Knut Kristian Aase

Prof. Knut Kristian Aase

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Research Focus & Metrics

Academic Career Length

27Years (2000-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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1 August 2000 in Finance and Stochastics
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KAKnut Kristian Aase
Knut Kristian Aase
Bernt ØksendalBernt Øksendal
Bernt Øksendal
NPNicolas Privault
Nicolas Privault
JUJan Ubøe
Jan Ubøe

13 May 2011 in Afrika Matematika
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KAKnut Kristian Aase
Knut Kristian Aase
TBTerje Bjuland
Terje Bjuland
Bernt ØksendalBernt Øksendal
Bernt Øksendal
The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity trading, and by having weaker a priori assumptions on the model. This extension is made possible by the use of filtering theory. We derive the optimal trade for an insider and the corresponding price of the risky asset; the insider’s trading intensity satisfies a deterministic integral equation, given perfect inside information.

7 September 2009 in Scandinavian Actuarial Journal
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KAKnut Kristian Aase
Knut Kristian Aase
We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find that, although these solution concepts are very different, one may just appear as a first order Taylor series approximation of the other, in certain cases. This may be good news for the Nash solution, or for the equilibrium allocation, all depending upon one's point of view. Our model also allows us to readily identify some properties of the equilibrium allocation not be shared by the bargaining solution, and vice versa, related to both risk aversions and correlations.

6 May 2012 in Mathematics and Financial Economics
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KAKnut Kristian Aase
Knut Kristian Aase
TBTerje Bjuland
Terje Bjuland
Bernt ØksendalBernt Øksendal
Bernt Øksendal

1 July 2002 in Mathematical Finance
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KAKnut Kristian Aase
Knut Kristian Aase

14 November 2016 in Quantitative Economics
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KAKnut Kristian Aase
Knut Kristian Aase
Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic differential equations, and works when the economy is not Markovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in equilibrium in terms of utility and aggregate consumption. The equilibrium real interest rate is derived, and the resulting model is shown to be consistent with reasonable values of the parameters of the utility function when calibrated to market data, under various assumptions.