Publications - Bent Jesper Christensen https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=ca11c4f4672c855bfec73ec61bdeb72f en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[Optimal control of investment, premium and deductible for a non-life insurance company]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1ee015c1-4ee3-46d3-b3aa-c719f295a863&tx_pure_pure5%5BshowType%5D=pub&cHash=13dcd01d09b12860ec457db0bde00f79 Christensen, B. J., Parra-Alvarez, J. C., Serrano, R. A risk-averse insurance company controls its reserve, modeled as a perturbed Cramér-Lundberg process, by choice of both the premium p and the deductible K offered to potential customers. The surplus is allocated to financial investment in a riskless and a basket of risky assets potentially correlating with the insurance risks and thus serving as a partial hedge against these. Assuming customers differ in riskiness, increasing p or K reduces the number of customers n(p,K) and increases the arrival rate of claims per customer λ(p,K) through adverse selection, with a combined negative effect on the aggregate arrival rate n(p,K)λ(p,K). We derive the optimal premium rate, deductible, investment strategy, and dividend payout rate (consumption by the owner-manager) maximizing expected discounted lifetime utility of intermediate consumption under the assumption of constant absolute risk aversion. Closed-form solutions are provided under specific assumptions on the distributions of size and frequency of claims.

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Research Mon, 01 Nov 2021 19:30:40 +0100 1ee015c1-4ee3-46d3-b3aa-c719f295a863
<![CDATA[The incremental information in the yield curve about future interest rate risk]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=84d14b53-698b-4747-b1b6-2622c10d8b2d&tx_pure_pure5%5BshowType%5D=pub&cHash=650715e03bf1f8dd504b94561bebcfec Christensen, B. J., Kjær, M. M., Veliyev, B. Research Thu, 01 Jul 2021 19:30:40 +0200 84d14b53-698b-4747-b1b6-2622c10d8b2d <![CDATA[Dynamic Global Currency Hedging]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=00fde582-372c-4ec8-9c61-12efffd9272a&tx_pure_pure5%5BshowType%5D=pub&cHash=b5442398f97ab2df308ba4ffdc66e4f8 Christensen, B. J., Varneskov, R. T. Research Fri, 01 Jan 2021 19:30:40 +0100 00fde582-372c-4ec8-9c61-12efffd9272a <![CDATA[Measuring the impact of clean energy production on CO<sub>2</sub> abatement in Denmark]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3db892f2-9e5d-4904-bbbd-8e24c3fe8145&tx_pure_pure5%5BshowType%5D=pub&cHash=116b8ff091583685307825cca306ba54 Christensen, B. J., Datta Gupta, N., Santucci de Magistris, P. Using annual data from 1978 through 2016, and monthly data from January 2005 through November 2017 from Denmark, we provide a precise estimate of the upper bound on the potential impact of the adoption of wind energy on the reduction of (Formula presented.) emissions from energy production. We separate causal impacts from endogenous effects in regressions using instrumental variables including average wind speed, and from spurious effects in dynamic systems using impulse-response analysis and cointegration techniques. A one percentage point increase in the share of wind in total energy production is found to cause a reduction in (Formula presented.) emissions of the order 0.3%, based on endogeneity-corrected regression, and 0.5% over 2 years in a fractional vector error-correction model, after allowing the cumulative effects to take place. This corresponds to an upper bound estimate of 0.69 tonnes of (Formula presented.) emissions avoided per additional MWh of wind energy produced. We find that after a structural break at the time of introduction of the EU ETS and the Kyoto Protocol in 2005, the country has been on track towards meeting its long-term goals for emission reduction and green energy production, but not before.

