Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

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  1. 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

  2. Published

    On retirement time decision making

    Chen, A., Hentschel, F. & Steffensen, Mogens, 2021, In: Insurance: Mathematics and Economics. 100, p. 107-129 23 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. 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

  4. 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

  5. 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 › Research

  6. Published

    Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

    Steffensen, Mogens, 2011, In: Journal of Economic Dynamics and Control. 35, 5, p. 659-667

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. Published

    Optimal Smooth Consumption and Annuity Design

    Bruhn, K. & Steffensen, Mogens, 2013, In: Journal of Banking & Finance. 37, 8, p. 2693-2701

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. 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. 59-87

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

    Optimal consumption, investment, and insurance under state-dependent risk aversion

    Steffensen, Mogens & Søe, Julie Bjørner, 2023, In: ASTIN Bulletin. 53, 1, p. 104-128 25 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems

    Kryger, E., Nordfang, M. B. & Steffensen, Mogens, 1 Jun 2020, In: Mathematical Methods of Operations Research. 91, 3, p. 405-438

    Research output: Contribution to journal › Journal article › Research › peer-review

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