Department of Economics and Business Economics

Peter Løchte Jørgensen

  1. 2018
  2. Published

    An analysis of the solvency II regulatory framework's Smith-Wilson model for the term structure of risk-free interest rates. / Jørgensen, Peter Løchte.

    In: Journal of Banking and Finance, Vol. 97, 2018, p. 219-237.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2017
  4. Published
  5. 2016
  6. Published

    An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis. / Jørgensen, Peter Løchte; Slipsager, Søren Kærgaard.

    In: Scandinavian Actuarial Journal, Vol. 2016, No. 9, 2016, p. 837-857.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Ekspertgruppe om gearingskrav for kreditinstitutter. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 3, 2016, p. 19-32.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. 2015
  9. Published

    On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes. / Bohnert, Alexander; Gatzert, Nadine; Jørgensen, Peter Løchte.

    In: Insurance: Mathematics and Economics, Vol. 60, 01.2015, p. 83-97.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    On Risk Charges and Shadow Account Options in Pension Funds. / Jørgensen, Peter Løchte; Gatzert, Nadine.

    In: Scandinavian Actuarial Journal, Vol. 2015, No. 7, 2015, p. 616-639.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2013
  12. Published

    Om renteswaps, andelsboligforeninger og landmænd. / Jørgensen, Peter Løchte.

    In: Finans/Invest, Vol. 2013, No. 6, 01.06.2013, p. 14-19.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleCommunication

  13. Published

    On the Reconciliation of the Extended Nelson-Siegel and the Extended Vasicek Models (with a View Towards Swap and Swaption Valuation). / Jørgensen, Peter Løchte.

    Aarhus : Department of Economics and Business, Aarhus University, 2013. p. 1-29.

    Research output: Working paperResearch

  14. 2012
  15. Published

    On Risk Charges and Shadow Account Options in Pension Funds. / Jørgensen, Peter Løchte; Gatzert, Nadine.

    Social Science Research Network, 2012.

    Research output: Working paperResearchpeer-review

  16. Published

    Asset and Liability Composition in Participating Life Insurance: The Impact on Shortfall Risk and Shareholder Value. / Gatzert, Nadine; Bohnert, Alexander; Jørgensen, Peter Løchte.

    Social Science Research Network, 2012.

    Research output: Working paperResearchpeer-review

  17. Published

    A comparison of three different pension savings products with special emphasis on the payout phase. / Jørgensen, Peter Løchte; Linnemann, Per.

    In: Annals of Actuarial Science, Vol. 6, No. 1, 2012, p. 137-152.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. Published

    Optimal Investment in Structured Bonds. / Jessen, Pernille; Jørgensen, Peter Løchte.

    In: Journal of Derivatives, Vol. 19, No. 4, 2012, p. 7-28.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2011
  20. Published

    Anbefalinger om investeringer i komplekse produkter. / Jørgensen, Peter Løchte; Olejasz Larsen, Henrik; Sørensen, Carsten.

    Finanstilsynet, 2011. 39 p.

    Research output: Book/anthology/dissertation/reportReportCommissioned

  21. Published
  22. 2010
  23. Published

    Time Charters with Purchase Options in Shipping: Valuation and Risk Management. / Jørgensen, Peter Løchte; De Giovanni, Domenico.

    In: Applied Mathematical Finance, Vol. 17, No. 5, 2010, p. 399-430.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. 2009
  25. Published

    En sammenligning af 3 forskellige pensionsprodukter med særlig henblik på udbetalingsfasen. / Jørgensen, Peter Løchte; Linnemann, Per.

    In: Finans/Invest, No. 7, 2009, p. 20-27.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Garantiobligationer for private investorer - et markedsoverblik. / Jørgensen, Peter Løchte; Nørholm, Henrik; Skovmand, David; Rasmussen, Anne-Sofie Reng.

    In: Finans/Invest, No. 4, 2009, p. 5-12.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. Published

    Hedging Life and Pension Company Balance Sheets with Hybrid Derivatives : A Case Study of the Traffic Light Option. / Jørgensen, Peter Løchte.

    In: Journal of Insurance and Risk Management - Pravartak, Vol. IV, No. 3, 2009, p. 49-59.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  28. Published

    Optimal Investment in Structured Bonds. / Jessen, Pernille; Jørgensen, Peter Løchte.

    2009. Paper presented at The 58th Annual Meeting of the Midwest Finance Association (MFA), Chicago, United States.

    Research output: Contribution to conferencePaperResearchpeer-review

  29. 2008
  30. Published

    Time Charters with Purchase Options in Shipping: Valuation and Risk Management. / Jørgensen, Peter Løchte; De Giovanni, Domenico.

    Department of Business Studies, Aarhus School of Business : Aarhus School of Business, Aarhus University, Department of Business Studies, 2008.