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Research Fri, 01 Jan 2021 19:30:40 +0100 3db892f2-9e5d-4904-bbbd-8e24c3fe8145
<![CDATA[Optimal control of investment, premium and deductible for a non-life insurance company]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6548b5b6-0878-46ce-b046-39056c14bdd7&tx_pure_pure5%5BshowType%5D=pub&cHash=78c3a124e0f59bbc0da25daad27b4aab Christensen, B. J., Parra-Alvarez, J. C., Serrano, R. Research Thu, 01 Oct 2020 19:30:40 +0200 6548b5b6-0878-46ce-b046-39056c14bdd7 <![CDATA[Targeting predictors in random forest regression]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d2b65dfb-dff6-44ba-8ea9-5cc5dd44351d&tx_pure_pure5%5BshowType%5D=pub&cHash=dbe032b9e1f380b41f31d91392087c6f Borup, D., Christensen, B. J., Mühlbach, N. N., Nielsen, M. S. Research Fri, 01 May 2020 19:30:40 +0200 d2b65dfb-dff6-44ba-8ea9-5cc5dd44351d <![CDATA[Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=087d7c54-c928-44b5-851b-aaf53f02bc96&tx_pure_pure5%5BshowType%5D=pub&cHash=96eed55a142775a00d57146dc1706d3c Asmussen, S., Christensen, B. J., Thøgersen, J. Two insurance companies I 1 ,I 2 with reserves R 1 (t),R 2 (t) compete for customers, such that in a suitable stochastic differential game the smaller company I 2 with R 2 (0)<R 1 (0) aims at minimizing R 1 (t)−R 2 (t) by using the premium p 2 as control and the larger I 1 at maximizing by using p 1 . The dependence of reserves on premia is derived by modelling the customer's problem explicitly, accounting for market frictions V, reflecting differences in cost of search and switching, information acquisition and processing, or preferences. Assuming V to be random across customers, the optimal simultaneous choice p 1 ,p 2 of premiums is derived and shown to provide a Nash equilibrium for beta distributed V. The analysis is based on the diffusion approximation to a standard Cramér–Lundberg risk process extended to allow investment in a risk-free asset.

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Research Mon, 01 Jul 2019 19:30:40 +0200 087d7c54-c928-44b5-851b-aaf53f02bc96
<![CDATA[Stackelberg equilibrium premium strategies for push-pull competition in a non-life insurance market with product differentiation]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a49e4336-51e4-4eb9-8e95-dcd248e2cacd&tx_pure_pure5%5BshowType%5D=pub&cHash=a86b2434a30e098125af62e7d67e2ac0 Asmussen, S., Christensen, B. J., Thøgersen, J. Research Wed, 01 May 2019 19:30:41 +0200 a49e4336-51e4-4eb9-8e95-dcd248e2cacd <![CDATA[Assessing predictive accuracy in panel data models with long-range dependence]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ac0d7983-3af2-4cf6-8fe5-d43061197cf8&tx_pure_pure5%5BshowType%5D=pub&cHash=57c13ef20bd6f40dc05b826ab0f7f07e Borup, D., Christensen, B. J., Ergemen, Y. E. are uninformative in panels, allowing for individual and interactive fixed effects
that control for cross-sectional dependence, endogenous predictors, and
both short-range and long-range dependence. We consider a Diebold-Mariano
style test based on comparison of the model-based forecast and a nested nopredictability benchmark, an encompassing style test of the same null, and a
test of pooled uninformativeness in the entire panel. A simulation study shows
that the encompassing style test is reasonably sized in finite samples, whereas
the Diebold-Mariano style test is oversized. Both tests have non-trivial local
power. The methods are applied to the predictive relation between economic
policy uncertainty and future stock market volatility in a multi-country analysis. ]]>
Research Thu, 28 Mar 2019 19:30:41 +0100 ac0d7983-3af2-4cf6-8fe5-d43061197cf8
<![CDATA[An asset pricing approach to testing general term structure models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=938d4ed7-f726-405e-996a-9e803d634ed7&tx_pure_pure5%5BshowType%5D=pub&cHash=120be5a3c3e2ee2f3a408f05285b0134 Christensen, B. J., van der Wel, M. industrial production index. Our preferred specication includes these two observable and two unobservable factors, with the no-arbitrage condition imposed.]]> Research Tue, 01 Jan 2019 19:30:41 +0100 938d4ed7-f726-405e-996a-9e803d634ed7 <![CDATA[Introduction to globalization]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=59dad0d4-10d0-405d-a2c0-a7f8696d929f&tx_pure_pure5%5BshowType%5D=pub&cHash=e85c774feb4abac64c023c4533690ac0 Christensen, B. J., Kowalczyk, C. Globalization implies the continuing expansion and intensification of economic, political, social, cultural and judicial relations across borders. It is furthered by reductions in transportation and communication costs, the rise of new information technologies, such as the internet, and liberalizations in the markets for goods, services, labor, capital, and technology. Although it also occurs within existing legal structures, globalization in many cases involves political decisions about deregulation, free trade, and the integration of markets. It changes the life styles and living conditions for people around the world, presenting new opportunities to some, but risks and threats to others. Individuals, firms, governments, and transnational organizations that are lifted out of the framework of the nation state, like the World Bank, United Nations, the European Union, and multinational firms all face challenges of how to respond to globalization. The present volume provides important information to private and public decision makers who are choosing strategies for production, investment, and public policy in the increasingly globalized society.

