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Mogens Steffensen
Mogens Steffensen
Professor of insurance mathematics at Department of Mathematical Sciences, University of Copenhagen
Verified email at math.ku.dk - Homepage
Title
Cited by
Cited by
Year
Market-valuation methods in life and pension insurance
T Møller, M Steffensen
Cambridge University Press, 2007
1582007
Consumption-portfolio optimization with recursive utility in incomplete markets
H Kraft, FT Seifried, M Steffensen
Finance and Stochastics 17, 161-196, 2013
782013
Bankruptcy, counterparty risk, and contagion
H Kraft, M Steffensen
Review of Finance 11 (2), 209-252, 2007
682007
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
E Kryger, MB Nordfang, M Steffensen
Mathematical Methods of Operations Research 91 (3), 405-438, 2020
66*2020
Intervention options in life insurance
M Steffensen
Insurance: Mathematics and Economics 31 (1), 71-85, 2002
662002
A dynamic programming approach to constrained portfolios
H Kraft, M Steffensen
European Journal of Operational Research 229 (2), 453-461, 2013
582013
Optimal consumption and insurance: A continuous-time Markov chain approach
H Kraft, M Steffensen
ASTIN Bulletin: The Journal of the IAA 38 (1), 231-257, 2008
582008
Household consumption, investment and life insurance
K Bruhn, M Steffensen
Insurance: Mathematics and Economics 48 (3), 315-325, 2011
562011
A no arbitrage approach to Thiele’s differential equation
M Steffensen
Insurance: Mathematics and Economics 27 (2), 201-214, 2000
482000
Risk and insurance
S Asmussen, M Steffensen
Springer International Publishing, 2020
45*2020
Portfolio problems stopping at first hitting time with application to default risk
H Kraft, M Steffensen
Mathematical Methods of Operations Research 63, 123-150, 2006
412006
On worst-case portfolio optimization
R Korn, M Steffensen
SIAM Journal on Control and Optimization 46 (6), 2013-2030, 2007
402007
Inconsistent investment and consumption problems
MT Kronborg, M Steffensen
Applied Mathematics & Optimization 71, 473-515, 2015
392015
Life insurance demand under health shock risk
C Hambel, H Kraft, LS Schendel, M Steffensen
Journal of Risk and Insurance 84 (4), 1171-1202, 2017
38*2017
Optimal investment and life insurance strategies under minimum and maximum constraints
PH Nielsen, M Steffensen
Insurance: Mathematics and Economics 43 (1), 15-28, 2008
382008
Surplus-linked life insurance
M Steffensen
Scandinavian actuarial journal 2006 (1), 1-22, 2006
36*2006
A combined stochastic programming and optimal control approach to personal finance and pensions
AK Konicz, D Pisinger, KM Rasmussen, M Steffensen
OR spectrum 37, 583-616, 2015
352015
Optimal consumption, investment and life insurance with surrender option guarantee
MT Kronborg, M Steffensen
Scandinavian Actuarial Journal 2015 (1), 59-87, 2015
352015
Optimal consumption and investment under time-varying relative risk aversion
M Steffensen
Journal of Economic Dynamics and Control 35 (5), 659-667, 2011
332011
Asset allocation with contagion and explicit bankruptcy procedures
H Kraft, M Steffensen
Journal of Mathematical Economics 45 (1-2), 147-167, 2009
332009
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