Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 1998
- Published
A no arbitrage approach to Thiele's differential equation
Steffensen, Mogens, 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, p. 20.Research output: Working paper
- 2000
- Published
A no arbitrage approach to Thiele's differential equation
Steffensen, Mogens, 2000, In: Insurance: Mathematics and Economics. 27, p. 201-214Research output: Contribution to journal › Journal article › Research › peer-review
- 2002
- Published
Intervention Options in Life Insurance
Steffensen, Mogens, 2002, In: Insurance: Mathematics and Economics. 31, 1, p. 71-85Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On Merton's problem for life insurers
Steffensen, Mogens, 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.Research output: Working paper
- 2003
- Published
Quadratic Optimization of Life Insurance Payment Streams
Steffensen, Mogens, 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-16.Research output: Working paper
- 2004
- Published
A Note on the Free Policy Reserve
Steffensen, Mogens, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-10.Research output: Working paper
- Published
On Merton's Problem for Life Insurers
Steffensen, Mogens, 2004, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 34, 1, p. 5-25Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Surplus-linked Life Insurance
Steffensen, Mogens, 2004, Afdeling for Anvendt Matematik og Statistik: <Forlag uden navn>, p. 1-20.Research output: Working paper
- 2005
- Published
How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
Kraft, H. & Steffensen, Mogens, 2005, Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.Research output: Working paper
- Published
What is the Time Value of a Stream of Investments?
Norberg, R. & Steffensen, Mogens, 2005, In: Journal of Applied Probability. 42, p. 861-866Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A Note on the Free Policy Reserve
Steffensen, Mogens, 2005, In: Blatter der Deutschen Gesellschaft fur Versicherungsmathematik. 27, 2, p. 185-198Research output: Contribution to journal › Journal article › Research › peer-review
- 2006
- Published
Worst Case Portfolio Optimization and HJB-Systems.
Korn, R. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-17.Research output: Working paper
- Published
Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach.
Kraft, H. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-21.Research output: Working paper
- Published
A Two-Account Model of Pension Saving Contracts.
Steffensen, Mogens & Waldstrøm, S., 2006, Laboratory of Actuarial Mathematics / Copenhagen University, p. 1-16.Research output: Working paper
- Published
An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion
Steffensen, Mogens & Kraft, H., 2006.Research output: Working paper
- Published
Bankruptcy, Counterparty Risk, and Contagion
Steffensen, Mogens & Kraft, H., 2006.Research output: Working paper
- Published
Portfolio Problems Stopping at First Hitting Time with Applications to Default Risk.
Steffensen, Mogens & Kraft, H., 2006, In: Mathematical Methods of Operations Research. 63, 1, p. 123-150Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Quadratic Optimization of Life Insurance Payment Streams
Steffensen, Mogens, 2006, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 36, 1, p. 246-267Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Surplus-linked Life insurance
Steffensen, Mogens, 2006, In: Scandinavian Actuarial Journal. 1, p. 1-22Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
Bankruptcy, Counterparty Risk, and Contagion
Steffensen, Mogens & Kraft, H., 2007, In: Review of Finance. 11, p. 209-252 43 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
CDOs in Chains
Steffensen, Mogens, 2007, In: Wilmott. 29Research output: Contribution to journal › Journal article › Research
- Published
Differential Equations in Finance and Life Insurance
Steffensen, Mogens, 2007, Stochastic Economic Dynamics. Jensej, B. S. & Palokangas, T. (eds.). Copenhagen Business School Press, p. 317-360 43 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Market-Valuation Methods in Life and Pension Insurance
Steffensen, Mogens & Møller, T., 2007, Cambridge University Press. 280 p.Research output: Book/Report › Book › Research › peer-review
- Published
On Worst Case Portfolio Optimization
Steffensen, Mogens & Korn, R., 2007, In: SIAM Journal on Control and Optimization. 46, 6, p. 2013-2030 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2008
- Published
How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
Steffensen, Mogens & Kraft, H., 2008, In: Journal of Economic Dynamics and Control. 32, 2, p. 348-385 37 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach
Steffensen, Mogens & Kraft, H., 2008, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 28, 1, p. 231-257 26 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Optimal investment and life insurance strategies under minimum and maximum constraints
Steffensen, Mogens & Nielsen, P. H., 2008, In: Insurance: Mathematics and Economics. 43, 1, p. 15-28 13 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Policyholder's Static and Dynamic Decision Making of Life Insurance and Pension Payments
Steffensen, Mogens & Kraft, H., 2008, In: Blatter der Deutschen Gesellschaft fur Versicherungsmathematik. 29, 2, p. 211-244 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2009
- Published
A Two-Account Model for Pension Saving Contracts
Steffensen, Mogens & Waldstrøm, S., 2009, In: Scandinavian Actuarial Journal. 2009, 3, p. 169-186 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asset Allocation with Contagion and Explicit Bankruptcy Procedures