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Research Sun, 01 Jan 2017 19:30:41 +0100 59dad0d4-10d0-405d-a2c0-a7f8696d929f
<![CDATA[Business on globalization-A panel]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f2e6bdcb-3334-4706-9979-57b60bc2079f&tx_pure_pure5%5BshowType%5D=pub&cHash=cd38d022f3407782da31f3ea8f5faa4b Knudstorp, J. V., Maskus, K., Teece, D., Christensen, B. J. This chapter is based on a transcription of the panel '‘Business on Globalization,'’ moderated by Bent Jesper Christensen, Aarhus University, on November 10, 2011, at the Aarhus University conference Globalization: Strategies and Effects, Hotel Koldingfjord, Denmark. Introductory remarks by Jørgen Vig Knudstorp are in Sect. 1, remarks on globalization, trade, power, culture, digitalization, demography, and planet issues in Sect. 2, on free trade, complexity, cycles, and inequality in Sect. 3, and on operating models, location decisions, and marketing in Sect. 4. Questions by panelists Keith Maskus and David Teece are in Sect. 5, along with replies by Jørgen Vig Knudstorp.

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Research Sun, 01 Jan 2017 19:30:41 +0100 f2e6bdcb-3334-4706-9979-57b60bc2079f
<![CDATA[End-of-Life Medical Spending In Last Twelve Months of Life is Lower than Previously Reported]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7d625be1-13a9-4d6c-9eb3-ba8d76270138&tx_pure_pure5%5BshowType%5D=pub&cHash=953a21076a32569a85b0e96b5397f84b French, E. ., Aragon, M., Mccauley, J. ., et al. Research Sun, 01 Jan 2017 19:30:41 +0100 7d625be1-13a9-4d6c-9eb3-ba8d76270138 <![CDATA[Globalization]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=63bcbfd2-4d69-490d-ae53-1130eb9083cb&tx_pure_pure5%5BshowType%5D=pub&cHash=be2b44bb05b5d612db6f7624e44735cc Research Sun, 01 Jan 2017 19:30:41 +0100 63bcbfd2-4d69-490d-ae53-1130eb9083cb <![CDATA[Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cde3df3e-f3d4-4f2f-8f80-7574d7abbf6d&tx_pure_pure5%5BshowType%5D=pub&cHash=6241468d3c4edeb7a5af2ea77765d58c Christensen, B. J., Varneskov, R. T. This paper introduces a new estimator of the fractional cointegrating vector between stationary long memory processes that is robust to low-frequency contamination such as random level shifts, outliers, Markov switching means, and certain deterministic trends. In particular, the proposed medium band least squares (MBLS) estimator uses sample-size-dependent trimming of frequencies in the vicinity of the origin to account for such contamination. Consistency and asymptotic normality of the MBLS estimator are established, a feasible inference procedure is proposed, and rigorous tools for assessing the cointegration strength and testing MBLS against the existing narrow band least squares estimator are developed. Finally, the asymptotic framework for the MBLS estimator is used to provide new perspectives on volatility factors in an empirical application to long-span realized variance series for S&P 500 equities. (C) 2016 Elsevier B.V. All rights reserved.

