Søren S. Nielsen

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Single Premium Deferred Annuities (SPDAs) are investment vehicles, o ered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of insurance policies. However, the propensity of individuals to shift part, or all, of their investment into di erent annuities creates substantial uncertainties for(More)
We develop a scalable parallel implementation of the classical Benders decomposition algorithm for two-stage stochastic linear programs. Using a primal-dual, path-following algorithm for solving the scenario subproblems we develop a parallel implementation that alleviates the diiculties of load balancing. Furthermore, the dual and primal step calculations(More)
Multi-stage stochastic programs are typically extremely large, and can be prohibitively expensive to solve on the computer. In this paper we develop an algorithm for multistage programs that integrates the primal-dual row-action framework with prox-imal minimization. The algorithm exploits the structure of stochastic programs with network recourse, using a(More)
We develop and test multistage portfolio selection models maximizing expected end-of-horizon wealth while minimizing one-sided deviation from a target wealth level. The trade-off between two objectives is controlled by means of a non-negative parameter as in Markowitz Mean-Variance portfolio theory. We use a piecewise-linear penalty function, leading to(More)
Danish mortgage loans have several features that make them interesting: Shortterm revolving adjustable-rate mortgages are available, as well as fixed-rate, 10-, 20or 30-year annuities that contain embedded options (call and delivery options). The decisions faced by a mortgagor are therefore non-trivial, both in terms of deciding on an initial mortgage, and(More)
algorithm is based on the proximal minimization algorithm with D-functions and uses a primal-dual rowaction algorithm to solve the resulting, strictly convex subproblems. The stochastic program is reformulated into a form that decomposes by scenario, thus making the algorithm suitable for parallel implementation. In addition, the constraints of each(More)