Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
On the cost-of-capital rate under incomplete market valuation
Albrecher, H., Eisele, K. T., Steffensen, Mogens & Wüthrich, M. V., 2022, In: Journal of Risk and Insurance. 89, p. 1139–1158 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Risk and Insurance: A Graduate Text
Asmussen, S. & Steffensen, Mogens, 2020, Springer. 505 p. (Probability Theory and Stochastic Modelling).Research output: Book/Report › Book › Research › peer-review
- Published
Stable dividends under linear-quadratic optimisation
Avanzi, B., Falden, Debbie Kusch & Steffensen, Mogens, 2023, In: Quantitative Finance. 23, 9, p. 1199-1215 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
- E-pub ahead of print
Optimal reinsurance design under solvency constraints
Avanzi, B., Lau, H. & Steffensen, Mogens, 2024, (E-pub ahead of print) In: Scandinavian Actuarial Journal. 34 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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
Matrix representations of life insurance payments
Bladt, Mogens, Asmussen, S. & Steffensen, Mogens, 2020, In: European Actuarial Journal. 10, 1, p. 29-67Research output: Contribution to journal › Journal article › Research › peer-review
- 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
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
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
Forward transition rates
Buchardt, K., Furrer, Christian & Steffensen, Mogens, 2019, In: Finance and Stochastics. 23, 4, p. 975-999 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3767
Most downloads
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221
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Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
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208
downloads
Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
203
downloads
Personal non-life insurance decisions and the welfare loss from flat deductibles
Research output: Contribution to journal › Journal article › Research › peer-review
Published