Curriculum Vitae

(incl. lists of publications, presentations, and students)

Mogens Steffensen

 

Education:

 

 

Positions and longer visits (part-time and full-time):

 

 

Professional:

 

 

Refereed Publications:

 

  1. 2011. Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets. To appear in Finance and Stochastics. (Jointly with Holger Kraft and Frank Thomas Seifried)
  2. 2011. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. Journal of Economic Dynamics and Control. 35(5): 659-667.
  3. 2011. Household Consumption, Investment and Life Insurance. Insurance: Mathematics and Economics. 48(3): 315-325. (Jointly with Kenneth Bruhn)
  4. 2009. Asset Allocation with Contagion and Explicit Bankruptcy Procedures. Journal of Mathematical Economics 45(1-2): 147-167. (Jointly with H. Kraft)
  5. 2009. A Two-Account Model for Pension Saving Contracts. Scandinavian Actuarial Journal 2009(3): 169 – 186. (Jointly with S. Waldstrøm)
  6. 2008. The Policyholder’s Static and Dynamic Decision Making of Life Insurance and Pension Payments. Blätter der DGVFM 29(2): 211-244. (Jointly with H. Kraft)
  7. 2008. Optimal investment and life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics 43(1): 15-28. (Jointly with P. H. Nielsen)
  8. 2008. Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach. ASTIN Bulletin 28(1):231-257. (Jointly with H. Kraft)
  9. 2008. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. Journal of Economic Dynamics and Control 32(2):348-385. (Jointly with H. Kraft)
  10. 2007. On Worst Case Portfolio Optimization. SIAM Journal on Control and Optimization 46(6): 2013-2030. (Joint with R. Korn)
  11. 2007. Bankruptcy, Counterparty Risk, and Contagion. Review of Finance 2007; 11, 209-252. (Jointly with H. Kraft)
  12. 2006. Quadratic Optimization of Life Insurance Payment Streams. ASTIN Bulletin 36 (1):245-267.
  13. 2006. Surplus-linked Life Insurance. Scandinavian Actuarial Journal, 2006(1):1-22.
  14. 2006. Portfolio Problems Stopping at First Hitting Time with Applications to Default Risk. Mathematical Methods of Operations Research, 63(1):123-150. (Jointly with H. Kraft)
  15. 2005. A Note on the Free Policy Reserve. Blätter der DGVFM, Band XXVII, Heft 2, Oktober 2005.
  16. 2005. What is the Time Value of a Stream of Investments? Journal of Applied Probability, 42, 861-866. (Jointly with R. Norberg)
  17. 2004. On Merton's Problem for Life Insurers. ASTIN Bulletin 34(1):5-25.
  18. 2002. Intervention Options in Life Insurance. Insurance: Mathematics and Economics 31:71-85.
  19. 2000. A No Arbitrage Approach to Thiele's Differential Equation. Insurance: Mathematics and Economics, 27: 201-214.

 

Working papers:

 

  1. 2012. Worst-Case-Optimal Dynamic Reinsurance for Large Claims (March 25, 2012). Available at SSRN: http://ssrn.com/abstract=2032525. (jointly with Ralf Korn and Olaf Menkens)
  2. 2011. A Dynamic Programming Approach to Constrained Portfolios (December 7, 2011). Available at SSRN: http://ssrn.com/abstract=1969418. (jointly with Holger Kraft)
  3. 2011. On the Theory of Continuous-Time Recursive Utility (November 7, 2011). Available at SSRN: http://ssrn.com/abstract=1954655.
  4. 2011. Inconsistent Investment and Consumption Problems (March 29, 2011). Available at SSRN: http://ssrn.com/abstract=1794174. (jointly with Morten Tolver Kronborg)
  5. 2011. Safe-Side Scenarios for Financial and Biometrical Risk (January 11, 2011). Available at SSRN: http://ssrn.com/abstract=1738552. (jointly with Marcus Christian Christiansen)
  6. 2010. Some Solvable Portfolio Problems with Quadratic and Collective Objectives (March 23, 2010). Available at SSRN: http://ssrn.com/abstract=1577265. (jointly with Esben Masotti Kryger)

 

Books, book articles, and miscellaneous:

 

1.      2011. Sæt fokus på din udbetalingsprofil – en sammenligning af moderne pensionsprodukter med markedsrente. Finans/Invest, september – nr. 6 – 2011. (Jointly with Per Linnemann and Kenneth Bruhn)

2.      2011. Functional High Performance Financial IT - The HIPERFIT Research Center in Copenhagen. To appear in the proceedings of ftp 2011 (12th International Symposium Trends in Functional Programming 2011). (Jointly with Jost Berthold, Ken Friis Larsen, Fritz Henglein, Andrzej Filinski, and Brian Vinter)

3.      2009. Life Insurance. In: Encyklopedia of Quantitative Finance.

