Ragnar Norberg

Recent Publications

  1. Optimal hedging of demographic risk in life insurance and pensions Working paper. (Full text.) © 2010 by R. Norberg.

  2. Forward mortality and other vital rates - are they the way forward? Working paper. (Full text.) © 2009 by R. Norberg.

  3. The pension crisis: its causes, possible remedies, and the role of the regulator. (Full text.) In Erfaringer og utfordringer 20 years Jubilee Volume of Kredittilsynet, the Financial Supervisory Authority of Norway (2006)

  4. Dynamic greeks. Insurance: Mathematics & Economics Vol. 39, No. 1, 123-133 (2006) © 2006 by Elsevier. http://www.sciencedirect.com/science/journal/01676687

  5. Interest guarantees in banking. Applied Mathematical Finance Vol. 12, No. 4, 351-370 (2005) © 2005 by Taylor and Francis Ltd. http://www.tandf.co.uk/journals/routledge/1350486X.html

  6. What is the time value of a stream of investments? Journal of Applied Probability Vol. 43 No. 3, 861-866 (2005) © 2005 by The Applied Probability Trust. (Joint with Mogens Steffensen.) Available as from 2009 on http://www.jstor.org/journals/00219002.html

  7. Anomalous PDEs in Markov chains: domains of validity and numerical solutions. Finance and Stochastics Vol. 9, No. 4, 519-537 (2005) © 2005 by Springer. http://www.springerlink.com/content/n87p3017653m8u76/fulltext.pdf

  8. Thiele, Thorvald Nicolai. Encyclopedia of Actuarial Science, Wiley, 2004. © 2004 by Wiley.

  9. Credibility theory. Encyclopedia of Actuarial Science, Wiley, 2004. © 2004 by Wiley.

  10. Life insurance mathematics. Encyclopedia of Actuarial Science, Wiley, 2004. © 2004 by Wiley.

  11. Vasicek beyond the normal. Mathematical Finance Vol. 14, 585-604 (2004) © 2004 by Blackwell Publishing. http://www.blackwell-synergy.com/toc/mafi/14/4

  12. The Markov chain market. ASTIN Bulletin Vol. 33, 265-287 (2003) © 2003 by Peeters. http://www.casact.org/library/astin/vol33no2/265.pdf (Public domain)

  13. On the sensitivity of premiums and reserves to changes in valuation elements. Scandinavian Actuarial J., 2003, 238-256. (Joint with Vladimir Kalashnikov.) © 2004 by Taylor and Francis. http://www.tandf.co.uk/journals/online/0346-1238.asp

  14. Vandermonde in finance. Draft version October 2002.

  15. Power tailed ruin probabilities in the presence of risky investments. J. Stoch. Processes and Applic. , 2002, 211-228. (Joint with Vladimir Kalashnikov.) © 2002 by Elsevier. http://www.sciencedirect.com/science/journal/03044149

  16. On bonus and bonus prognoses in life insurance. Scandinavian Actuarial. J. , 2001, 126-147. © 2001 by Taylor and Francis. http://www.tandf.co.uk/journals/online/0346-1238.asp

  17. Minimum norm estimation of variance componenents for life insurance data. Communications in Statistics: Theory and Methods , 2001, Vol. 30, No. 8-9, 1591-1604. (Joint with Juergen Kleffe.)

  18. A theory of bonus in life insurance. Finance and Stochastics , 1999, 373-390. http://www.springerlink.com/content/bv0d3afau80uqxv9/fulltext.pdf

  19. Prediction of outstanding liabilities II: Model variations and extensions. ASTIN Bulletin , 1999, 5-25. http://www.casact.org/library/astin/vol29no1/5.pdf (Public domain)

  20. Ruin problems with assets and liabilities of diffusion type. J. Stoch. Processes and Applic. , 1999, 255-269. http://www.sciencedirect.com/science/journal/03044149

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[Last modified: 24 February 2010 by R. Norberg]
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