    Research output: Working paperResearch

  31. 2007
  32. Published

    Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs. / Jørgensen, Peter Løchte.

    In: European Journal of Finance, Vol. 13, 2007, p. 595-619.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  33. Published

    The Valuation of Callable Bonds with Floored CMS-spread Coupons. / Skovmand, David; Jørgensen, Peter Løchte.

    In: Wilmott, 2007, p. 106-125.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  34. Published

    Traffic Light Options. / Jørgensen, Peter Løchte.

    In: Journal of Banking & Finance, Vol. 31, No. 12, 2007, p. 3698-3719.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  35. 2006
  36. Published

    Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs. / Jørgensen, Peter Løchte.

    Aarhus : Aarhus School of Business, Department of Business Studies, 2006.

    Research output: Working paperResearch

  37. Published

    Return Smoothing Mechanisms in Life and Pension Insurance. / Montserrat, Guillén; Jørgensen, Peter Løchte; Nielsen, Jens Perch.

    In: Insurance: Mathematics and Economics, Vol. 38, No. 2, 2006, p. 229-252.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  38. Published

    Traffic Light Options. / Jørgensen, Peter Løchte.

    Aarhus : Aarhus School of Business, Department of Business Studies, 2006.

    Research output: Working paperResearch

  39. Published

    Traffic Light Options. / Jørgensen, Peter Løchte.

    The 2nd NHH Skinance Workshop. 2006.

    Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearchpeer-review

  40. Published

    Traffic Light Options. / Jørgensen, Peter Løchte.

    2006. Paper presented at 33rd Seminar of the European Group of Risk and Insurance Economists (EGRIE), Barcelona, Spain.

    Research output: Contribution to conferencePaperResearchpeer-review

  41. 2005
  42. Published
  43. 2004
  44. Published
  45. Published

    On Accounting Standards and Fair Valuation of Life Insurance and Pension Liabilities. / Jørgensen, Peter Løchte.

    In: Scandinavian Actuarial Journal, Vol. 104, No. 5, 2004, p. 372-394.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  46. Published

    On Accounting Standards and Fair Valuation of Life and Pension Liabilities. / Jørgensen, P.L.

    In: Scandinavian Actuarial Journal, Vol. 5, No. 104, 2004, p. 372-394.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  47. Published

    The Value and Incentives of Option-based Compensation in Danish Listed Companies. / Jørgensen, P.L.

    In: Journal of Derivatives Accounting, Vol. 1, No. 1, 2004, p. 91-109.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  48. Published

    The Value and Incentives of Option-based Compensation in Danish Listed Companies. / Bechmann, Ken L.; Jørgensen, Peter Løchte.

    In: Journal of Derivatives Accounting, Vol. 1, No. 1, 2004, p. 91-109.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  49. 2003
  50. Published

    Optionsaflønning breder sig uoverskueligt. / Jørgensen, P.L.; Bechmann, K.L.

    In: Aktionæren, Vol. 13, No. 1, 2003, p. 20-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  51. Published

    Optionsaflønning breder sig uoverskueligt. / Bechmann, Ken L.; Jørgensen, Peter Løchte.

    In: Aktionæren, Vol. 13, No. 1, 2003, p. 20-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  52. Published

    Optionsaflønning i danske børsnoterede selskaber. / Bechmann, Ken L.; Jørgensen, Peter Løchte.

    In: Nationaloekonomisk Tidsskrift, Vol. 141, No. 1, 2003, p. 68-88.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  53. Published

    Optionsaflønning i danske børsnoterede selskaber. / Jørgensen, P.L.; Bechmann, K.L.

    In: Nationaloekonomisk Tidsskrift, Vol. 141, No. 1, 2003, p. 68-88.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  54. 2002
  55. Published

    American-style Indexed Executive Stock Options. / Jørgensen, P.L.

    In: Review of Finance (Print), Vol. 6, No. 3, 2002, p. 321-358.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  56. Published

    American-style Indexed Executive Stock Options. / Jørgensen, Peter Løchte.

    In: Review of Finance (Print), Vol. 6, No. 3, 2002, p. 321-358.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  57. Published

    Fokus på pensionskunders afkastrisiko. / Jørgensen, P.L.; Grosen, A.

    In: Finans/Invest, No. 6, 2002, p. 2-5.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  58. Published

    Incitamentsprogrammer og oplysningsforpligtelsen. / Jørgensen, P.L.

    In: Finans/Invest, No. 1, 2002, p. 4-11.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  59. Published

    Incitamentsprogrammer og oplysningsforpligtelsen. / Bechmann, Ken L.; Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 1, 2002, p. 4-11.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  60. Published

    Life Insurance Liabilities at Market Values : An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework. / Jørgensen, P.L.; Grosen, A.