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Research Sat, 01 Apr 2017 19:30:41 +0200 cde3df3e-f3d4-4f2f-8f80-7574d7abbf6d
<![CDATA[Medical Spending in Denmark]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4ddab01c-de2c-4a6a-b979-8d39c77c9f45&tx_pure_pure5%5BshowType%5D=pub&cHash=1a26d90a54ead51d6d60c949458b9e02 Christensen, B. J., Gørtz, M., Kallestrup-Lamb, M. for Denmark, we document that medical spending is highly concentrated in the
population, and persistent through time at the individual level. In
addition, we provide overviews of institutional details of the Danish health
care system, aggregate trends in health care expenditures, and the relevant
register data. Nearly two thirds of expenditures are on hospitals and one
fifth on long-term care, with the remainder roughly equally split between
primary care and prescription drugs. Health expenditures are higher for men
than for women from age 61 to 78, and otherwise higher for women. Between
ages 50 and 80, hospital expenditures more than triple for men while more
than doubling for women, and total health expenditures quadruple for men
while tripling for women. The top 1 per cent of all spenders account for nearly one-quarter of total spending in a given year, and averaging over three years
only reduces this fraction to one-fifth. The top 20 per cent of spenders in a given year are more likely to remain in that category two years later than not. The poorest fifth of the population aged 25 and above is responsible for more than twice as much spending on health as the richest, and this reverse social gradient is even stronger for long-term care and is stronger among men than among women, especially in hospital expenses. Expenditures in the year (over the three years) before death are nearly 12 times (respectively nine times) higher than average, but nevertheless are only 11 per cent (respectively a quarter) of lifetime spending. Out-of-pocket expenses on prescription drugs only amount to 3 per cent of total health expenditures and are less concentrated than these.]]>
Research Mon, 21 Nov 2016 19:30:41 +0100 4ddab01c-de2c-4a6a-b979-8d39c77c9f45
<![CDATA[Estimating dynamic equilibrium models using mixed frequency macro and financial data]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c31819ef-998c-4e01-8265-cedc61545bba&tx_pure_pure5%5BshowType%5D=pub&cHash=aa728d69112f6aa18332a92ec4175583 Christensen, B. J., Posch, O., Van Der Wel, M. We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently accounts for the difference in observation frequency. We suggest the use of martingale estimating functions (MEF) to infer the structural parameters of the model directly through a nonlinear scheme. This method is compared to regression-based methods and the generalized method of moments (GMM). We illustrate our approaches by estimating various versions of the AK-Vasicek model with mean-reverting interest rates. We provide asymptotic theory and Monte Carlo evidence on the small sample behavior of the estimators and report empirical estimates using 30 years of US macro and financial data.

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Research Thu, 01 Sep 2016 19:30:41 +0200 c31819ef-998c-4e01-8265-cedc61545bba
<![CDATA[Retirement and Health in the Nordic Welfare State]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e3e917b2-9da6-4e3f-9d00-bb44aa7c88fa&tx_pure_pure5%5BshowType%5D=pub&cHash=eb770434a3f8701a617ff971a7252ecc Gupta, N. D., Christensen, B. J. Research Thu, 01 Jan 2015 19:30:41 +0100 e3e917b2-9da6-4e3f-9d00-bb44aa7c88fa <![CDATA[Dynamic Global Currency Hedging]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=74c3b5e6-1469-422f-8f15-b95a0ac0c0fa&tx_pure_pure5%5BshowType%5D=pub&cHash=cc5bfc6ea858fc88e379a5b65c765deb Christensen, B. J., Varneskov, R. T. Research Tue, 19 Jan 