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Author ID: steffensen.mogens Recent zbMATH articles by "Steffensen, Mogens"
Published as: Steffensen, Mogens; Steffensen, M.
External Links: MGP · ORCID
Documents Indexed: 46 Publications since 2000, including 2 Books
Co-Authors: 39 Co-Authors with 38 Joint Publications
674 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

39 Publications have been cited 309 times in 221 Documents Cited by Year
Market-valuation methods in life and pension insurance. Zbl 1114.91062
Møller, Thomas; Steffensen, Mogens
24
2007
Inconsistent investment and consumption problems. Zbl 1336.91069
Kronborg, Morten Tolver; Steffensen, Mogens
21
2015
A dynamic programming approach to constrained portfolios. Zbl 1317.91067
Kraft, Holger; Steffensen, Mogens
19
2013
Household consumption, investment and life insurance. Zbl 1218.91045
Bruhn, Kenneth; Steffensen, Mogens
17
2011
Consumption-portfolio optimization with recursive utility in incomplete markets. Zbl 1257.91042
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens
17
2013
Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329
Kraft, Holger; Steffensen, Mogens
15
2008
On worst-case portfolio optimization. Zbl 1149.93038
Korn, Ralf; Steffensen, Mogens
14
2007
Intervention options in life insurance. Zbl 1013.62103
Steffensen, Mogens
14
2002
Optimal investment and life insurance strategies under minimum and maximum constraints. Zbl 1140.91425
Nielsen, Peter Holm; Steffensen, Mogens
12
2008
Portfolio problems stopping at first hitting time with application to default risk. Zbl 1136.91452
Kraft, Holger; Steffensen, Mogens
12
2006
A no arbitrage approach to Thiele’s differential equation. Zbl 0994.91032
Steffensen, Mogens
12
2000
Asset allocation with contagion and explicit bankruptcy procedures. Zbl 1153.91533
Kraft, Holger; Steffensen, Mogens
10
2009
Worst-case-optimal dynamic reinsurance for large claims. Zbl 1269.91044
Korn, Ralf; Menkens, Olaf; Steffensen, Mogens
10
2012
How to invest optimally in corporate bonds: a reduced-form approach. Zbl 1181.91296
Kraft, Holger; Steffensen, Mogens
9
2008
Optimal consumption, investment and life insurance with surrender option guarantee. Zbl 1398.91336
Kronborg, Morten Tolver; Steffensen, Mogens
9
2015
Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111
Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian
7
2014
Optimal consumption and investment under time-varying relative risk aversion. Zbl 1209.91153
Steffensen, Mogens
7
2011
Personal finance and life insurance under separation of risk aversion and elasticity of substitution. Zbl 1320.91080
Jensen, N. R.; Steffensen, M.
7
2015
On Merton’s problem for life insurers. Zbl 1095.91039
Steffensen, Mogens
7
2004
Bankruptcy, counterparty risk, and contagion. Zbl 1295.91097
Kraft, Holger; Steffensen, Mogens
7
2007
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model. Zbl 1435.91151
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
6
2018
A combined stochastic programming and optimal control approach to personal finance and pensions. Zbl 1318.91184
Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, Kourosh Marjani; Steffensen, Mogens
6
2015
Safe-side scenarios for financial and biometrical risk. Zbl 1290.91083
Christiansen, Marcus C.; Steffensen, Mogens
5
2013
Deterministic mean-variance-optimal consumption and investment. Zbl 1291.91191
Christiansen, Marcus; Steffensen, Mogens
5
2013
Quadratic optimization of life and pension insurance payments. Zbl 1162.91437
Steffensen, Mogens
5
2006
Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345
Christiansen, Marcus C.; Steffensen, Mogens
4
2018
Surplus-linked life insurance. Zbl 1142.91044
Steffensen, Mogens
4
2006
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
3
2020
What is the time value of a stream of investments? Zbl 1122.91037
Norberg, Ragnar; Steffensen, Mogens
3
2005
Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384
Steffensen, Mogens; Thøgersen, Julie
3
2019
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems. Zbl 1447.49057
Kryger, Esben; Nordfang, Maj-Britt; Steffensen, Mogens
3
2020
Differential systems in finance and life insurance. Zbl 1185.91196
Steffensen, Mogens
2
2007
Stress scenario generation for solvency and risk management. Zbl 1401.91117
Christiansen, Marcus Christian; Henriksen, Lars Frederik Brandt; Schomacker, Kristian Juul; Steffensen, Mogens
2
2016
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
2
2020
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
2
2019
Eliciting risk preferences and elasticity of substitution. Zbl 07354941
Burgaard, Johan; Steffensen, Mogens
1
2020
A two-account model of pension saving contracts. Zbl 1224.91086
Steffensen, Mogens; Waldstrøm, Stephan
1
2009
