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Present employment

I am an industrial PhD student in SEB Pension Denmark. My studies takes place at Department of Mathematical Sciences, University of Copenhagen, where i have been enroled since January 1, 2010. I am a member of the research group Mathematical and Statistical Methods in Insurance and Economics.


Research interests

In my PhD-project, the research is on generalizations of classical continuous-time optimization problems as they are presented in Merton(1965) and Richard(1975). The classical problem is formulated as optimizing expected life-time utility by controlling investment and consumption (and in Richard(1975) also purchase of life insurance). I study the effects from generalizing the utility-measurement by introduction of habit formation and recursive utility. Also tax-effects, stochastic unspanned labor income and further household implications are of my interest.

In coorperation with my industrial PhD-supervisor in SEB Pension, I am also studying the performance of various types of retirement saving products, and the differences in the payout-profiles connected to these products.

Publications

Refereed Publications:
Bruhn, Kenneth and Steffensen, Mogens (2011) Household Consumption, Investment and Life Insurance Insurance: Mathematics and Economics, volume 48 (3): 315-325.
Linnemann, Per and Bruhn, Kenneth and Steffensen, Mogens (2011) Sæt fokus på din udbetalingsprofil - en sammenligning af moderne pensionsprodukter med markedsrente (in danish) Finans/Invest, nr. 6 - 2011: 5-13.

Working Papers:
Bruhn, Kenneth (2011) Consumption, Investment and Life Insurance Under Different Tax-Regimes Available at SSRN: http://ssrn.com/abstract=1876544


Teaching

Consumption and Investment Problems in Finance and Insurance, master level, spring 2012.
Topics in Life insurance (Liv2), master level, spring 2012.


About me

Personal:
Born in 1981 near Slagelse in Seeland, Denmark, where I lived until 2003. Citizen of Copenhagen ever since.
Happily married to my wonderful wife Ditte since May, 2010.
The proud father of my amazing son Wilfred since July, 2011.

Education:
M.A. Actuarial Mathematics, University of Copenhagen, 2009.
B.S. Actuarial Mathematics, University of Copenhagen, 2006.
HHX (General Certificate of Education), Slagelse Handelsskole, 2001.

Previus employment:
Actuary, SEB Pension Denmark, August 2009 - December 2009.
Assistant Actuary, SEB Pension Denmark, May 2006 - July 2009.
Military Service and NATOs peacekeeping forces, Kosovo, August 2001 - February 2003.


Contact information

Kenneth Bruhn
PhD student
Department of Mathematical Sciences
Universitetsparken 5
DK-2100 Copenhagen OE, Denmark

email: bruhn@math.ku.dk