2016 19:30:41 +0100 74c3b5e6-1469-422f-8f15-b95a0ac0c0fa <![CDATA[Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=79bc468c-5c38-4935-ac52-b44afc3eeb68&tx_pure_pure5%5BshowType%5D=pub&cHash=f48191c4d73859b1eb667382382c2b98 Christensen, B. J., Varneskov, R. T. Research Mon, 01 Jun 2015 19:30:41 +0200 79bc468c-5c38-4935-ac52-b44afc3eeb68 <![CDATA[The impact of financial crises on the risk-return tradeoff and the leverage effect]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6f852522-c1e1-41be-8696-58fc393d24d6&tx_pure_pure5%5BshowType%5D=pub&cHash=0bf69d5f82a60c5f761d88c178c9f64c Christensen, B. J., Nielsen, M. Ø., Zhu, J. Research Thu, 01 Jan 2015 19:30:41 +0100 6f852522-c1e1-41be-8696-58fc393d24d6 <![CDATA[The SR Approach: A New Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=439e7f57-d54c-43f1-9380-fa9a414ab02f&tx_pure_pure5%5BshowType%5D=pub&cHash=e24259802f0648c3a9952b5e64f8c69f Andreasen, M. M., Christensen, B. J. Research Thu, 01 Jan 2015 19:30:41 +0100 439e7f57-d54c-43f1-9380-fa9a414ab02f <![CDATA[Portfolio size as funktion of the premium: modeling and optimization]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a35961a0-fc23-4452-8ef1-9f42f2db6ef6&tx_pure_pure5%5BshowType%5D=pub&cHash=054785045192ce67f150c31e16e38b35 Asmussen, S., Christensen, B. J., Taksar, M. I. Research Tue, 01 Jan 2013 19:30:41 +0100 a35961a0-fc23-4452-8ef1-9f42f2db6ef6 <![CDATA[A unified framework for testing in the linear regression model under unknown order of fractional integration]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=14304cc8-d7d0-4a1b-b21d-1260cad3db26&tx_pure_pure5%5BshowType%5D=pub&cHash=d1ee205900353460d2f5df5bc3ec9189 Christensen, B. J., Kruse, R., Sibbertsen, P. Research Mon, 28 Oct 2013 19:30:41 +0100 14304cc8-d7d0-4a1b-b21d-1260cad3db26 <![CDATA[Portfolio size as function of the premium]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6afee10d-b043-4a1a-9334-2229b869fe3d&tx_pure_pure5%5BshowType%5D=pub&cHash=e53d867c1508b7eeff7d81d70497f416 Asmussen, S., Christensen, B. J., Taksar, M. An insurance company has a large number N of potential customers characterized by i.i.d. r.v.'s A1,...,AN giving the arrival rates of claims. Customers are risk averse, and a customer accepts an offered premium p according to his A-value. The modelling further involves a discount rate d>r of customers, where r is the risk-free interest rate. Based on calculations of the customers' present values of the alternative strategies of insuring and not insuring, the portfolio size is derived, and also the rate of claims from the insured customers is given. Furthermore, the value of p which is optimal for minimizing the ruin probability is derived in a diffusion approximation to the Cramér-Lundberg risk process with an added liability rate L of the company. The solution involves the Lambert W function. Similar discussion is given for extensions involving customers having only partial information on their A and stochastic discount rates.

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Research Tue, 01 Jan 2013 19:30:41 +0100 6afee10d-b043-4a1a-9334-2229b869fe3d
<![CDATA[The impact of financial crises on the risk-return tradeoff and the leverage effect]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=910e318d-5b69-4606-8ab5-42af3c4b2d72&tx_pure_pure5%5BshowType%5D=pub&cHash=3480abd81d848c0dfba204140b8b47e5 Christensen, B. J., Nielsen, M. Ø., Zhu, J. Research Sun, 01 Jan 2012 19:30:41 +0100 910e318d-5b69-4606-8ab5-42af3c4b2d72 <![CDATA[The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7fc73f82-8fcd-42ee-80b3-8764ec0b1216&tx_pure_pure5%5BshowType%5D=pub&cHash=1ce327ed6a49aa95e0327f3f01e26ba9 Christensen, B. J., Kallestrup-Lamb, M. Research Sun, 01 Jan 2012 19:30:41 +0100 7fc73f82-8fcd-42ee-80b3-8764ec0b1216 <![CDATA[Estimating Dynamic Equilibrium