Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

Publication year:
All
26 - 50 out of 76Page size: 25
Sort by: Title
  1. Published

    Household Consumption, Investment and Life Insurance

    Bruhn, K. & Steffensen, Mogens, 2011, In: Insurance: Mathematics and Economics. 48, 3, p. 315-325

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

  2. Published

    How sub-optimal are age-based life-cycle investment products?

    Khemka, G., Steffensen, Mogens & Warren, G. J., Jan 2021, In: International Review of Financial Analysis. 73, 15 p., 101619.

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

  3. 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 › Research

  4. 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

  5. Published

    Inconsistent Investment and Consumption Problems

    Kronborg, M. T. & Steffensen, Mogens, 2015, In: Applied Mathematics and Optimization. 71, 3, p. 473-515

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

  6. Published

    Individual life insurance during epidemics

    Francis, L. & Steffensen, Mogens, 2024, In: Annals of Actuarial Science. 18, p. 152–175

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

  7. Published

    Intervention Options in Life Insurance

    Steffensen, Mogens, 2002, In: Insurance: Mathematics and Economics. 31, 1, p. 71-85

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

  8. 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

  9. 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

  10. 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. 1-29

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

  11. Published

    Matrix representations of life insurance payments

    Bladt, Mogens, Asmussen, S. & Steffensen, Mogens, 2020, In: European Actuarial Journal. 10, 1, p. 29-67

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

  12. Published

    Nonrecursive separation of risk and time preferences

    Fahrenwaldt, M. A., Jensen, N. R. & Steffensen, Mogens, 2020, In: Journal of Mathematical Economics. 90, p. 95-108

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

  13. Published

    On Merton's Problem for Life Insurers

    Steffensen, Mogens, 2004, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 34, 1, p. 5-25

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

  14. Published

    On Merton's problem for life insurers

    Steffensen, Mogens, 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

    Research output: Working paper › Research

  15. Published

    On Smoothing and Habit Formation of Variable Life Annuity Benefits

    Steffensen, Mogens & Vikkelsøe, S. H., 2024, In: Journal of Risk and Financial Management. 17, 2, 27 p., 75.

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

  16. 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

  17. 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

  18. 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

  19. 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

  20. 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

  21. 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

  22. 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

  23. 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

  24. 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

  25. 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

Previous 1 2 3 4 Next

ID: 3767