We derive worst-case scenarios in the case where the interest rate and the various transition intensities in a life insurance model are mutually dependent. Examples of this dependence are that surrender intensities and interest rates are high at the same time, that mortality intensities of a...

In this paper, we explore approximate solutions to optimal control problems that cannot be solved analytically with existing techniques. Inspired by the mean-variance analysis of the single period environment, an advanced and a simple method are developed in order to approximate optimal...

In this paper, we present a novel representation of a verification result for the equilibrium control law of a general class of portfolio problems where the standard dynamic programming principle does not hold. The novel representation provides simple and easy application of the theorem and we...

In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. We get explicit...

We calculate reserves regarding expected policy holder behavior. The behavior is modeled to occur incidentally similarly to insurance risk. The focus is on multi-state modeling of insurance risk, e.g. in a disability model, and of behavioral risk, e.g. in a premium payment — free policy —...

We consider an investor, with an uncertain life time, endowed with deterministic labor income, who has the possibility to continuously invest in a Black-Scholes market and to buy life insurance or annuities. We solve the optimal consumption, investment and life insurance problem when the...

The coronavirus pandemic has created a new awareness of epidemics, and insurance companies have been reminded to consider the risk related to infectious diseases. This paper extends the traditional multi-state models to include epidemic effects. The main idea is to specify the transition...

This article summarizes the main topics, findings, and avenues for future work from the workshop Fairness with a view towards insurance held August 2023 in Copenhagen, Denmark.

Many problems in modern financial economics involve the solution of continuous-time, continuous-state stochastic control problems. Since explicit solutions of such problems are extremely rare, efficient numerical methods are called for. The Markov chain approximation approach provides a class of...

Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those...