Models using Macro and Financial Data]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cc2bbd87-2e4f-4e12-a492-e792321eaaf4&tx_pure_pure5%5BshowType%5D=pub&cHash=39d739056a6e735d8ca2689032831a67 Christensen, B. J., Posch, O., van der Wel, M. Research Sat, 01 Jan 2011 19:30:41 +0100 cc2bbd87-2e4f-4e12-a492-e792321eaaf4 <![CDATA[Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=45d4c494-f834-4a18-a82b-b8726669d90c&tx_pure_pure5%5BshowType%5D=pub&cHash=a232a4bffc6da6f1b5f3f9bbabb2dba8 Bach, C., Christensen, B. J. Research Sun, 14 Feb 2010 19:30:41 +0100 45d4c494-f834-4a18-a82b-b8726669d90c <![CDATA[Semiparametric Inference in a GARCH-in-Mean Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b0874016-389b-4954-bd7f-17626fc5e74e&tx_pure_pure5%5BshowType%5D=pub&cHash=27d35e6d51e775089b83ca8a6686ea08 Christensen, B. J., Dahl, C. M., Iglesias, E. . Research Sun, 01 Jan 2012 19:30:41 +0100 b0874016-389b-4954-bd7f-17626fc5e74e <![CDATA[Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a14cc540-084a-11e0-83f5-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=9102fe60b5c71013e5225275611b8f66 Bollerslev, T., Christensen, B. J., Haldrup, N., Lunde, A. Research Sat, 01 Jan 2011 19:30:41 +0100 a14cc540-084a-11e0-83f5-000ea68e967b <![CDATA[The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=8f48d730-cad3-11df-8cb9-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=94f363d6a229f9116b7ebb1a56548ff0 Christensen, B. J., Kallestrup-Lamb, M. ]]> Research Fri, 01 Jan 2010 19:30:41 +0100 8f48d730-cad3-11df-8cb9-000ea68e967b <![CDATA[Level Shifts in Volatility and the Implied-Realized Volatility Relation]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=fca3c3c0-bcce-11df-bd09-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=e30eda16de170afa9ed55306f5105009 Christensen, B. J., de Magistris, P. S. ]]> Research Fri, 01 Jan 2010 19:30:41 +0100 fca3c3c0-bcce-11df-bd09-000ea68e967b <![CDATA[The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f55638d0-b5b9-11df-b4b4-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=3f91ae3d8409d96d473b7f26459d746b Christensen, B. J., Posedel, P. volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980)
equilibrium asset pricing condition linking the conditional mean and conditional variance of
discrete time returns is reinterpreted in terms of the continuous time model. Tests are per-
formed on the risk-return relation, the leverage effect, and the overidentifying zero intercept
restriction in the Merton condition. Results are compared across alternative volatility proxies,
in particular, realized volatility from high-frequency (5-minute) returns, implied Black-Scholes
volatility backed out from observed option prices, model-free implied volatility (VIX), and
staggered bipower variation. Our results are consistent with a positive risk-return relation and
a significant leverage effect, whereas an additional overidentifying zero intercept condition is
rejected. We also show that these inferences are sensitive to the exact timing of the chosen
volatility proxy. Robustness of the conclusions is verified in bootstrap experiments.
]]>
Research Fri, 01 Jan 2010 19:30:41 +0100 f55638d0-b5b9-11df-b4b4-000ea68e967b
<![CDATA[An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=15340e10-38c5-11df-9806-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=67cb653238923c40b1bb56afebe1922e Christensen, B. J., van der Wel, M. for time-varying risk premia and for the absence of arbitrage opportunities based on
the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the
equity case, a zero intercept condition is tested, but in addition to the standard bilinear
term in factor loadings and market prices of risk, the relevant mean restriction in the
term structure case involves an additional nonlinear (quadratic) term in factor loadings.
