Forskning og udvikling

I ATP ønsker vi at fremme forskning og udvikling indenfor investering, pension og forsikringsmatematik.

Det sker gennem samarbejde med danske og internationale forskere og institutioner. Vi har endvidere etableret et erhvervsPhD-program, hvor kandidater gennemfører en Ph.d.-uddannelse i ATP i samarbejde med en højere læreanstalt.

Vi bidrager også selv til forskning og udvikling. Gennem de senere år har vi udviklet en forretningsmodel, som er baseret på den nyeste forskning og udvikling.

Pensions- og Investeringsforretningen deler ud af sine erfaringer og publicerer derfor egen forskning og udvikling i internationale videnskabelige tidsskrifter såvel som i fagblade.

Artikler

2020

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

2019

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)

2017

ATP som faktorinvestor
K. A. Lorenzen & S. F. Jarner
Finans/Invest (2017) 

2016

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)

2015

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)

2014

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)

2013

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)

2011

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)

2010

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)

2008

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)

2007

ATP's nye pensionsmodel: Investment-driven liabilities i praksis
M. Preisel, S. F. Jarner & C. Dengsøe
Finans/Invest (2007)

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

2006

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

Bør pensionsselskaber anlægge et nyt verdenssyn?
H. G. Jepsen
Finans/Invest (2006)

2005

Pensionskurven
M. Preisel, S. F. Jarner & R. Eliasen
Finans/Invest (2005)

Investeringsforeningers omkostninger og performance: atpRating™
K. L. Bechmann, J. Rangvid, B. Danø & M. Gosvig
Finans/Invest (2005)