Knut Kristian Aase

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Identifer

Contact

Affiliations

• Norges Handelshøyskole (NHH) / Institutt for foretaksøkonomi
  • EDIRC entry
  • location:

Research profile

author of:

• Strategic Insider Trading Equilibrium with a Non-fiduciary Market Maker
  Papers, arXiv.org (2019)
  by Knut Aase & Bernt {O}ksendal
  (ReDIF-paper, arx:papers:1908.08777)
• A Pricing Model for Quantity Contracts
  Journal of Risk & Insurance, The American Risk and Insurance Association (2004)
  by Knut K. Aase
  (ReDIF-article, bla:jrinsu:v:71:y:2004:i:4:p:617-642)
• Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs
  Journal of Risk & Insurance, The American Risk and Insurance Association (2007)
  by Knut K. Aase
  (ReDIF-article, bla:jrinsu:v:74:y:2007:i:1:p:239-268)
• Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion
  Mathematical Finance, Wiley Blackwell (2002)
  by Knut K. Aase
  (ReDIF-article, bla:mathfi:v:12:y:2002:i:3:p:173-198)
• On The Consistency Of The Lucas Pricing Formula
  Mathematical Finance, Wiley Blackwell (2008)
  by Knut K. Aase
  (ReDIF-article, bla:mathfi:v:18:y:2008:i:2:p:293-303)
• A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
  Mathematical Finance, Wiley Blackwell (1993)
  by Knut K. Aase
  (ReDIF-article, bla:mathfi:v:3:y:1993:i:2:p:65-84)
• Model reference adaptive systems applied to regression analyses
  Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (1981)
  by Knut Kristian Aase
  (ReDIF-article, bla:stanee:v:35:y:1981:i:3:p:129-155)
• 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 (2005)
  by Aase, Knut K
  (ReDIF-paper, cdl:anderf:qt31g898nz)
• 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 (2005)
  by Aase, Knut K
  (ReDIF-paper, cdl:anderf:qt3dd602j5)
• 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 (2005)
  by Aase, Knut K
  (ReDIF-paper, cdl:anderf:qt4699p9q5)
• 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 (2005)
  by Aase, Knut K
  (ReDIF-paper, cdl:anderf:qt6gk6b0xw)
• Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization
  ASTIN Bulletin, Cambridge University Press (1993)
  by Aase, Knut K.
  (ReDIF-article, cup:astinb:v:23:y:1993:i:02:p:185-211_01)
• New Econ for Life Actuaries
  ASTIN Bulletin, Cambridge University Press (2003)
  by Aase, Knut K. & Persson, Svein-Arne
  (ReDIF-article, cup:astinb:v:33:y:2003:i:02:p:117-122_01)
• Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
  ASTIN Bulletin, Cambridge University Press (2010)
  by Aase, Knut K.
  (ReDIF-article, cup:astinb:v:40:y:2010:i:02:p:491-517_00)
• Life Insurance And Pension Contracts I: The Time Additive Life Cycle Model
  ASTIN Bulletin, Cambridge University Press (2015)
  by Aase, Knut K.
  (ReDIF-article, cup:astinb:v:45:y:2015:i:01:p:1-47_00)
• Life Insurance And Pension Contracts Ii: The Life Cycle Model With Recursive Utility
  ASTIN Bulletin, Cambridge University Press (2016)
  by Aase, Knut K.
  (ReDIF-article, cup:astinb:v:46:y:2016:i:01:p:71-102_00)
• An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis
  Insurance: Mathematics and Economics, Elsevier (2000)
  by Aase, Knut K.
  (ReDIF-article, eee:insuma:v:27:y:2000:i:3:p:345-363)
• A new method for valuing underwriting agreements for rights issues
  Insurance: Mathematics and Economics, Elsevier (1988)
  by Aase, Knut K.
  (ReDIF-article, eee:insuma:v:7:y:1988:i:3:p:175-184)
• Preface
  Scandinavian Journal of Management, Elsevier (1993)
  by Aase, Knut K. & Berglund, Tom & Jennergren, L. Peter & Nielsen, Jörgen Aase & Näslund, Bertil
  (ReDIF-article, eee:scaman:v:9:y:1993:i:supplement1:p:s1-s1)
• Continuous trading in an exchange economy under discontinuous dynamics: A resolution of the equity premium puzzle
  Scandinavian Journal of Management, Elsevier (1993)
  by Aase, Knut K.
  (ReDIF-article, eee:scaman:v:9:y:1993:i:supplement1:p:s3-s28)
• Optimum portfolio diversification in a general continuous-time model
  Stochastic Processes and their Applications, Elsevier (1984)
  by Aase, Knut Kristian
  (ReDIF-article, eee:spapps:v:18:y:1984:i:1:p:81-98)
• Ruin problems and myopic portfolio optimization in continuous trading
  Stochastic Processes and their Applications, Elsevier (1986)
  by Aase, Knut Kristian
  (ReDIF-article, eee:spapps:v:21:y:1986:i:2:p:213-227)
• Contingent claims valuation when the security price is a combination of an Ito process and a random point process
  Stochastic Processes and their Applications, Elsevier (1988)
  by Aase, Knut K.
  (ReDIF-article, eee:spapps:v:28:y:1988:i:2:p:185-220)
• Admissible investment strategies in continuous trading
  Stochastic Processes and their Applications, Elsevier (1988)
  by Aase, Knut K. & Øksendal, Bernt