4.      2008. Liv og død på formel. Finans/Invest, juni – nr. 4 – 2008. (Jointly with Thomas Møller)

5.      2007. Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press. (Jointly with Thomas Møller)

6.      2007. CDOs in Chains. Working paper. Willmott magazine, May 2007 – issue 29. (Jointly with J. de Kock and H. Kraft)

7.      2007. Differential Equations in Finance and Life Insurance. In: Jensen, B.S. and Palokangas, T. (2007) Stochastic Economic Dynamics. CBS press.

8.      2001. On Valuation and Control in Life and Pension Insurance. Ph.D. Thesis. Institute for Mathematical Sciences, University of Copenhagen.

9.      2000. Contingent Claims Analysis in Life and Pension Insurance. Proceedings 10th AFIR Colloquium 2000, 587-603.

 

Presentations (Talks, lectures, and short courses): 

  1. On Consistent Decision Making and the Theory of Recursive Utility, Seminar, Köln, April 2012.
  2. On the Theory of Recursive Utility, Oberwolfach, January 2012.
  3. On the Theory of Recursive Utility, Seminar, Copenhagen, December 2011.
  4. On the Theory of Recursive Utility, Seminar, Torino, November 2011.
  5. On the Theory of Recursive Utility, Swissquote conference, Lausanne, October 2011.
  6. Quadratic and Collective Objectives, Consistency, and Recursive Utility, Seminar, Maastrict, September 2011.
  7. Credit Risk Modelling and Management, European Actuarial Academy Seminar, Copenhagen, June 2011.
  8. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Dublin, March 2011.
  9. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Hannover, January 2011.
  10. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Bergen, November 2010.
  11. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, Bonn, May 2010.
  12. Some Solvable Portfolios with Quadratic and Collective Objectives, Seminar, København, January 2010.
  13. Interviewundersøgelse om Skandia Pension, Analyse og kommentarer, Skandia Invest Forum, København, December 2009.
  14. Livsforsikringsmatematisk Essays. Den Danske Aktuarforening, København, December 2009.
  15. Pension fund management based on solutions to constrained consumption-investment problems. Life Colloquium, Munich, September 2009.
  16. 50 ways to leave your stocks. Humboldt University, Berlin, July 2009.
  17. 50 ways to leave your stocks. British-Nordic congress of Mathematicians , Oslo, June 2009
  18. Pension fund management based on solutions to constrained consumption-investment problems. CMA workshop on Insurance mathematics and longevity risk, Oslo, May 2009.
  19. Constrained portfolio optimization with applications to insurance. Cologne Life Insurance Day, Cologne, March 2009.
  20. Det er koldt og man må gå sig varm: Om finanskrise, kundernes valgmuligheder og Markovprocesser i pensionsbranchen. Dansk Selskab for Teoretisk Statistik, København, December 2008.
  21. On optimal decision making in a life insurance multi-state Markov model. Universität Rostock, December 2008.
  22. On qualitative modelling and management of insurable and securitizable risks. Center for Advanced Security Studies, Copenhagen 2008.
  23. Optimal Control in Finite State Markov Chains with Applications to Personal Finance and Credit Risk Management. Workshop on Optimization and Optimal Control. Linz, Austria, October 2008.
  24. Allocation with Contagion and Explicit Bankruptcy Procedures. Symposium on Stochastic Dynamic Models in Finance and Economics, Odense, August 2008.
  25. Moderne metoder i livsforsikring. The Danish Society of Actuaries, Copenhagen, June 2008.
  26. What Has Finance Done for Life Insurance – and vice versa. Oberwolfach, February, 2008.
  27. What Has Finance Done for Life Insurance – and vice versa. Workshop on Finance, Stochastics and Insurance, Bonn, February 2008.
  28. Market-Valuation Methods in Life and Pension Insurance. International Summer School, Swiss Association of Actuaries. Scientific Director (with T. Møller), Lausanne, August 2007.
  29. From Life Insurance to Credit Risk: On Optimal Decisions in a Multi-state Model. Heriot-Watt University, Edingburgh, May 2007.
  30. Moderne metoder i livsforsikring. The Danish Society of Actuaries, Copenhagen, April 2007.
  31. Market-Valuation Methods in Life and Pension Insurance. Third Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, March 2007.
