paper (2005)

2007

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

2004

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

2002

  1. Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
    Mathematical Finance, 2002, 12, (3), 173-198 Downloads View citations (13)

2000

  1. 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 Downloads View citations (2)
  2. White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
    Finance and Stochastics, 2000, 4, (4), 465-496 Downloads View citations (16)

1999

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

1996

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

1993

  1. A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle
    Mathematical Finance, 1993, 3, (2), 65-84 Downloads View citations (12)
  2. 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 Downloads View citations (7)
  3. Preface
    Scandinavian Journal of Management, 1993, 9, (Supplement 1), S1-S1 Downloads

1992

  1. Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market
    The Geneva Risk and Insurance Review, 1992, 17, (2), 93-136 Downloads View citations (5)

1990

  1. Unemployment Insurance and Incentives
    The Geneva Risk and Insurance Review, 1990, 15, (2), 141-157 Downloads View citations (3)

1988

  1. A new method for valuing underwriting agreements for rights issues
    Insurance: Mathematics and Economics, 1988, 7, (3), 175-184 Downloads
  2. Admissible investment strategies in continuous trading
    Stochastic Processes and their Applications, 1988, 30, (2), 291-301 Downloads View citations (5)
  3. 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 Downloads View citations (13)

1986

  1. Ruin problems and myopic portfolio optimization in continuous trading
    Stochastic Processes and their Applications, 1986, 21, (2), 213-227 Downloads View citations (3)

1984

  1. Optimum portfolio diversification in a general continuous-time model
    Stochastic Processes and their Applications, 1984, 18, (1), 81-98 Downloads View citations (20)
 
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