  (ReDIF-article, eee:spapps:v:30:y:1988:i:2:p:291-301)
• The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund
  JRFM, MDPI (2021)
  by Knut K. Aase & Petter Bjerksund
  (ReDIF-article, gam:jjrfmx:v:14:y:2021:i:9:p:425-:d:629686)
• Optimal Risk Sharing in Society
  Mathematics, MDPI (2022)
  by Knut K. Aase
  (ReDIF-article, gam:jmathe:v:10:y:2022:i:1:p:161-:d:718278)
• Optimal Insurance Policies in the Presence of Costs
  Risks, MDPI (2017)
  by Knut K. Aase
  (ReDIF-article, gam:jrisks:v:5:y:2017:i:3:p:46-:d:111025)
• Negative volatility and the Survival of Western Financial Markets
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2004)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2004_005)
• Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2004)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2004_012)
• The perpetual American put option for jump-diffusions: Implications for equity premiums
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2004)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2004_019)
• On the Consistency of the Lucas Pricing Formula
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2005)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2005_009)
• Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2005)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2005_010)
• Using Option Pricing Theory to Infer About Equity Premiums
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2005)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2005_011)
• The perpetual American put option for jump-diffusions with applications
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2005)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2005_012)
• Optimal Risk-Sharing and Deductables in Insurance
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2006)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2006_024)
• Wealth Effects on Demand for Insurance
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2007)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2007_006)
• Strategic Insider Trading Equilibrium: A Forward Integration Approach
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2007)
  by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2007_024)
• The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2008)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2008_005)
• Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2008)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2008_013)
• The investment horizon problem: A resolution
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2009)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2009_007)
• Pareto Optimal Insurance Policies in the Presence of Administrative Costs
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2010)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2010_007)
• An anticipative linear filtering equation
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2010)
  by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2010_008)
• Strategic Insider Trading Equilibrium: A Filter Theory Approach
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2010)
  by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2010_009)
• 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 (2011)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2011_002)
• The long term equilibrium interest rate and risk premiums under uncertainty
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2011)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2011_004)
• Long Dated Life Insurance and Pension Contracts
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2011)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2011_010)
• Insider trading with partially informed traders
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2011)
  by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2011_021)
• What Puzzles? New insights in asset pricing
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2012)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2012_013)
• Recursive utility and disappearing puzzles for continuous-time models
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2013)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2013_002)
• Recursive utility and the equity premium puzzle: A discrete-time approach
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2013)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2013_003)
• Recursive utility using the stochastic maximum principle
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2014_003)
• Heterogeneity and limited stock market Participation
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2014_005)
• Recursive utility and jump-diffusions
