4 May 2022

Julie Bjørner Søe, PhD student

Newly employed

Julie Bjørner Søe was employed on 1 April 2022 as a PhD student at the department's section Insurance and Finance.

Julie Bjørner Søe

Julie holds a bachelor’s and a master’s degree in Actuarial Mathematics from this department. She graduated in September 2020 with the thesis entitled “Optimal consumption and investment decisions under state-varying relative risk aversion” under the supervision of Mogens Steffensen.

The thesis studied the optimization of future consumption by controlling consumption, investments and life insurance premium in a household and presented a solution for the case where relative risk aversion with respect to consumption varies with the state or the person. Julie will work with an extension of this problem and generalize the results from the thesis to a more complex setting.

Between graduating and starting on her PhD, Julie has been employed as a research assistant at the department where she continued her work from the thesis in a more general setting. Besides, she has been employed at Mancofi, with whom Julie also collaborates on the PhD.

The PhD project has the title ”Benefit and pension planning based on the (inhomogeneous) preferences of the policyholder”. The aim is to contribute to a more usable and realistic theory by investigating three areas,

  1. inclusion of inhomogeneous preferences in the state direction,
  2. formulating a time-global problem by certainty equivalents and
  3. Including friction and barriers in prices and rules/legislation and examine their effect on the problem and solutions.

The project is supervised by Mogens Steffensen, but the research is done in close collaboration with Mancofi.