    In: Journal of Risk and Insurance, Vol. 69, No. 1, 2002, p. 63-91.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  61. Published

    The Bonus-crediting Mechanism of Danish Pension and Life Insurance Companies : An Empirical Analysis. / Jørgensen, P.L.; Grosen, A.

    In: Journal of Pension Economics and Finance, Vol. 1, No. 3, 2002, p. 249-268.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  62. Published

    Tidspension. / Jørgensen, Peter Løchte; Nielsen, Jens Perch.

    In: Finans/Invest, No. 6, 2002, p. 16-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  63. Published

    Tidspension. / Jørgensen, P.L.; Nielsen, J.P.

    In: Finans/Invest, No. 6, 2002, p. 16-21.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  64. 2001
  65. Published

    Life Insurance Contracts with Embedded Options : Valuation, Risk Management and Regulation. / Jørgensen, Peter Løchte.

    In: Journal of Risk Finance, Vol. 3, No. 1, 2001, p. 19-30.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  66. 2000
  67. Published

    Analytical Valuation of American-style Asian Options. / Hansen, Asbjørn T.; Jørgensen, Peter Løchte.

    In: Management Science, Vol. 46, No. 8, 2000, p. 1116-1136.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  68. Published

    Fast and Accurate Approximation of Bond Prices when Short Interest Rates are Log-Normal. / Hansen, Asbjørn T.; Jørgensen, Peter Løchte.

    In: Journal of Computational Finance, Vol. 3, No. 3, 2000, p. 27-45.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  69. 1999
  70. Published

    Numeraire Invariance, Change of Measure, and Pricing by Arbitrage in Continuous Time Financial Models. / Jørgensen, Peter Løchte; Raaballe, Johannes.

    In: Advances in Futures and Options Research, Vol. 10, 1999, p. 43-65.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  71. 1998
  72. Published

    Hvad praktikere bør vide om ... optionsprisfastsættelse i praksis. / Bechmann, Ken L.; Jensen, Bjarke; Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 1, 1998, p. 34-39.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  73. 1997
  74. Published

    Hvad praktikere bør vide om ... elementære begreber om finansiel usikkerhed. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 1, 1997, p. 4-7.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  75. Published

    Hvad praktikere bør vide om ... optioner. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 4, 1997, p. 22-26.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  76. Published

    Nobelprisen i økonomi 1997. / Bechmann, Ken L.; Jensen, Bjarke; Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 8, 1997, p. 28-31.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  77. Published

    Om formler i Finans/Invest. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 4, 1997, p. 27.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  78. 1996
  79. Published

    American Bond Option Pricing in One-Factor Dynamic Term Structure Models. / Jørgensen, Peter Løchte.

    In: Review of Derivatives Research, Vol. 1, No. 3, 1996, p. 245-267.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  80. Published

    En sammenligning af konverteringsstrategier for konverterbare realkreditlån. / Jørgensen, Peter Løchte; Miltersen, Kristian R.; Sørensen, Carsten.

    In: Finans/Invest, No. 7, 1996, p. 22-29.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  81. Published

    Varighedsbaseret prisfastsættelse af optioner på obligationer. / Collignon, Odile; Jørgensen, Peter Løchte.

    In: Ledelse og Erhvervsoekonomi, No. 4, 1996, p. 263-275.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  82. 1995
  83. Published

    Den korte renteproces, rentestrukturmodelering og optionsprisfastsættelse. / Hansen, Mogens B.; Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 3, 1995, p. 23-27.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  84. 1994
  85. Published

    American Option Pricing. / Jørgensen, Peter Løchte.

    Århus : Handelshøjskolen i Århus, Institut for finansiering og kreditvæsen, 1994. 182 p. (Working paper; No. 94-6).

    Research output: Book/anthology/dissertation/reportPh.D. thesisResearch

  86. 1993
  87. Published

    Amerikanske optioner. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 6, 1993, p. 22-27.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  88. Published

    Prisfastsættelse af amerikanske optioner. / Jørgensen, Peter Løchte.

    In: DORS Nyt : Medlemsblad for Dansk Selskab for Operationsanalyse, 1993, p. 23-46.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  89. 1992
  90. Published

    Fra Bachelier til Black-Scholes : en teorihistorisk note. / Jørgensen, Peter Løchte.

    In: Finans/Invest, No. 8, 1992, p. 47-51.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  91. 1991
  92. Published

    A Comparison of Binomial Term Structure Models. / Jakobsen, Svend; Jørgensen, Peter Løchte.

    1991.

    Research output: Working paperResearch

  93. Published

    Pricing Interest Rate Contingent Claims in Binomial Lattice Models. / Hedegaard, Kristian; Jørgensen, Peter Løchte.

    1991.

    Research output: Working paperResearch