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2014_009)
• Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2014_013)
• The Life Cycle Model with Recursive Utility: New insights on optimal consumption
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2014)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2014_019)
• Recursive utility and jump-diffusions
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2015)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2015_006)
• 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 (2015)
  by Aase, Knut K. & Lillestøl, Jostein
  (ReDIF-paper, hhs:nhhfms:2015_011)
• 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 (2015)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2015_015)
• Insider trading with non-fiduciary market makers
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2016)
  by Aase, Knut K. & Gjesdal, Frøystein
  (ReDIF-paper, hhs:nhhfms:2016_008)
• Strategic Insider Trading Equilibrium with a non-fiduciary market maker
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2019)
  by Aase, Knut K. & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2019_002)
• Strategic Insider Trading in Continuous Time: A New Approach
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2019)
  by Aase, Knut K. & Øksendal, Bernt
  (ReDIF-paper, hhs:nhhfms:2019_003)
• 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 (2019)
  by Aase, Knut K. & Bjerksund, Petter
  (ReDIF-paper, hhs:nhhfms:2019_007)
• Elements of economics of uncertainty and time with recursive utility
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2020)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2020_013)
• 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 (2021)
  by Aase, Knut K. & Bjerksund, Petter
  (ReDIF-paper, hhs:nhhfms:2021_001)
• Optimal Risk Sharing in Society
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2021)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2021_010)
• 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 (2023)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2023_007)
• Intuitive probability of non-intuitive events
  Discussion Papers, Norwegian School of Economics, Department of Business and Management Science (2023)
  by Aase, Knut K.
  (ReDIF-paper, hhs:nhhfms:2023_015)
• Unemployment Insurance and Incentives
  The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association) (1990)
  by Knut K. Aase
  (ReDIF-article, pal:genrir:v:15:y:1990:i:2:p:141-157)
• Dynamic Equilibrium and the Structure of Premiums in a Reinsurance Market
  The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association) (1992)
  by Knut K. Aase
  (ReDIF-article, pal:genrir:v:17:y:1992:i:2:p:93-136)
• The Values of Insurance Companies Under Different Uncertain Portfolios
  The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association) (1996)
  by Knut K. Aase & Isaac Meilijson
  (ReDIF-article, pal:genrir:v:21:y:1996:i:2:p:147-158)
• An Equilibrium Model of Catastrophe Insurance Futures and Spreads
  The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association) (1999)
  by Knut Aase
  (ReDIF-article, pal:genrir:v:24:y:1999:i:1:p:69-96)
• Representative Agent Pricing of Financial Assets Based on Lévy Processes with Normal Inverse Gaussian Marginals
  Annals of Operations Research, Springer (2002)
  by Knut Aase
  (ReDIF-article, spr:annopr:v:114:y:2002:i:1:p:15-31:10.1023/a:1021093615674)
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
  Finance and Stochastics, Springer (2000)
  by Jan Ubøe & Bernt Øksendal & Knut Aase & Nicolas Privault
  (ReDIF-article, spr:finsto:v:4:y:2000:i:4:p:465-496)
• On the St. Petersburg Paradox
  Scandinavian Actuarial Journal, Taylor & Francis Journals (2001)
  by Knut Aase
  (ReDIF-article, taf:sactxx:v:2001:y:2001:i:1:p:69-78)
• Perspectives of Risk Sharing
  Scandinavian Actuarial Journal, Taylor & Francis Journals (2002)
  by Knut Aase
  (ReDIF-article, taf:sactxx:v:2002:y:2002:i:2:p:73-128)
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
  Scandinavian Actuarial Journal, Taylor & Francis Journals (2009)
  by Knut Aase
  (ReDIF-article, taf:sactxx:v:2009:y:2009:i:3:p:219-238)
• Recursive utility using the stochastic maximum principle
  Quantitative Economics, Econometric Society (2016)
  by Knut K. Aase
  (ReDIF-article, wly:quante:v:7:y:2016:i:3:p:859-887)
• Empirical Tests of Models of Catastrophe Insurance Futures
  Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996)
  by Knut Aase & Bernt-Arne Ødegaard
  (ReDIF-paper, wop:pennin:96-18)
• 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 (1996)
  by Knut Aase & Svein-Arne Persson
  (ReDIF-paper, wop:pennin:96-20)