Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

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  1. Published

    Worst-Case-Optimal Dynamic Reinsurance for Large Claims

    Korn, R., Menkens, O. & Steffensen, Mogens, 2012, In: European Actuarial Journal. 2, 1, p. 21-48

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

  2. Published

    Worst Case Portfolio Optimization and HJB-Systems.

    Korn, R. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-17.

    Research output: Working paper › Research

  3. E-pub ahead of print

    What is the value of the annuity market?

    Steffensen, Mogens & Søe, Julie Bjørner, 2024, (E-pub ahead of print) In: Decisions in Economics and Finance. 26 p.

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

  4. Published

    What is the Time Value of a Stream of Investments?

    Norberg, R. & Steffensen, Mogens, 2005, In: Journal of Applied Probability. 42, p. 861-866

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

  5. 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

  6. Published

    Sæt fokus på din udbetalingsprofil: en sammenligning af moderne pensionsprodukter med markedsrente

    Linnemann, P., Bruhn, K. & Steffensen, Mogens, 2011, In: Finans/Invest. 6, p. 5-13

    Research output: Contribution to journal › Journal article › Communication

  7. Published

    Surplus-linked Life insurance

    Steffensen, Mogens, 2006, In: Scandinavian Actuarial Journal. 1, p. 1-22

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

  8. Published

    Surplus-linked Life Insurance

    Steffensen, Mogens, 2004, Afdeling for Anvendt Matematik og Statistik: <Forlag uden navn>, p. 1-20.

    Research output: Working paper › Research

  9. Published

    Stress scenario generation for solvency and risk management

    Christiansen, M. C., Henriksen, L. F. B., Schomacker, K. J. & Steffensen, Mogens, 2 Jul 2016, In: Scandinavian Actuarial Journal. 2016, 6, p. 502-529 28 p.

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

  10. 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

  11. Published

    Special Issue “Risks : Feature Papers 2021”

    Steffensen, Mogens, 2022, In: Risks. 10, 3, 2 p., 64.

    Research output: Contribution to journal › Editorial › Research › peer-review

  12. Published

    Smooth investment

    Bruhn, K., Jensen, N. R. & Steffensen, Mogens, Dec 2016, In: Annals of Finance. 12, 3-4, p. 335-361

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

  13. Published

    Safe-Side Scenarios for Financial and Biometrical Risk

    Christiansen, M. & Steffensen, Mogens, 2013, In: ASTIN Bulletin: The Journal of the IAA. 43, 3, p. 323-357

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

  14. 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

  15. Published

    Reserve-dependent surrender rates

    Gad, K. S. T., Juhl, J. & Steffensen, Mogens, Dec 2015, In: European Actuarial Journal. 5, 2, p. 283-308

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

  16. Published

    Ragnar Norberg (1945–2017): an actuary of a unique kind

    Steffensen, Mogens, 2019, In: Scandinavian Actuarial Journal. 2019, 8, p. 637-641

    Research output: Contribution to journal › Journal article › Research

  17. Published

    Quadratic Optimization of Life Insurance Payment Streams

    Steffensen, Mogens, 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-16.

    Research output: Working paper › Research

  18. Published

    Quadratic Optimization of Life Insurance Payment Streams

    Steffensen, Mogens, 2006, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 36, 1, p. 246-267

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

  19. Published

    Portfolio Problems Stopping at First Hitting Time with Applications to Default Risk.

    Steffensen, Mogens & Kraft, H., 2006, In: Mathematical Methods of Operations Research. 63, 1, p. 123-150

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

  20. Published

    Portfolio Optimization and Mortgage Choice

    Nordfang, M. & Steffensen, Mogens, Mar 2017, In: Journal of Risk and Financial Management. 10, 1, 21 p., 1.

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

  21. Published

    Polynomial Utility

    Lollike, A. S. & Steffensen, Mogens, 2023, In: International Journal of Theoretical and Applied Finance. 26, 06n07, 2350024.

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

  22. Published

    Personal non-life insurance decisions and the welfare loss from flat deductibles

    Steffensen, Mogens & Thøgersen, J., 2019, In: ASTIN Bulletin. 49, 1, p. 85-116 32 p.

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

  23. Published

    Personal finance and life insurance under separation of risk aversion and elasticity of substitution

    Jensen, N. R. & Steffensen, Mogens, 2015, In: Insurance: Mathematics and Economics. 62, p. 28–41

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

  24. 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

  25. 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

  26. Published

    Optimal dividend strategies of two collaborating businesses in the diffusion approximation model

    Gu, J. W., Steffensen, Mogens & Zheng, H., 1 May 2018, In: Mathematics of Operations Research. 43, 2, p. 377-398 22 p.

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

  27. 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

  28. 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

  29. 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

  30. 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

  31. 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

  32. 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

  33. 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

  34. 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

  35. 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

  36. 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

  37. 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

  38. 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

  39. 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

  40. 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

  41. 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

  42. 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

  43. 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

  44. 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

  45. 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

  46. 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

  47. 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

  48. 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

  49. 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

  50. 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

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