Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2007
- 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
ID: 3767
Most downloads
-
222
downloads
Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
209
downloads
Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
204
downloads
Personal non-life insurance decisions and the welfare loss from flat deductibles
Research output: Contribution to journal › Journal article › Research › peer-review
Published