Peter Løchte Jørgensen : Citation Profile


Are you Peter Løchte Jørgensen?

Aarhus Universitet

5

H index

5

i10 index

241

Citations

RESEARCH PRODUCTION:

11

Articles

8

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 13
   Journals where Peter Løchte Jørgensen has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 3 (1.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pjr1
   Updated: 2020-09-22    RAS profile: 2019-12-09    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Løchte Jørgensen.

Is cited by:

Consiglio, Andrea (8)

Siu, Tak Kuen (7)

Broeders, Dirk (6)

Chen, An (6)

Nordahl, Helge (5)

Ballotta, Laura (5)

Pelsser, Antoon (5)

Poufinas, Thomas (4)

Borel-Mathurin, Fabrice (4)

Platen, Eckhard (4)

Zenios, Stavros (4)

Cites to:

Scholes, Myron (7)

Brennan, Michael (5)

Grosen, Anders (4)

Christiansen, Charlotte (3)

Svensson, Lars (3)

Kreps, David (3)

Sandmann, Klaus (3)

Jensen, Michael (2)

Bartholdy, Jan (2)

Guillen, Montserrat (2)

Murphy, Kevin (2)

Main data


Where Peter Løchte Jørgensen has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics3
Journal of Banking & Finance2

Recent works citing Peter Løchte Jørgensen (2020 and 2019)


YearTitle of citing document
2019Applications of Metaheuristics in Insurance. (2019). Kovacs, Laszlo. In: Society and Economy. RePEc:aka:soceco:v:41:y:2019:i:3:p:371-395.

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2019Optimal investment for participating insurance contracts under VaR-Regulation. (2019). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:1805.09068.

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2019A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. (2019). Infante, Jose Arturo ; Cherchali, Adel ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1908.00811.

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2019Maximising with-profit pensions without guarantees. (2019). Kruhner, Paul ; Eisenberg, Julia ; Boado-Penas, Carmen M. In: Papers. RePEc:arx:papers:1912.11858.

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2020An analytical study of participating policies with minimum guaranteed and surrender option. (2020). Stabile, Gabriele ; de Angelis, Tiziano ; Chiarolla, Maria B. In: Papers. RePEc:arx:papers:2004.06982.

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2020Non-concave expected utility optimization with uncertain time horizon: an application to participating life insurance contracts. (2020). Stadje, Mitja ; Nguyen, Thai ; Dehm, Christian. In: Papers. RePEc:arx:papers:2005.13831.

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2019Fair Pensions. (2019). Broeders, Dirk ; Boelaars, Ilja. In: DNB Working Papers. RePEc:dnb:dnbwpp:630.

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2019Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. (2019). Chen, AN ; Nguyen, Thai ; Hieber, Peter. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:3:p:1119-1135.

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2020General lattice methods for arithmetic Asian options. (2020). Gambaro, Anna Maria ; Fusai, Gianluca ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1185-1199.

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2019An analysis of transaction costs in participating life insurance under mean–variance preferences. (2019). Gatzert, Nadine. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:185-197.

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2019Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits. (2019). Yi, Bingji ; Feng, Runhuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:60-73.

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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2020Dynamic consumption and portfolio choice under prospect theory. (2020). Laeven, Roger ; van Bilsen, Servaas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:224-237.

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2019Transport services and the valuation of flexibility over business cycles. (2019). Tvedt, Jostein. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:130:y:2019:i:c:p:517-528.

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2019CEO Overconfidence and Shadow-Banking Life Insurer Performance Under Government Purchases of Distressed Assets. (2019). Huang, Fu-Wei ; Yao, Wenyu ; Lin, Jyh-Horng ; Chen, Shi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:28-:d:211106.

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2020Pricing and hedging defaultable participating contracts with regime switching and jump risk. (2020). Su, Xiaoshan ; Quittard-Pinon, Franois ; le Courtois, Olivier. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00276-w.

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2019Solving Selected Problems on American Option Pricing with the Method of Lines. (2019). Taruvinga, Belssing. In: PhD Thesis. RePEc:uts:finphd:4-2019.

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2019The Impact of Jumps on American Option Pricing: The S&P 100 Options Case. (2019). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Taruvinga, Blessing ; Kang, Boda. In: Research Paper Series. RePEc:uts:rpaper:397.

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Works by Peter Løchte Jørgensen:


YearTitleTypeCited
2012A comparison of three different pension savings products with special emphasis on the payout phase In: Annals of Actuarial Science.
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article1
2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies In: Insurance: Mathematics and Economics.
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article117
2006Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims In: Insurance: Mathematics and Economics.
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article16
2015On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes In: Insurance: Mathematics and Economics.
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article3
2007Traffic light options In: Journal of Banking & Finance.
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article2
2006Traffic Light Options.(2006) In: Finance Research Group Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates In: Journal of Banking & Finance.
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article0
2006Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs In: Finance Research Group Working Papers.
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paper0
2006Lognormal Approximation of Complex Pathdependent Pension Scheme Payoffs.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2007Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs.(2007) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 0
article
2008Time Charters with Purchase Options in Shipping: Valuation and Risk Management In: Finance Research Group Working Papers.
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paper5
2010Time Charters with Purchase Options in Shipping: Valuation and Risk Management.(2010) In: Applied Mathematical Finance.
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This paper has another version. Agregated cites: 5
article
2001Life Insurance Liabilities at Market Value. In: Finance Working Papers.
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paper51
2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities. In: Finance Working Papers.
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paper24
2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.(2001) In: The Geneva Risk and Insurance Review.
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This paper has another version. Agregated cites: 24
article
2002Optionsaflønning i danske børsnoterede selskaber In: Working Papers.
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paper0
2003The Value and Incentives of Option-based Compensation in Danish Listed Companies In: Working Papers.
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paper0
2000Analytical Valuation of American-Style Asian Options In: Management Science.
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article20
2002American-style Indexed Executive Stock Options In: Review of Finance.
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article2

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