Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2024
- 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
Individual life insurance during epidemics
Francis, L. & Steffensen, Mogens, 2024, In: Annals of Actuarial Science. 18, p. 152–175Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
- 2023
- 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
- Published
Continuing Risks
Constantinescu, C., Guillen, M. & Steffensen, Mogens, 2023, In: Risks. 11, 1, 2 p., 10.Research output: Contribution to journal › Editorial › Research › peer-review
- Published
Equilibrium investment with random risk aversion
Desmettre, S. & Steffensen, Mogens, 2023, In: Mathematical Finance. 33, 3, p. 946-975 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
- 2022
- 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
ID: 3767
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Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
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209
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Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
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204
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Personal non-life insurance decisions and the welfare loss from flat deductibles
Research output: Contribution to journal › Journal article › Research › peer-review
Published