Steffensen, Mogens & Kraft, H., 2009, In: Journal of Mathematical Economics. 45, 1-2, p. 147-167 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2011
- Published
Household Consumption, Investment and Life Insurance
Bruhn, K. & Steffensen, Mogens, 2011, In: Insurance: Mathematics and Economics. 48, 3, p. 315-325Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Sæt fokus på din udbetalingsprofil: en sammenligning af moderne pensionsprodukter med markedsrente
Linnemann, P., Bruhn, K. & Steffensen, Mogens, 2011, In: Finans/Invest. 6, p. 5-13Research output: Contribution to journal › Journal article › Communication
- Published
Optimal Consumption and Investment under Time-Varying Relative Risk Aversion
Steffensen, Mogens, 2011, In: Journal of Economic Dynamics and Control. 35, 5, p. 659-667Research output: Contribution to journal › Journal article › Research › peer-review
- 2012
- Published
Functional High Performance Financial IT: the HIPERFIT Research Center in Copenhagen
Berthold, J., Filinski, Andrzej, Henglein, Fritz, Larsen, Ken Friis, Steffensen, Mogens & Vinter, B., 2012, Trends in Functional Programming: 12th International Symposium, TFP 2011, Madrid, Spain, May 16-18, 2011, Revised Selected Papers. Peña, R. & Page, R. (eds.). Springer, p. 98-113 16 p. (Lecture notes in computer science, Vol. 7193).Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
- Published
Worst-Case-Optimal Dynamic Reinsurance for Large Claims
Korn, R., Menkens, O. & Steffensen, Mogens, 2012, In: European Actuarial Journal. 2, 1, p. 21-48Research output: Contribution to journal › Journal article › Research › peer-review
- 2013
- Published
Optimal Smooth Consumption and Annuity Design
Bruhn, K. & Steffensen, Mogens, 2013, In: Journal of Banking & Finance. 37, 8, p. 2693-2701Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Deterministic mean-variance-optimal consumption and investment
Christiansen, M. & Steffensen, Mogens, 2013, In: Stochastics: An International Journal of Probability and Stochastic Processes . 85, 4, p. 620-636Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Safe-Side Scenarios for Financial and Biometrical Risk
Christiansen, M. & Steffensen, Mogens, 2013, In: ASTIN Bulletin: The Journal of the IAA. 43, 3, p. 323-357Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A Dynamic Programming Approach to Constrained Portfolios
Kraft, H. & Steffensen, Mogens, 2013, In: European Journal of Operational Research. 229, 2, p. 453-461Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets
Kraft, H., Seifried, F. T. & Steffensen, Mogens, 2013, In: Finance and Stochastics. 17, p. 161-196Research output: Contribution to journal › Journal article › Research › peer-review
- 2014
- Published
Markov chain modeling of policyholder behavior in life insurance and pension
Henriksen, L. F. B., Nielsen, J. W., Steffensen, Mogens & Svensson, C., 2014, In: European Actuarial Journal. 4, 1, p. 1-29Research output: Contribution to journal › Journal article › Research › peer-review
- 2015
- Published
Reserve-dependent surrender rates
Gad, K. S. T., Juhl, J. & Steffensen, Mogens, Dec 2015, In: European Actuarial Journal. 5, 2, p. 283-308Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Personal finance and life insurance under separation of risk aversion and elasticity of substitution
Jensen, N. R. & Steffensen, Mogens, 2015, In: Insurance: Mathematics and Economics. 62, p. 28–41Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A combined stochastic programming and optimal control approach to personal finance and pensions
Konicz, A. K., Pisinger, D., Rasmussen, K. M. & Steffensen, Mogens, 2015, In: OR Spectrum - Quantitative Approaches in Management. 37, 3, p. 583-616Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Optimal consumption, investment and life insurance with surrender option guarantee
Kronborg, M. T. & Steffensen, Mogens, 2 Jan 2015, In: Scandinavian Actuarial Journal. 2015, 1, p. 59-87Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Inconsistent Investment and Consumption Problems
Kronborg, M. T. & Steffensen, Mogens, 2015, In: Applied Mathematics and Optimization. 71, 3, p. 473-515Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A comparison of modern investment-linked pension savings products
Linneman, P., Bruhn, K. & Steffensen, Mogens, 2015, In: Annals of Actuarial Science. 9, 1, p. 72-84Research output: Contribution to journal › Journal article › Research › peer-review
- 2016
- Published
Smooth investment
Bruhn, K., Jensen, N. R. & Steffensen, Mogens, Dec 2016, In: Annals of Finance. 12, 3-4, p. 335-361Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Stress scenario generation for solvency and risk management
Christiansen, M. C., Henriksen, L. F. B., Schomacker, K. J. & Steffensen, Mogens, 2 Jul 2016, In: Scandinavian Actuarial Journal. 2016, 6, p. 502-529 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2017
- Published
Life Insurance Demand Under Health Shock Risk
Hambel, C., Kraft, H., Schendel, L. S. & Steffensen, Mogens, 2017, In: Journal of Risk and Insurance. 84, 4, p. 1171–1202 32 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3767
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224
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Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
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Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
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Personal non-life insurance decisions and the welfare loss from flat deductibles
Research output: Contribution to journal › Journal article › Research › peer-review
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