Reserve-dependent surrender rates. Zbl 1329.91077
Tågholt Gad, Kamille Sofie; Juhl, Jeppe; Steffensen, Mogens
1
2015
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
3
2020
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems. Zbl 1447.49057
Kryger, Esben; Nordfang, Maj-Britt; Steffensen, Mogens
3
2020
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
2
2020
Eliciting risk preferences and elasticity of substitution. Zbl 07354941
Burgaard, Johan; Steffensen, Mogens
1
2020
Personal non-life insurance decisions and the welfare loss from flat deductibles. Zbl 1419.91384
Steffensen, Mogens; Thøgersen, Julie
3
2019
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
2
2019
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model. Zbl 1435.91151
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
6
2018
Around the life cycle: deterministic consumption-investment strategies. Zbl 1416.91345
Christiansen, Marcus C.; Steffensen, Mogens
4
2018
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Stress scenario generation for solvency and risk management. Zbl 1401.91117
Christiansen, Marcus Christian; Henriksen, Lars Frederik Brandt; Schomacker, Kristian Juul; Steffensen, Mogens
2
2016
Inconsistent investment and consumption problems. Zbl 1336.91069
Kronborg, Morten Tolver; Steffensen, Mogens
21
2015
Optimal consumption, investment and life insurance with surrender option guarantee. Zbl 1398.91336
Kronborg, Morten Tolver; Steffensen, Mogens
9
2015
Personal finance and life insurance under separation of risk aversion and elasticity of substitution. Zbl 1320.91080
Jensen, N. R.; Steffensen, M.
7
2015
A combined stochastic programming and optimal control approach to personal finance and pensions. Zbl 1318.91184
Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, Kourosh Marjani; Steffensen, Mogens
6
2015
Reserve-dependent surrender rates. Zbl 1329.91077
Tågholt Gad, Kamille Sofie; Juhl, Jeppe; Steffensen, Mogens
1
2015
Markov chain modeling of policyholder behavior in life insurance and pension. Zbl 1304.91111
Henriksen, Lars Frederik Brandt; Nielsen, Jeppe Woetmann; Steffensen, Mogens; Svensson, Christian
7
2014
A dynamic programming approach to constrained portfolios. Zbl 1317.91067
Kraft, Holger; Steffensen, Mogens
19
2013
Consumption-portfolio optimization with recursive utility in incomplete markets. Zbl 1257.91042
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens
17
2013
Safe-side scenarios for financial and biometrical risk. Zbl 1290.91083
Christiansen, Marcus C.; Steffensen, Mogens
5
2013
Deterministic mean-variance-optimal consumption and investment. Zbl 1291.91191
Christiansen, Marcus; Steffensen, Mogens
5
2013
Worst-case-optimal dynamic reinsurance for large claims. Zbl 1269.91044
Korn, Ralf; Menkens, Olaf; Steffensen, Mogens
10
2012
Household consumption, investment and life insurance. Zbl 1218.91045
Bruhn, Kenneth; Steffensen, Mogens
17
2011
Optimal consumption and investment under time-varying relative risk aversion. Zbl 1209.91153
Steffensen, Mogens
7
2011
Asset allocation with contagion and explicit bankruptcy procedures. Zbl 1153.91533
Kraft, Holger; Steffensen, Mogens
10
2009
A two-account model of pension saving contracts. Zbl 1224.91086
Steffensen, Mogens; Waldstrøm, Stephan
1
2009
Optimal consumption and insurance: a continuous-time Markov chain approach. Zbl 1169.91329
Kraft, Holger; Steffensen, Mogens
15
2008
Optimal investment and life insurance strategies under minimum and maximum constraints. Zbl 1140.91425
Nielsen, Peter Holm; Steffensen, Mogens
12
2008
How to invest optimally in corporate bonds: a reduced-form approach. Zbl 1181.91296
Kraft, Holger; Steffensen, Mogens
9
2008
Market-valuation methods in life and pension insurance. Zbl 1114.91062
Møller, Thomas; Steffensen, Mogens
24
2007
On worst-case portfolio optimization. Zbl 1149.93038
Korn, Ralf; Steffensen, Mogens
14
2007
Bankruptcy, counterparty risk, and contagion. Zbl 1295.91097
Kraft, Holger; Steffensen, Mogens
7
2007
Differential systems in finance and life insurance. Zbl 1185.91196
Steffensen, Mogens
2
2007
Portfolio problems stopping at first hitting time with application to default risk. Zbl 1136.91452
Kraft, Holger; Steffensen, Mogens
12
2006
Quadratic optimization of life and pension insurance payments. Zbl 1162.91437
Steffensen, Mogens
5
2006
Surplus-linked life insurance. Zbl 1142.91044
Steffensen, Mogens
4
2006
What is the time value of a stream of investments? Zbl 1122.91037
Norberg, Ragnar; Steffensen, Mogens
3
2005
On Merton’s problem for life insurers. Zbl 1095.91039
Steffensen, Mogens
7
2004
Intervention options in life insurance. Zbl 1013.62103
Steffensen, Mogens
14
2002
A no arbitrage approach to Thiele’s differential equation. Zbl 0994.91032
Steffensen, Mogens
12
2000
all top 5

