Details about Peter Løchte Jørgensen

Access statistics for papers by Peter Løchte Jørgensen.

Last updated 2024-06-10. Update your information in the RePEc Author Service.

Short-id: pjr1

Working Papers

2008

1. Time Charters with Purchase Options in Shipping: Valuation and Risk Management
   Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
   See also Journal Article Time Charters with Purchase Options in Shipping: Valuation and Risk Management, Applied Mathematical Finance, Taylor & Francis Journals (2010) View citations (7) (2010)

2006

2. Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs
   Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
   Also in Working Papers, Copenhagen Business School, Department of Finance (2006)
   See also Journal Article Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs, The European Journal of Finance, Taylor & Francis Journals (2007) (2007)
3. Traffic Light Options
   Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
   See also Journal Article Traffic light options, Journal of Banking & Finance, Elsevier (2007) View citations (7) (2007)

2003

4. The Value and Incentives of Option-based Compensation in Danish Listed Companies
   Working Papers, Copenhagen Business School, Department of Finance

2002

5. Optionsaflønning i danske børsnoterede selskaber
   Working Papers, Copenhagen Business School, Department of Finance
   See also Journal Article Optionsaflønning i danske børsnoterede selskaber, Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening (2003) (2003)

2001

6. A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (24)
   See also Journal Article A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities, The Geneva Risk and Insurance Review, Palgrave Macmillan (2001) View citations (24) (2001)
7. Life Insurance Liabilities at Market Value
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (38)

Journal Articles

2023

1. The cost of insuring against underperformance of ESG screened index funds
   Journal of Sustainable Finance & Investment, 2023, 13, (4), 1534-1553

2018

2. An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates
   Journal of Banking & Finance, 2018, 97, (C), 219-237 View citations (2)

2016

3. An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
   Scandinavian Actuarial Journal, 2016, 2016, (9), 837-857

2015

4. On risk charges and shadow account options in pension funds
   Scandinavian Actuarial Journal, 2015, 2015, (7), 616-639
5. On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
   Insurance: Mathematics and Economics, 2015, 60, (C), 83-97 View citations (7)

2012

6. A comparison of three different pension savings products with special emphasis on the payout phase
   Annals of Actuarial Science, 2012, 6, (1), 137-152 View citations (2)

2010

7. Time Charters with Purchase Options in Shipping: Valuation and Risk Management
   Applied Mathematical Finance, 2010, 17, (5), 399-430 View citations (7)
   See also Working Paper Time Charters with Purchase Options in Shipping: Valuation and Risk Management, Finance Research Group Working Papers (2008) (2008)

2007

8. Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs
   The European Journal of Finance, 2007, 13, (7), 595-619
   See also Working Paper Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs, Finance Research Group Working Papers (2006) (2006)
9. Traffic light options
   Journal of Banking & Finance, 2007, 31, (12), 3698-3719 View citations (7)
   See also Working Paper Traffic Light Options, Finance Research Group Working Papers (2006) (2006)

2006

10. Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
    Insurance: Mathematics and Economics, 2006, 38, (2), 229-252 View citations (22)

2004

11. On accounting standards and fair valuation of life insurance and pension liabilities
    Scandinavian Actuarial Journal, 2004, 2004, (5), 372-394

2003

12. Optionsaflønning i danske børsnoterede selskaber
    Nationaløkonomisk tidsskrift, 2003, 2003, (1), 68-88
    See also Working Paper Optionsaflønning i danske børsnoterede selskaber, Working Papers (2002) (2002)

2002

13. American-style Indexed Executive Stock Options
    Review of Finance, 2002, 6, (3), 321-358 View citations (5)
14. The bonus-crediting mechanism of Danish pension and life insurance companies: an empirical analysis
    Journal of Pension Economics and Finance, 2002, 1, (3), 249-268 View citations (3)

2001

15. A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
    The Geneva Risk and Insurance Review, 2001, 26, (1), 57-84 View citations (24)
    See also Working Paper A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities, Finance Working Papers (2001) View citations (24) (2001)
16. Life Insurance Contracts with Embedded Options
    Journal of Risk Finance, 2001, 3, (1), 19-30

2000

17. Analytical Valuation of American-Style Asian Options
    Management Science, 2000, 46, (8), 1116-1136 View citations (22)
18. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
    Insurance: Mathematics and Economics, 2000, 26, (1), 37-57 View citations (138)