Mogens Steffensen

University of Copenhagen

Universitetsparken 5

DK-2100 Copenhagen

Denmark

SCHOLARLY PAPERS

38

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SSRN CITATIONS
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Top 15,072

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74

CROSSREF CITATIONS

23

Scholarly Papers (38)

1.

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Number of pages: 32 Posted: 03 Jun 2010 Last Revised: 28 Jun 2011
Holger Kraft, Frank Thomas Seifried and Mogens Steffensen
Goethe University Frankfurt, University of Trier and University of Copenhagen
Downloads 885 (51,035)
Citation 15

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consumption-portfolio optimization, recursive utility, stochastic control approach, stochastic volatility, unspanned state process, Campbell-Shiller approximation

2.

Bankruptcy, Counterparty Risk, and Contagion

Number of pages: 65 Posted: 16 May 2006
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 473 (113,608)
Citation 9

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default risk, financial distress, default correlation, contagion, Markov chain

3.

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

EFA 2007 Ljubljana Meetings Paper
Number of pages: 37 Posted: 30 Jul 2006
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 455 (118,970)

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portfolio optimization, liquidation, reorganization, default, finite state Markov chain

4.

How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach

Number of pages: 34 Posted: 17 May 2005
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 441 (123,449)
Citation 2

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portfolio optimization, stochastic interest rates, default risk, recovery risk, beta distribution, joint default factor

5.

Some Solvable Portfolio Problems with Quadratic and Collective Objectives

Number of pages: 25 Posted: 28 Mar 2010
Esben Masotti Kryger and Mogens Steffensen
University of Copenhagen and University of Copenhagen
Downloads 398 (139,030)
Citation 38

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6.

Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach

Number of pages: 21 Posted: 21 Feb 2006
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 346 (162,349)
Citation 3

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Life insurance mathematics, Multi-state model, stochastic control, mortality, disability, unemployment risk

7.

Portfolio Problems Stopping at First Hitting Time with Application to Default Risk

Number of pages: 30 Posted: 03 Aug 2004
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 324 (174,148)

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8.

Life Insurance Demand under Health Shock Risk

SAFE Working Paper No. 40
Number of pages: 55 Posted: 09 Feb 2014 Last Revised: 11 Jan 2016
Tilburg University - Department of Econometrics & Operations Research, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 315 (179,366)
Citation 2

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Health shocks, Portfolio choice, Term life insurance, Mortality risk, Labor income risk

9.

Markov Chain Modeling of Policy Holder Behavior in Life Insurance and Pension

Number of pages: 24 Posted: 06 Jul 2013 Last Revised: 07 Oct 2013
University of Copenhagen, Edlund A/S, University of Copenhagen and Edlund A/S
Downloads 287 (197,813)
Citation 1

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surrender option, free policy option, ordinary differential eqaution, recovery, dependence

10.

On the Theory of Continuous-Time Recursive Utility

Number of pages: 27 Posted: 05 Nov 2011 Last Revised: 09 Dec 2011
Mogens Steffensen
University of Copenhagen
Downloads 270 (210,470)

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Consistency, stochastic differential utility, pseudo-Bellman equations, time-globality, linear homogeneity

11.

A Dynamic Programming Approach to Constrained Portfolios

Number of pages: 27 Posted: 07 Dec 2011 Last Revised: 18 Jul 2012
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 269 (211,210)
Citation 9

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Finance, Markov processes, Consumption-investment problems, Utility maximization

12.

Equilibrium Investment with Random Risk Aversion

Number of pages: 24 Posted: 17 Mar 2021 Last Revised: 28 Sep 2022
Sascha Desmettre and Mogens Steffensen
Johannes Kepler University Linz and University of Copenhagen
Downloads 267 (212,834)

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Certainty equivalents, Random risk aversion, Time-inconsistency, Equilibrium approach, Power and Exponential utility

13.

Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

Number of pages: 10 Posted: 05 Jun 2009
Mogens Steffensen
University of Copenhagen
Downloads 239 (237,439)
Citation 2

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Merton's problem, Hamilton-Jacobi-Bellman equation, marginal indirect utility, life-cycle investment

14.

The Policyholder's Static and Dynamic Decision Making of Life Insurance and Pension Payments

Number of pages: 29 Posted: 19 Feb 2008
Holger Kraft and Mogens Steffensen
Goethe University Frankfurt and University of Copenhagen
Downloads 220 (256,996)

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15.