We estimate our general model using likelihood-based dynamic factor model techniques
for a variety of volatility factors, and implement the relevant likelihood ratio tests. Our
factor model estimates are similar across a general state space implementation and
an alternative robust two-step principal components approach. The evidence favors
time-varying market prices of risk. Most of the risk premium is associated with the
slope factor, and individual risk prices depend on own past values, factor realizations,
and past values of other risk prices, and are significantly related to the output gap,
consumption, and the equity risk price. The absence of arbitrage opportunities is
strongly rejected with one or two factors in the model, but not with three or more
factors.]]>
Research Fri, 01 Jan 2010 19:30:41 +0100 15340e10-38c5-11df-9806-000ea68e967b
<![CDATA[The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=83176de0-2aa7-11df-9806-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=2afaa1f427186c42f550934689ac0cfc Andreasen, M. M., Christensen, B. J. structure models with latent factors. We impose no distributional assumptions on the factors and
they may therefore be non-Gaussian. The novelty of our approach is to use many observables (yields
or bonds prices) in the cross-section dimension. An important bene…t of using many observables
in each time period is that the latent factors can be estimated quite accurately using standard
regressions, and that parameters can be estimated by standard moment matching methods.]]>
Research Fri, 01 Jan 2010 19:30:41 +0100 83176de0-2aa7-11df-9806-000ea68e967b
<![CDATA[Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=212257c0-9ceb-11de-a092-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=a3695fe54fbdae2ca49af9698c92dade Christensen, B. J., Nielsen, M. Ø., Zhu, J. Research Fri, 01 Jan 2010 19:30:41 +0100 212257c0-9ceb-11de-a092-000ea68e967b <![CDATA[The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=18636a70-6cc1-11de-b2cc-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=cbb1aede12b5e74aebf9a9f444c2577f Busch, T., Christensen, B. J., Nielsen, M. Ø. Research Sat, 01 Jan 2011 19:30:41 +0100 18636a70-6cc1-11de-b2cc-000ea68e967b <![CDATA[Economic Modeling and Inference]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1727e2f0-65cb-11de-b2cc-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=056817c4045d4dbeb9e5ce2c02260b6d Christensen, B. J., Kiefer, N. M. Research Thu, 01 Jan 2009 19:30:41 +0100 1727e2f0-65cb-11de-b2cc-000ea68e967b <![CDATA[Optimal inference in dynamic models with conditional moment restrictions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=080826e0-7fd0-11dd-a5a8-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=bb99417954157ba1ab9d93994a4e5abb Christensen, B. J., Sørensen, M. struments for dynamic models with conditional moment restrictions are derived.
The general efficiency bound is provided, along with estimators attaining the
bound. It is demonstrated that the optimal estimators are always at least as ef-
ficient as the traditional optimal generalized method of moments estimator, and
usually more efficient. The form of our optimal instruments resembles that from
Newey (1990), but involves conditioning on the history of the stochastic pro-
cess. In the special case of i.i.d. observations, our optimal estimator reduces to
Newey's. Specification and hypothesis testing in our framework are introduced.
We derive the theory of optimal instruments and the associated asymptotic dis-
tribution theory for general cases including non-martingale estimating functions
and general history dependence. Examples involving time-varying conditional
volatility and stochastic volatility are offered.]]>
Research Tue, 01 Jan 2008 19:30:41 +0100 080826e0-7fd0-11dd-a5a8-000ea68e967b
<![CDATA[Semiparametric Inference in a GARCH-in-Mean Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a891c290-78ed-11dd-b7fc-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=d01b2865e433fc3c53820dc5702634c5 Christensen, B. J., Dahl, C. M., Iglesias, E. M. metric risk-return tradeoff and a GARCH process for the underlying volatility is introduced.
