Department of Economics and Business Economics

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Peter Løchte Jørgensen

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  1. 2023
  2. Published
    Sådan ser pensionskassernes tresporede bæredygtighedsinvesteringer ud. / Jørgensen, Peter Løchte; Rangvid, Jesper.
    Det danske pensionssystem: sejre og udfordringer. En kronikserie. ed. / Torben M. Andersen; Svend E. Hougaard Jensen; Jesper Rangvid. København: PeRCent Pension Research Center, 2023. p. 12-14.

    Research output: Contribution to book/anthology/report/proceeding › Report chapter › Communication

  3. 2022
  4. Published
    Asset Allocation, Investment Policies and Returns. / Jørgensen, Peter Løchte; Rangvid, Jesper; Ramlau-Hansen, Henrik.
    The Danish Pension System: Design, Performance, and Challenges. ed. / Torben M. Andersen; Svend E. Hougaard Jensen; Jesper Rangvid. Oxford: Oxford University Press, 2022. p. 118-156.

    Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

  5. Published
    Sådan ser pensionskassernes tresporede bæredygtighedsinvesteringer ud. / Jørgensen, Peter Løchte; Rangvid, Jesper.
    In: Børsen, No. 1. dec. 2022, 2022.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Contribution to newspaper - Feature article

  6. E-pub ahead of print
    The Cost of Insuring against Underperformance of ESG Screened Index Funds. / Jørgensen, Peter Løchte; Plovst, Mathias Danielsen.
    In: Journal of Sustainable Finance & Investment, 2022.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  7. 2018
  8. 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 newspaper › Journal article › Research › peer-review

  9. 2017
  10. 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.
    2017.

    Research output: Working paper/Preprint › Working paper › Research › peer-review

  11. 2016
  12. 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 newspaper › Journal article › Research › peer-review

  13. 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 newspaper › Journal article › Research › peer-review

  14. 2015
  15. 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 newspaper › Journal article › Research › peer-review

  16. 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 newspaper › Journal article › Research › peer-review

  17. 2013
  18. 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 newspaper › Journal article › Communication

  19. 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 paper/Preprint › Working paper › Research

  20. 2012
  21. Published
    On Risk Charges and Shadow Account Options in Pension Funds. / Jørgensen, Peter Løchte; Gatzert, Nadine.
    Social Science Research Network, 2012.

    Research output: Working paper/Preprint › Working paper › Research › peer-review

  22. 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 paper/Preprint › Working paper › Research › peer-review

  23. 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 newspaper › Journal article › Research › peer-review

  24. 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 newspaper › Journal article › Research › peer-review

  25. 2011
  26. Published
    Anbefalinger om investeringer i komplekse produkter. / Jørgensen, Peter Løchte; Olejasz Larsen, Henrik; Sørensen, Carsten.
    Finanstilsynet, 2011. 39 p.

    Research output: Book/anthology/dissertation/report › Report › Commissioned

  27. Published
    Overpricing and Hidden Costs of Structured Products for Retail Investors: Evidence from the Danish Market for Principal Protected Notes. / Jørgensen, Peter Løchte; Nørholm, Henrik; Skovmand, David.
    Aarhus, 2011.

    Research output: Working paper/Preprint › Working paper › Research

  28. 2010
  29. 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 newspaper › Journal article › Research › peer-review

  30. 2009
  31. 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 newspaper › Journal article › Research › peer-review

  32. Published
    Garantiobligationer for private investorer - et markedsoverblik. / Jørgensen, Peter Løchte; Nørholm, Henrik; Skovmand, David et al.
    In: Finans/Invest, No. 4, 2009, p. 5-12.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  33. 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 newspaper › Journal article › Research › peer-review

  34. 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 conference › Paper › Research › peer-review

  35. 2008
  36. 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 paper/Preprint › Working paper › Research

  37. 2007
  38. 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 newspaper › Journal article › Research › peer-review

  39. 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 newspaper › Journal article › Research › peer-review

  40. 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 newspaper › Journal article › Research › peer-review

  41. 2006
  42. 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 paper/Preprint › Working paper › Research

  43. 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 newspaper › Journal article › Research › peer-review

  44. 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 conference › Paper › Research › peer-review

  45. Published
    Traffic Light Options. / Jørgensen, Peter Løchte.
    Aarhus: Aarhus School of Business, Department of Business Studies, 2006.

    Research output: Working paper/Preprint › Working paper › Research

  46. Published
    Traffic Light Options. / Jørgensen, Peter Løchte.
    The 2nd NHH Skinance Workshop. 2006.

    Research output: Contribution to book/anthology/report/proceeding › Article in proceedings › Research › peer-review

  47. 2005
  48. Published
    Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs. / Jørgensen, Peter Løchte.
    2005.

    Research output: Working paper/Preprint › Working paper › Research

  49. 2004
  50. Published
    Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs. / Jørgensen, P.L.
    2004.

    Research output: Working paper/Preprint › Working paper › Research

  51. 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 newspaper › Journal article › Research › peer-review

  52. 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 newspaper › Journal article › Research › peer-review

  53. 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 newspaper › Journal article › Research › peer-review

  54. 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 newspaper › Journal article › Research › peer-review

  55. 2003
  56. 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 newspaper › Journal article › Research

  57. 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 newspaper › Journal article › Research

  58. 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 newspaper › Journal article › Research

  59. 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 newspaper › Journal article › Research

  60. 2002
  61. 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 newspaper › Journal article › Research › peer-review

  62. 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 newspaper › Journal article › Research › peer-review

  63. 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 newspaper › Journal article › Research

  64. 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 newspaper › Journal article › Research

  65. 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 newspaper › Journal article › Research

  66. 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 newspaper › Journal article › Research › peer-review

  67. 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 newspaper › Journal article › Research › peer-review

  68. 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 newspaper › Journal article › Research

  69. 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 newspaper › Journal article › Research

  70. 2001
  71. 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 newspaper › Journal article › Research › peer-review

  72. 2000
  73. 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 newspaper › Journal article › Research › peer-review

  74. 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 newspaper › Journal article › Research › peer-review

  75. 1999
  76. 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 newspaper › Journal article › Research › peer-review

  77. 1998
  78. 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 newspaper › Journal article › Research

  79. 1997
  80. 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 newspaper › Journal article › Research

  81. 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 newspaper › Journal article › Research

  82. 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 newspaper › Journal article › Research

  83. 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 newspaper › Journal article › Research

  84. 1996
  85. 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 newspaper › Journal article › Research › peer-review

  86. 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 newspaper › Journal article › Research

  87. 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 newspaper › Journal article › Research

  88. 1995
  89. 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 newspaper › Journal article › Research

  90. 1994
  91. 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/report › Ph.D. thesis

  92. 1993
  93. 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 newspaper › Journal article › Research

  94. 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 newspaper › Journal article › Research

  95. 1992
  96. 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 newspaper › Journal article › Research

  97. 1991
  98. Published
    A Comparison of Binomial Term Structure Models. / Jakobsen, Svend; Jørgensen, Peter Løchte.
    1991.

    Research output: Working paper/Preprint › Working paper › Research

  99. Published
    Pricing Interest Rate Contingent Claims in Binomial Lattice Models. / Hedegaard, Kristian; Jørgensen, Peter Løchte.
    1991.

    Research output: Working paper/Preprint › Working paper › Research