Stress Scenario Generation for Solvency and Risk Management

Number of pages: 25 Posted: 30 Mar 2014
Heriot-Watt University, University of Copenhagen, Edlund A/S and University of Copenhagen
Downloads 215 (262,619)

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Life insurance, worst-case scenario, deterministic control, Solvency II, multi-state Markov chain

Consumption and Wage Humps in a Life-Cycle Model with Education

SAFE Working Paper No. 53
Number of pages: 49 Posted: 21 Jun 2014 Last Revised: 17 Apr 2019
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen
Downloads 208 (269,973)

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Education, leisure, consumption hump, wage hump

Consumption and Wage Humps in a Life-Cycle Model with Education

Posted: 11 Jun 2014 Last Revised: 02 Oct 2017
Goethe University Frankfurt, Copenhagen Business School, University of Trier and University of Copenhagen

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Education, leisure, consumption hump, wage hump

17.

Cdos in Chains

Number of pages: 9 Posted: 09 Feb 2007
Johan de Kock, Holger Kraft and Mogens Steffensen
Sanlam - Client Solutions and Research, Goethe University Frankfurt and University of Copenhagen
Downloads 206 (273,177)
Citation 2

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Markov chains, credit risk, credit derivatives, contagion

18.

Household Consumption, Investment and Life Insurance

Number of pages: 19 Posted: 12 Apr 2010
Kenneth Bruhn and Mogens Steffensen
Edlund A/S and University of Copenhagen
Downloads 203 (276,816)
Citation 3

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Personal finance, Household finance, Multi-state model, Stochastic control, Power utility

19.

A Combined Stochastic Programming and Optimal Control Approach to Personal Finance and Pensions

2015, OR Spectrum: 37(3):583-616
Number of pages: 37 Posted: 06 May 2014 Last Revised: 26 Jun 2015
Independent, Technical University of Denmark - Management Engineering, Technical University of Denmark and University of Copenhagen
Downloads 196 (285,769)
Citation 1

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dynamic programming, multi-period stochastic programming, power utility, personal finance, retirement

20.

How Sub-Optimal Are Age-Based Life-Cycle Investment Products?

Number of pages: 22 Posted: 10 Jul 2019 Last Revised: 30 Jul 2019
Gaurav Khemka, Mogens Steffensen and Geoff Warren
Australian National University (ANU), University of Copenhagen and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 194 (288,420)

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life-cycle models, portfolio optimization, investment product design, target date funds

21.

Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model

Mathematics of Operations Research
Number of pages: 32 Posted: 28 Jan 2016 Last Revised: 26 Feb 2017
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 179 (309,948)

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Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.

22.

Optimal Consumption, Investment, and Insurance Under State-Dependent Risk Aversion

Number of pages: 28 Posted: 21 Nov 2022 Last Revised: 23 Aug 2023
Mogens Steffensen and Julie Bjørner Søe
University of Copenhagen and University of Copenhagen
Downloads 149 (362,239)

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Multi-state models, the disability model, state-dependent utility, Hamilton-Jacobi-Bellman equation

23.

On retirement time decision making

Number of pages: 48 Posted: 09 Jan 2017 Last Revised: 11 May 2021
An Chen, Felix Hentschel and Mogens Steffensen
Ulm University - Institute of Insurance Science, Ulm University - Department of Mathematics and Economics and University of Copenhagen
Downloads 144 (372,413)
Citation 4

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optimal retirement time, decision making, mortality, optimal consumption, investment

24.

Around the Life-Cycle: Deterministic Consumption-Investment Strategies

Number of pages: 23 Posted: 21 Mar 2014 Last Revised: 20 Oct 2016
Marcus Christian Christiansen and Mogens Steffensen
Heriot-Watt University and University of Copenhagen
Downloads 141 (378,615)
Citation 2

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power utility optimization; defined contribution; deterministic control; Black-Scholes market; Pontryagin's maximum principle; suboptimal strategies

25.

Worst-Case-Optimal Dynamic Reinsurance for Large Claims

European Actuarial Journal, Volume 2, Number 1, pp. 21-48, July 2012
Number of pages: 35 Posted: 03 Apr 2012 Last Revised: 16 Sep 2013
Mogens Steffensen, Ralf Korn and Olaf Menkens
University of Copenhagen, University of Kaiserslautern - Department of Mathematics and Dublin City University - School of Mathematical Sciences
Downloads 130 (403,457)
Citation 1

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dynamic proportional reinsurance, reserve process, worst–case scenario approach, Cramer–Lundberg model, differential game, robust optimization

26.

Epidemiological Modeling in Life Insurance

Number of pages: 28 Posted: 07 Nov 2022
Laura Francis and Mogens Steffensen
University of Copenhagen and University of Copenhagen
Downloads 113 (448,294)

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Compartment models, Markov models, contagion, Kolmogorov's differential equations, state-wise reserves

27.

