Research and development

ATP seeks to promote research and development within investment, pensions and actuarial science.

We achieve this through alliances with Danish and international researchers and institutions. ATP has also established a business PhD programme, in which graduates do their PhD training at ATP in cooperation with an institution of higher education.

ATP also contributes to research and development directly. In recent years, ATP has developed a business model, which is based on the latest research and development.

Pensions & Investments shares its experience and consequently publishes its own research and development in international scientific journals and industry publications.



Pitfalls and merits of cointegration-based mortality models
S. F. Jarner & S. Jallbjørn
Insurance: Mathematics and Economics (2020)  


Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
E. Kryger, M. Nordfang & M. Steffensen
Mathematical Methods of Operations Research (2019)

Dynamic Management of Portfolio Risk
M. Gosvig, M. T. Kronborg & N. R. Heegaard
Working paper (2019)

A Balanced Factor Approach to Investing
K. A. Lorenzen, M. Gosvig & M. T. Kronborg
Working paper (2019)


Factor investing the ATP way
K. A. Lorenzen & S. F. Jarner
Working paper (2017)


Long guarantees with short duration: The rolling annuity
S. F. Jarner & M. Preisel
Scandinavian Actuarial Journal (2016)

Entrance times of random walks: With applications to pension fund modeling
S. F. Jarner & M. T. Kronborg
Insurance: Mathematics and Economics (2016)


Why you should care about investment costs: A risk-adjusted utility approach
M. T. Kronborg & S. F. Jarner
Journal of Behavioral and Experimental Finance (2015)


Stochastic frailty models for modeling and forecasting mortality
S. F. Jarner
Working paper (2014)

Inconsistent investment and consumption problems
M. T. Kronborg & M. Steffensen.
Applied Mathematics & Optimization (2014)

Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment
M. Guillén, S. F. Jarner, J. P. Nielsen & A. M. Pérez-Marín
The Scientific World Journal (2014)

Optimal consumption and investment with labor income and European/American capital guarantee
M. T. Kronborg
Risks (2014)


A nonparametric visual test of mixed hazard models
J. Spreeuw, J. P. Nielsen & S. F. Jarner
Statistics and Operations Research Transactions (2013) 

A partial internal model for longevity risk
S. F. Jarner & T. Møller
Scandinavian Actuarial Journal (2013)

Optimal consumption, investment and life insurance with surrender option guarantee
M. T. Kronborg & M. Steffensen
Scandinavian Actuarial Journal (2013)


Modelling adult mortality in small populations: The SAINT model
S. F. Jarner & E. M. Kryger
ASTIN Bulletin (2011)

Fairness versus efficiency of pension schemes
E. M. Kryger
European Actuarial Journal (2011)

Investing for retirement through a with-profits pension scheme: A client's perspective
M. Preisel, S. F. Jarner & R. Eliasen
Scandinavian Actuarial Journal (2011)


Some solvable portfolio problems with quadratic and collective objectives
E. M. Kryger & M. Steffensen
Working paper (2010)

Higher pensions and less risk: Innovation at Denmark's ATP pension plan
L. Rohde  & C. Dengsøe
Rotman International of Pension Management (2010)

Pension fund design under long-term fairness constraints
E. M. Kryger
The Geneva Risk and Insurance Review (2010)


ATP's new pension model: Investment-driven liabilities in practice
M. Preisel, S. F. Jarner & C. Dengsøe
Working paper (2008)

The SAINT mortality model: Theory and application
S. F. Jarner & E. M. Kryger
Working paper (2008)

The evolution of death rates and life expectancy in Denmark
S. F. Jarner, E. M. Kryger. & C. Dengsøe
Scandinavian Actuarial Journal (2008) 

Guaranteeing more
M. Preisel, S. F. Jarner & C. Dengsøe
Life & Pensions (2008)


Dynamic asset allocation
M. Preisel, S. F. Jarner & R. Eliasen
Life & Pensions (2007)


A fair-value enterprise
M. Preisel, S. F. Jarner & R. Eliasen
Life & Pensions (2006)