The estimator does not rely on any initial parametric estimator of the conditional mean func-
tion, and this feature facilitates the derivation of asymptotic theory under possible nonlinearity
of unspecified form of the risk-return tradeoff. Besides the nonlinear GARCH-in-mean effect,
our specification accommodates exogenous regressors that are typically used as conditioning
variables entering linearly in the mean equation, such as the dividend yield. Using the profile
likelihood approach, we show that our estimator under stated conditions is consistent, asymp-
totically normal, and efficient, i.e. it achieves the semiparametric lower bound. A sampling
experiment provides evidence on finite sample properties as well as comparisons with the fully
parametric approach and the iterative semiparametric approach using a parametric initial esti-
mate proposed by Conrad and Mammen (2008). An empirical application to the daily S&P 500
stock market returns suggests that the linear relation between conditional expected return and
conditional variance of returns from the literature is misspecified, and this could be the reason
for the disagreement on the sign of the relation.]]>
Research Tue, 01 Jan 2008 19:30:41 +0100 a891c290-78ed-11dd-b7fc-000ea68e967b
<![CDATA[The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ade0e7f0-d639-11dc-bc43-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=302668a405b47c61324c0c0f9374aa66 Christensen, B. J. Research Mon, 01 Jan 2007 19:30:41 +0100 ade0e7f0-d639-11dc-bc43-000ea68e967b <![CDATA[The Effect of Long Memory in Volatility on Stock Market Fluctuations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=8a7e1c10-d576-11dc-bc43-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=dcb68e69c64b862db776a3b503251be3 Christensen, B. J., Nielsen, M. Ø. Research Mon, 01 Jan 2007 19:30:41 +0100 8a7e1c10-d576-11dc-bc43-000ea68e967b <![CDATA[Market Power in Power Markets: Evidence from Forward Prices of Electricity]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0066d560-87b2-11dc-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=57d2b6887a4fd97c0a2f7ed49be1f7d0 Christensen, B. J., Jensen, T. E., Mølgaard, R. Research Mon, 01 Jan 2007 19:30:41 +0100 0066d560-87b2-11dc-bee9-02004c4f4f50 <![CDATA[Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d19e73d0-18d7-11dc-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=46ff73e8caa0ada0ecdbe2159eea2fd5 Christensen, B. J., Nielsen, M. Ø., Zhu, J. daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen
(1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory
property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean
(FIEGARCH-M) effect in the return equation. The filtering of the volatility-in-mean
component thus allows the co-existence of long memory in volatility and short memory in
returns. We present an application to the S&P 500 index which documents the empirical
relevance of our model]]>
Research Mon, 01 Jan 2007 19:30:41 +0100 d19e73d0-18d7-11dc-bee9-02004c4f4f50
<![CDATA[The Effect of Long Memory in Volatility on Stock Market Fluctuations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=78b865d0-ffac-11db-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=8e99464a53d1dafae9ee8b3b399902dd Christensen, B. J., Nielsen, M. Ø. component in realized asset return volatility. We specify and estimate multivariate models
for the joint dynamics of stock returns and volatility that allow for long memory in volatility
without imposing this property on returns. Asset pricing theory imposes testable cross-
equation restrictions on the system that are not rejected in our preferred specifications,
which include a strong financial leverage effect. We show that the impact of volatility
shocks on stock prices is small and short-lived, in spite of a positive risk-return trade-off
and long memory in volatility.]]>
Research Mon, 01 Jan 2007 19:30:41 +0100 78b865d0-ffac-11db-bee9-02004c4f4f50
<![CDATA[Panel Data and Structural Labour Market Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f7b3ede0-ce3e-11db-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=7359b97296db781c052888dfe5deabe4 Bunzel, H., Christensen, B. J. Research Sat, 01 Jan 2000 19:30:41 +0100 f7b3ede0-ce3e-11db-bee9-02004c4f4f50 <![CDATA[The Implied-Realized Volatility Relation Revisited]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6fd7ed00-c26c-11db-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=f6db8f961c19e906a7e858c878b682f0 Christensen, B. J., Hansen, C. S. Research Thu, 01 Jan 1998 19:30:41 +0100 6fd7ed00-c26c-11db-bee9-02004c4f4f50 <![CDATA[The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4d131680-bdd2-11db-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=c39d1628d1ea8a106d5734aa758de5f3 Christensen, B. J., Busch, T., Nielsen, M. Ø. Research Sun, 01 Jan 2006 19:30:41 +0100 4d131680-bdd2-11db-bee9-02004c4f4f50 <![CDATA[The Implied-Realized Volatility Relation With Jumps in Underlying Asset Prices]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/bent-jesper-christensen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=38a1a0e0-bdd2-11db-bee9-02004c4f4f50&tx_pure_pure5%5BshowType%5D=pub&cHash=ef6b442b924affd2d7599898b7f7cc49 Christensen, B. J., Nielsen, M. Ø. Research Sun, 01 Jan 2006 19:30:41 +0100 38a1a0e0-bdd2-11db-bee9-02004c4f4f50