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. 2024
  2. 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

  3. 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

  4. 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

  5. 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

  6. 2023
  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 2022
  13. 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

  14. 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

  15. 2021
  16. 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

  17. Published

    A note on P- vs. Q-expected loss portfolio constraints

    Gu, J. W., Steffensen, Mogens & Zheng, H., 2021, In: Quantitative Finance. 21, 2, p. 263-270

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

  18. Published

    An intrinsic value approach to valuation with forward–backward loops in dividend paying stocks

    Nyegaard, A. K., Ott, J. R. & Steffensen, Mogens, 2021, In: Mathematics. 9, 13, 23 p., 1520.

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

  19. 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

  20. 2020
  21. 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

  22. Published

    Eliciting risk preferences and elasticity of substitution

    Burgaard, J. & Steffensen, Mogens, 2020, In: Decision Analysis. 17, 4, p. 314-329

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

  23. 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

  24. 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

  25. 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

  26. 2019
  27. Published

    Forward transition rates

    Buchardt, K., Furrer, Christian & Steffensen, Mogens, 2019, In: Finance and Stochastics. 23, 4, p. 975-999 25 p.

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

  28. 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

  29. 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

  30. 2018
  31. 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

  32. Published

    Around the Life Cycle: Deterministic Consumption-Investment Strategies

    Christiansen, M. C. & Steffensen, Mogens, 2018, In: North American Actuarial Journal. 22, 3, p. 491-507 17 p.

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

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