Derivatives Models on Models

Knut Aase on Catastrophes and Financial Economics

Knut K. Aase is a Professor in the Department of Finance and Management Science at the Norwegian School of Economics and Business Administration. He has done a great deal of research in Insurance Economics, Financial Economics, Probability Theory, Statistics and even Mathematical Biology. Over the last few years he has focused more on derivatives, but with a quite original approach. Recently Professor Aase has, for example, used option pricing theory with jumps to make inferences about equity premiums.

Haug : Where did you grow up?

Aase: In the little village of Litlebergen on Holsnøy. Holsnøy is an island located about 20–30 km north of Bergen, Norway.

Haug : What is your educational background?

Aase: University of California, Berkeley. PhD (1979: statistics). University of Bergen, MSc (1975: probability and statistics). University of Bergen, Bachelor's degree (1973). Visiting scholar at various universities, primarily in the US. Among others, one year at each of the following institutions: MIT, Sloan School 1985–86; Stanford University, Graduate School of Business 1996–97 and UCLA, Anderson School of Management 2004–05.

Haug : You have done a great deal of research in both insurance and financial economics. What are the similarities and main differences between these areas of research?

Aase: As I see it, both are part of the economics of uncertainty, and thus subject to the same basic principles, or laws. In insurance an agent, ...