  32. Decisions and Design in Life and Pension Insurance. Risk and Stochastics Day, London School of Economics and Political Science, March 2007.
  33. From Life Insurance to Credit Risk: On Portfolio Choice in Multistate Markov Chains. Danish Center for Accounting and Finance, Sandbjerg, March 2007.
  34. Decisions and Design in Life and Pension Insurance. Oberwolfach, February 2007.
  35. Decisions and Design in Life and Pension Insurance. Cass Business School, November 2006.
  36. Finansiering og forsikring: Er det matematik? Ungdommens Naturvidenskabelige Forening, Copenhagen, September 2006.
  37. Optimal Consumption and Insurance. 21st European Conference on Operations Research, Reykjavik, July 2006.
  38. Accounting for Intervention Options. 28th International Congress of Actuaries, Paris, June 2006.
  39. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. Tanaka Business School, Imperial College, London, UK, November 2005.
  40. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. London School of Economics and Political Science, November 2005.
  41. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. International Conference on Finance, Copenhagen, September 2005.
  42. On Life Insurance and Pension Insurance Accounting and Solvency Standards. Nordea Investment Management, Copenhagen, October 2004.
  43. Differential Systems in Life Insurance. 3rd Conference in Actuarial Science and Finance on Samos, September 2004.
  44. Optimization in Life Insurance. 6th World Congress of the Bernoulli Society for Mathematical Statistics and Probability, Barcelona, July 2004.
  45. New Financial Products in Insurance. The 1st Nordic summer school in insurance mathematics. Main lecturer (with T. Møller), Stockholm, September 2003.
  46. Optimization in Life Insurance. University of Ulm, July 2003.
  47. Optimization in Life insurance. Technical University Munich, July 2003.
  48. Quadratic Optimization of Life Insurance Payment Streams. 7th International Congress on Insurance: Mathematics and Economics, Lyon, June 2003.
  49. Optimization in Life Insurance. 2nd Workshop on Dynamic Optimization Problems in Finance and Insurance, Kaiserslautern, June 2003.
  50. On Merton's Problem for Life Insurers. Scientific Conference on Insurance and Finance, Bonn, April 2003.
  51. Hvad laver de på universitetet? - og hvad kan det bruges til? Den Danske Aktuarforening, København, April 2003.
  52. Quadratic versus utility-based optimization in life insurance. Workshop on stochastics for risk, insurance and finance, London, December 2002.
  53. On Merton's problem for insurers. 6th  International Congress on Insurance: Mathematics and Economics, Lisbon, July 2002.
  54. On Merton's Problem for insurers. Interplay between Mathematical Finance and Insurance, Århus, June, 2002.
  55. Life insurance mathematics and optimization. Fraunhofer ITWM, Kaiserslautern, June 2002.
  56. On jump-diffusion factor models with intervention and Danish accounting practice. International Symposium on Insurance and Finance, Bergen, April 2002.
  57. Intervention options in life and pension insurance. 12th AFIR Colloquium, Cancun, March 2002.
  58. Utility optimization of payment streams in life and pension insurance. Workshop on stochastic control and its application in insurance, Karlsruhe, December 2001.
  59. Aspekter af værdifastsættelse i livs- og pensionsforsikring. Nordea Markets, Copenhagen, October 2001.
  60. Intervention options in life and pension insurance. 5th International Congress on Insurance: Mathematics and Economics, PennState, Pennsylvania, July 2001.
  61. On valuation and control in life and pension insurance. Ph.D. defense. Copenhagen, June 2001.
  62. Intervention options in life and pension insurance. FML colloquium, Copenhagen, May 2001.
  63. Aspects of valuation in life insurance. University of Southern Denmark, Odense, October 2000.
  64. Thiele's differential equation - still going strong. The 1st T.N.Thiele Symposium on Stochastic in Insurance and Finance, Copenhagen, August 2000.
  65. Contingent claims analysis in life and pension insurance. 10th AFIR Colloquium, Tromsø, June 2000.
  66. Contingent claims analysis in life and pension insurance. University of Oslo, January 2000.
  67. A financial approach to life and pension insurance. ETH Zurich, June 1999.
  68. A financial approach to life and pension insurance. University of Karlsruhe, July 1999.

