Mogens Steffensen

Mogens Steffensen

Head of Department

ORCID: 0000-0003-2753-5374

Publication year:
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1 - 25 out of 76Page size: 25
  1. 1998
  2. Published

    A no arbitrage approach to Thiele's differential equation

    Steffensen, Mogens, 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, p. 20.

    Research output: Working paper › Research

  3. 2000
  4. Published

    A no arbitrage approach to Thiele's differential equation

    Steffensen, Mogens, 2000, In: Insurance: Mathematics and Economics. 27, p. 201-214

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

  5. 2002
  6. 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

  7. 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

  8. 2003
  9. 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

  10. 2004
  11. Published

    A Note on the Free Policy Reserve

    Steffensen, Mogens, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-10.

    Research output: Working paper › Research

  12. 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

  13. 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

  14. 2005
  15. Published

    A Note on the Free Policy Reserve

    Steffensen, Mogens, 2005, In: Blatter der Deutschen Gesellschaft fur Versicherungsmathematik. 27, 2, p. 185-198

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

  16. 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

  17. 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

  18. 2006
  19. 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

  20. Published

    An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion

    Steffensen, Mogens & Kraft, H., 2006.

    Research output: Working paper › Research

  21. Published

    Bankruptcy, Counterparty Risk, and Contagion

    Steffensen, Mogens & Kraft, H., 2006.

    Research output: Working paper › Research

  22. 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

  23. 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

  24. 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

  25. 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

  26. 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

  27. 2007
  28. Published

    Bankruptcy, Counterparty Risk, and Contagion

    Steffensen, Mogens & Kraft, H., 2007, In: Review of Finance. 11, p. 209-252 43 p.

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

  29. Published

    CDOs in Chains

    Steffensen, Mogens, 2007, In: Wilmott. 29

    Research output: Contribution to journal › Journal article › Research

  30. Published

    Differential Equations in Finance and Life Insurance

    Steffensen, Mogens, 2007, Stochastic Economic Dynamics. Jensej, B. S. & Palokangas, T. (eds.). Copenhagen Business School Press, p. 317-360 43 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  31. 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

  32. 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

  33. 2008
  34. 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

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