Mogens Steffensen
Head of Department
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 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
- 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
- Published
Surplus-linked Life insurance
Steffensen, Mogens, 2006, In: Scandinavian Actuarial Journal. 1, p. 1-22Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 123-150Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Quadratic Optimization of Life Insurance Payment Streams
Steffensen, Mogens, 2006, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 36, 1, p. 246-267Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bankruptcy, Counterparty Risk, and Contagion
Steffensen, Mogens & Kraft, H., 2006.Research output: Working paper › Research
- Published
An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion
Steffensen, Mogens & Kraft, H., 2006.Research output: Working paper › Research
- Published
A Two-Account Model of Pension Saving Contracts.
Steffensen, Mogens & Waldstrøm, S., 2006, Laboratory of Actuarial Mathematics / Copenhagen University, p. 1-16.Research output: Working paper › Research
ID: 3767
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226
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Portfolio Optimization and Mortgage Choice
Research output: Contribution to journal › Journal article › Research › peer-review
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213
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Matrix representations of life insurance payments
Research output: Contribution to journal › Journal article › Research › peer-review
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207
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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