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Some publications

• Select mortality and other durational effects modelled by partially observed Markov chains (1990), Scand. Actuarial J., 177-199.
• Asymptotic results for the risk process based on marked point processes (1991), Scand. Actuarial J., 169-184.
• Numerical evaluation of Markov transition probabilities based on the discretized product integral (1992), Scand. Actuarial J., 76-87.
• A Stochastic version of Thiele's differential equation (1993), Scand. Actuarial J., 1-16.
• The probability of ruin in view of the Doleans equation (1994), Published as part of the paper: Point processes, martingales and exit times in risk theory (see below).
• Stochastic differential equations for ruin probabilities (1995), J. Applied Prob. 32, 74-89, .pdf
• The distribution of first entry time with applications to ruin probabilities (1994), Working paper no. 122, Laboratory of Actuarial Mathematics, Univ. of Cph. .pdf
• A counting process approach to stochastic interest (1995), Insurance: Mathematics and Economics 17, 181-192, .pdf
• Point processes, martingales and exit times in risk theory (1995), Surveys in Applied and Industrial Mathematics 2, 658-674, .pdf
• Integral equations for compound distribution functions (1996), J. Applied Prob. 33, 388-399.
• Aspects of prospective mean values in risk theory (1996), Insurance: Mathematics and Economics 18, 173-181, .pdf
• Some Results on Alpha-quantiles (1999), Danish Defence Research Establishment, Research Report F-7, .pdf
• A point process approach to inventory models (2000), Applied Stochastic Models in Business and Industry, 2, 111-126, .pdf