Cited by 334 Authors

22 Steffensen, Mogens
9 Korn, Ralf
8 Bo, Lijun
7 Christiansen, Marcus Christian
6 Capponi, Agostino
6 Kraft, Holger
6 Yang, Peng
6 Zeng, Yan
5 Buchardt, Kristian
5 Chen, An
5 Shen, Yang
5 Zagst, Rudi
4 Albrecher, Hansjörg
4 Chen, Zhiping
4 Delong, Łukasz
4 Fahrenwaldt, Matthias Albrecht
4 Furrer, Christian
4 Gu, Ailing
4 Jensen, Ninna Reitzel
4 Jin, Zhuo
4 Konicz, Agnieszka Karolina
3 Bacinello, Anna Rita
3 Djehiche, Boualem
3 Li, Danping
3 Lindensjö, Kristoffer
3 Meinerding, Christoph
3 Menkens, Olaf
3 Nielsen, Jens Perch
3 Pisinger, David
3 Pu, Jiangyan
3 Seifried, Frank Thomas
3 Siu, Tak Kuen
3 Viens, Frederi G.
3 Wei, Jiaqin
3 Yi, Bo
3 Zhao, Hui
2 Belak, Christoph
2 Berdjane, Belkacem
2 Biffis, Enrico
2 Branger, Nicole
2 Bruhn, Kenneth
2 Cani, Arian
2 Cui, Xiangyu
2 Dahl, Mikkel
2 Desmettre, Sascha
2 Dong, Yinghui
2 Escobar Anel, Marcos
2 Forsyth, Peter A.
2 Gad, Kamille Sofie Tågholt
2 Gerrard, Russell
2 Guillen, Montserrat
2 Henriksen, Lars Frederik Brandt
2 Hentschel, Felix
2 Hieber, Peter
2 Jarner, Søren Fiig
2 Kronborg, Morten Tolver
2 Liao, Huafu
2 Lin, Xiang
2 Liu, Haibo
2 Marekwica, Marcel
2 Møller, Thomas H.
2 Müller, Lukas
2 Nielsen, Jeppe Woetmann
2 Pérez-Marín, Ana María
2 Pergamenshchikov, Sergeĭ Markovich
2 Petersen, Kitt Skovsø
2 Stadje, Mitja
2 Vellekoop, Michel H.
2 Wagner, Joël
2 Wang, Ning
2 Weissensteiner, Alex
2 Weng, Chengguo
2 Young, Virginia R.
2 Zheng, Harry H.
1 Aase, Knut Kristian
1 Aguirre Nolsøe, Kim
1 Ahm, Sofie
1 Ahmad, Jamaal
1 Aït-Sahalia, Yacine
1 Armerin, Fredrik
1 Asmussen, Søren
1 Aurand, Joshua
1 Ayadi, Mohamed Ali
1 Azcue, Pablo
1 Bai, Manying
1 Bannister, Hugh
1 Barigou, Karim
1 Barro, Diana
1 Bayraktar, Erhan
1 Becherer, Dirk
1 Ben-Ameur, Hatem
1 Bensoussan, Alain
1 Brandimarte, Paolo
1 Brix, Kristoffer
1 Buckley, Winston S.
1 Burgaard, Johan
1 Burren, Daniel
1 Canestrelli, Elio
1 Carson, James M.
1 Castaneda, Ranu
...and 234 more Authors
all top 5

Cited in 53 Serials

41 Insurance Mathematics & Economics
33 Scandinavian Actuarial Journal
12 European Journal of Operational Research
10 Finance and Stochastics
8 Mathematical Methods of Operations Research
8 Quantitative Finance
8 North American Actuarial Journal
7 European Actuarial Journal
6 SIAM Journal on Control and Optimization
6 Journal of Economic Dynamics & Control
6 International Journal of Theoretical and Applied Finance
5 Journal of Computational and Applied Mathematics
5 OR Spectrum
4 ASTIN Bulletin
3 Applied Mathematics and Optimization
3 Automatica
3 The Annals of Applied Probability
3 Communications in Statistics. Theory and Methods
3 Mathematical Problems in Engineering
3 Mathematical Finance
2 Journal of Mathematical Economics
2 Mathematics of Operations Research
2 Operations Research
2 Optimization
2 Stochastic Processes and their Applications
2 Computational Management Science
2 Mathematics and Financial Economics
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Fuzzy Sets and Systems
1 Journal of Economic Theory
1 Statistics & Probability Letters
1 Operations Research Letters
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Automation and Remote Control
1 International Journal of Computer Mathematics
1 Applied Mathematical Finance
1 Complexity
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Discrete Dynamics in Nature and Society
1 The ANZIAM Journal
1 Review of Derivatives Research
1 Journal of Industrial and Management Optimization
1 Stochastics
1 Frontiers of Mathematics in China
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 SIAM Journal on Financial Mathematics
1 Science China. Mathematics
1 Decision Analysis
1 Probability, Uncertainty and Quantitative Risk

Citations by Year