Teaching and supervision areas:

 

Life insurance mathematics and

Supervision (Ph.D.):

 

  1. Lars Frederik Brandt Henriksen (in progress). (Supervised jointly with Jesper Lund Pedersen)
  2. Kamille Sofie Tågholt  (in progress). (Supervised jointly with Jesper Lund Pedersen)
  3. Morten Tolver Kronborg (in progress). (Supervised jointly with Søren Fiig Jarner and Michael Preisel, ATP, industrial partner).
  4. Bruhn, Kenneth (in progress). (Supervised jointly with Per Klitgård and Per Linnemann) Subject: Insurance and Pension Decision Making under Modern Notions of Preferences and Taxation
  5. Masotti, Esben Kryger (2010). Five Essays in Life Insurance Mathematics. (Supervised jointly with Søren Fiig Jarner and Michael Preisel, ATP, industrial partner).
  6. Nielsen, Peter Holm (2006). Financial Optimization Problems in Life and Pension Insurance. (Supervised jointly with Hanspeter Schmidli).
  7. Dahl, Mikkel (2005). On Mortality and Investment Risk in Life Insurance. (Supervised jointly with Thomas Mikosch and Thomas Møller).

 

Supervision (Master/Cand.Act.):

 

  1. Eva Pedersen (in progress)
  2. Paul Membrere (in progress)
  3. Cecilie Horn (in progress)
  4. Geske Kristensen (in progress)
  5. Nicholas Højer-Nielsen (March 26, 2012). Tarifering af Variable Annuiteter.
  6. Elisabeth Nærum (December 19, 2011). Optimale investerings- og opsparingsstrategier med endogen vanedannelse.
  7. Lukas Torp-Pedersen (December 19, 2011). Endogeneous Habit Formation.
  8.  Sofie Vester (December 13, 2011). (supervised jointly with Mads Bryde Andersen). Garantier i pensionsaftaler.
  9. Catherine Louise Poulsen  (October 10, 2011). (supervised jointly with Peter Holm Nielsen). Kontributionsprincippet versus Gennemsnitsrenteprincippet.
  10. Søren Skytte (October 3, 2011). Kontributionsprincippet.
  11. Kristian Buchardt (September 19, 2011). (supervised jointly with Thomas Møller). Affine Processes in Life Insurance Mathematics – With a View Towards Solvency II.
  12. Cathrine Renneberg (May 19, 2011). Værdifastsættelse af en forsikringskontrakt med fokus på forsikringstagerens adfærd.
  13. Maj-Britt Nordfang (March 22, 2011). Approximating optimal investment strategies.
  14. Kamilla Petersen (December 9, 2010). Inkonsistente porteføljeproblemer under kollektiv potensnytte.
  15. Martine Stokholm (September 27, 2010). Overskudsfordeling til homogene delbestande.
  16. Morten Tolver Kronborg (September 23, 2010). Inkonsistente investerings- og forbrugsproblemer.
  17. Kirsten Niels-Christiansen (September 23, 2010). Porteføljer og priser under middelværdi-varians nytten med konstant og hyperbolsk risikoaversion.
  18. Christel Clausen (September 23, 2010). Porteføljeproblemer med eksponentiel nytte of kollektive objektfunktioner.
  19. Michael Hartvigsen Knudsen (September 7, 2010). Optimal Portfolios and utility indifference pricing under mean-variance utility.
  20. Linda Maria Bodholdt (September 7, 2010). Optimeringsproblemer og prisfastsættelse af ikke-hedgebare forsikringskrav med mean-variance nytten.
  21. Agnieszka Konicz (August 19, 2010). Performance measurement of empirical and theoretical pension investment strategies.
  22. Iben Jespersen (March 2, 2010). Optimal investment strategies for house owners.
  23. Thomas Styrk (2009). Time-homogeneous optimal investment: Maximisation of expected utility of consumption and minimisation of ruin probabilities.
  24. Michala Holm Rode (2009). (supervised jointly with Peter Holm Nielsen and Thomas Møller). Nytteoptimering med regime-skift, garantier og oplevelsesforsikring.
  25. Ieva Masiulyte (2009). Dependent decrement theory in a Markov chain framework.
  26. Kenneth Jensen (2009). Optimal Insurance and Consumption under Changing Mortality.