Approximations to Expected Utility Optimization in Continuous Time

Number of pages: 38 Posted: 03 Apr 2017
Maj-Britt Nordfang and Mogens Steffensen
Independent and University of Copenhagen
Downloads 113 (448,294)
Citation 2

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28.

Simple Solutions to an Extended Class of Time-Inconsistent Portfolio Problems

Number of pages: 28 Posted: 04 Apr 2017
Esben Masotti Kryger, Maj-Britt Nordfang and Mogens Steffensen
University of Copenhagen, Independent and University of Copenhagen
Downloads 111 (454,260)
Citation 1

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29.

Nonrecursive Separation of Risk and Time Preferences

Number of pages: 28 Posted: 20 Sep 2017
Matthias Fahrenwaldt, Ninna Jensen and Mogens Steffensen
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of Copenhagen and University of Copenhagen
Downloads 104 (476,117)
Citation 1

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time-consistency, time-global preferences, recursive utility, equilibrium strategies, generalized Hamilton–Jacobi–Bellman equation, continuous time, certainty equivalents

30.

Inconsistent Investment and Consumption Problems

http://link.springer.com/journal/245 (DOI: 10.1007/s00245-014-9267-z)
Number of pages: 36 Posted: 29 Mar 2011 Last Revised: 11 Aug 2020
Morten Tolver Kronborg and Mogens Steffensen
ATP and University of Copenhagen
Downloads 101 (485,749)
Citation 6

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Time consistency; time inconsistency; stochastic control; dynamic programming; pseudo Hamilton-Jacobi-Bellman equation; mean-variance; mean-standard deviation; state dependent risk aversion.

31.

Optimal Portfolio Liquidation and Dynamic Mean-Variance Criterion

Number of pages: 18 Posted: 09 Nov 2015
Jiawen Gu and Mogens Steffensen
Southern University of Science and Technology and University of Copenhagen
Downloads 83 (550,147)
Citation 2

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32.

Polynomial Utility

Number of pages: 30 Posted: 05 Jan 2022
Alexander Sevel Lollike and Mogens Steffensen
University of Copenhagen and University of Copenhagen
Downloads 82 (554,132)

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Dynamic programming, Optimal Asset Allocation, Expected Utility Theory, Polynomial Expansions

33.

What is the Value of the Annuity Market?

Number of pages: 27 Posted: 13 Dec 2022 Last Revised: 23 Aug 2023
Mogens Steffensen and Julie Bjørner Søe
University of Copenhagen and University of Copenhagen
Downloads 79 (566,477)

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consumption, investment, retirement, life annuity, life insurance

34.

A Buy-Hold-Sell Pension Saving Strategy

Number of pages: 27 Posted: 24 Jul 2023
Gaurav Khemka, Mogens Steffensen and Geoff Warren
Australian National University (ANU), University of Copenhagen and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 55 (683,595)

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Lifecycle investing, pensions, retirement savings, portfolio construction, withdrawals

35.

A Note on P- vs. Q-Expected Loss Portfolio Constraints

Number of pages: 15 Posted: 19 Mar 2019
Jiawen Gu, Mogens Steffensen and Harry Zheng
Southern University of Science and Technology, University of Copenhagen and Imperial College London - Mathematical Finance
Downloads 40 (781,029)
Citation 3

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Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfi lling P-Risk Constraint

36.

Optimal Consumption, Investment and Life Insurance With Surrender Option Guarantee

Taylor & Francis in Scandinavian Actuarial Journal, 2013, http://www.tandfonline.com (DOI: 10.1080/03461238.2013.775964)
Number of pages: 26 Posted: 28 Sep 2020
Morten Tolver Kronborg and Mogens Steffensen
ATP and University of Copenhagen
Downloads 24 (914,221)

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Stochastic Control; Martingale Method; Life Insurance; Rate Guarantee; Option Based Portfolio Insurance; CRRA Utility

37.

Optimal Smooth Consumption and Annuity Design

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Posted: 09 Dec 2012 Last Revised: 21 Mar 2014
Kenneth Bruhn and Mogens Steffensen
Edlund A/S and University of Copenhagen

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stochastic control, quadratic optimization, linear regulation, consumption smoothing, formula based smoothed investment-linked annuities

38.

Safe-Side Scenarios for Financial and Biometrical Risk

Christiansen, M.C. and M. Steffensen, 2013. Safe-side scenarios for financial and biometrical risk. ASTIN Bulletin 43/3, 323-357.
Posted: 12 Jan 2011 Last Revised: 28 Sep 2015
Marcus Christian Christiansen and Mogens Steffensen
Heriot-Watt University and University of Copenhagen

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Worst case scenarios, Interest and transition rates, Dependence, First order basis, Capital requirement