PhD defence: Nicolai Søgaard Laursen

In order to obtain the PhD degree, Nicolai Søgaard Laursen has submitted his thesis entitled:

Longevity risk in reinsurance and equity markets

This thesis centers on systematic longevity risk, which refers to the uncertainty of future survival rates for a group of individuals. The first chapter evaluates how an annuity provider can reduce the variability of a life annuity most efficiently by engaging in a mortality-linked security via two alternative hedging strategies, with and without basis risk. We find that eliminating basis risk is more cost-effective. The second chapter shows that an increase in unsystematic mortality raises one-year ahead real returns heterogeneously for portfolios sorted by industry and dividend-price ratios in the U.S stock market. In the third chapter, I show theoretically and empirically how longevity risk may help explain the value premium.

Primary Supervisor:
Professor Jesper Rangvid
Department of Finance
Copenhagen Business School

Secondary Supervisors:

Professor Peter Feldhütter
Department of Finance
Copenhagen Business School

Associate Professor Paul Whelan
Department of Finance
Copenhagen Business School

Assessment Committee:

Professor Kristian Miltersen (Chair)
Department of Finance
Copenhagen Business School

Professor Nicole Branger
Finance Center Muenster, Muenster School of Business and Economics
University of Muenster

Founder & CEO, Heukno and Affiliated Professor Søren Fiig Jarner
Insurance Mathematics and Statistics
University of Copenhagen

Thesis:
The thesis will be available from https://research.cbs.dk/

Reception:
The CBS PhD School will host a reception, which will take place immediately after the defence in FUHU.