  27. Diane Dross (2009). Portfolio Optimization under Market Crashes and Liquidity Constraints.
  28. Kenneth Bruhn Kristiansen (2009). Optimal consumption, investment and life annuity purchase under constraints for a single person and multiple persons.
  29. Marie Refsgaard Sielemann  (2009). Porteføljeforsikringsstrategier på unit-link forsikringer.
  30. Hanne Kuckelhahn (2009). Quadratic Hedging of Index Linked Life Insurance Contracts.
  31. Mads Hindkær Dahl (2008). Optimal investering, forbrug og dødsfaldsydelse for husejere.
  32. Nichlas Abel Korsgaard (2008). Risk and Cost Analysis of a Closed Life Insurance Portfolio.
  33. Peter Andersen (2008). Sammenligning af strategier til afdækning af finansielle risici i et Black-Scholes marked.
  34. Henrik Jespersen (2008). Bonusprognose.
  35. Morten Winther (2008). (supervised jointly with Peter Fledelius). Risikomargen.
  36. Minna Ghasemi (2008). (supervised jointly with Peter David Melchior). VaR-based Valuation and Optimization.
  37. Lars Fogh Jensen (2008). Optimale genforsikringsstrategier.
  38. Lise Jørgensen (2007). Optimale investeringsstrategier i oplevelsesforsikringer.
  39. Rune Hove Jacobsen (2007). Optimal Reinsurance of Life Insurance Risk in a Dynamic Setting.
  40. Louise Kjellerup Eigtved (2007). Betydningen af folkepension og beskatning i forbindelse med beslutningsproblemer i livs- of pensionsforsikring.
  41. Kristian Smedemark Hasløv (2007). (supervised jointly with Peter Holm Nielsen). Porteføljeoptimering under stress.
  42. Katrine Loug (2006). Dynamisk versus statisk optimal investering.
  43. Julie Have (2005). Corporate Bond Prices in a Market with Correlated Defaults.
  44. Lasse Jensen (2005). Aktiv passiv modellering i forsikring.
  45. Helle Simonsen (2005). Price Indexed Pension Contracts.
  46. Anina Grell (2005). Stopping Time Problems and Stopping Games in Life Insurance.
  47. Jacob Bille (2005). Værdifastsættelse i livsforsikring baseret på højere ordens momenter.
  48. Lars Keyper Winkel (2005). (supervised jointly with Jesper Lund Pedersen), Prissætning af Unit-link forsikringer med særlige stiafhængige garantier.
  49. Jens Wissing Jensen (2005). (supervised jointly with Jesper Lund Pedersen), Unit-link produkter baseret på ekstrema og fraktiler.
  50. Stine Breiner Andersen (2005). (supervised jointly with Peter Holm Nielsen), Optimale dækningsstrategier i livsforsikring.
  51. Rikke Schlüter Justesen (2005). (supervised jointly with Peter Holm Nielsen), Optimale pensionsopsparingsstrategier.
  52. Jeanette Halle Larsen (2005). Fair fordeling af overskud i livsforsikring.
  53. Stephan Waldstrøm (2004). Værdifastsættelse af en unit-link forsikring med en stiafhængig garanti.
  54. Bitten Lind Nielsen (2004). Stokastisk dødelighed for livrenter.
  55. Karen Skjøtt Christensen (2004). Asset Liability Management - med fair parametre.
  56. David Melchior (2003). Optimal allokering og udlodning af overskud i livsforsikring.
  57. Line Dahlbæk Nielsen (2002). Analytiske resultater om genkøbs- og fripoliceoptionen.
  58. Morten Winther Hansen (2002). An Approximation Method to Exercise and Surrender Options.
  59. Jeppe Ekstrøm (2001). Numerisk beregning af fair strategier for investering og udbetaling af overskud.

 

Teaching (1997-2011):

 

  1. 10 courses on advanced life insurance mathematics and mathematical finance (master courses)
  2. 10 courses on basic life insurance mathematics (3. year bachelor courses)
  3. 5 courses on introductory insurance mathematics (1. year bachelor courses)
  4. 7 optional courses on topics in finance and life insurance (master courses)

(optimization problems, optimal stopping, stochastic control, financial methods)