Mogens Steffensen

University of Copenhagen

Universitetsparken 5

DK-2100 Copenhagen

Denmark

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 8,443

SSRN RANKINGS

Top 8,443

in Total Papers Downloads

5,417

SSRN CITATIONS
Rank 20,480

SSRN RANKINGS

Top 20,480

in Total Papers Citations

15

CROSSREF CITATIONS

22

Scholarly Papers (31)

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 704 (35,731)
Citation 7

Abstract:

Loading...

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 431 (67,059)
Citation 2

Abstract:

Loading...

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 418 (69,556)

Abstract:

Loading...

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 376 (78,779)
Citation 1

Abstract:

Loading...

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

5.

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 306 (99,424)

Abstract:

Loading...

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

6.

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

EFA 2004 Maastricht Meetings Paper No. 3210
Number of pages: 30 Posted: 03 Aug 2004
Mogens Steffensen and Holger Kraft
University of Copenhagen and Goethe University Frankfurt
Downloads 290 (105,417)

Abstract:

Loading...

7.

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 266 (115,508)
Citation 23

Abstract:

Loading...

8.
Downloads 240 (128,370)
Citation 4

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
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 240 (127,853)

Abstract:

Loading...

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

Life Insurance Demand Under Health Shock Risk

Journal of Risk and Insurance, Vol. 84, Issue 4, pp. 1171-1202, 2017
Number of pages: 32 Posted: 05 Nov 2017
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and University of Copenhagen
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

9.

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 220 (139,832)
Citation 1

Abstract:

Loading...

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

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 220 (139,832)

Abstract:

Loading...

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

11.

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 194 (157,437)

Abstract:

Loading...

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

12.

Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

Number of pages: 10 Posted: 05 Jun 2009
Mogens Steffensen
University of Copenhagen
Downloads 181 (167,588)
Citation 1

Abstract:

Loading...

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

13.

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 177 (171,008)
Citation 2

Abstract:

Loading...

Markov chains, credit risk, credit derivatives, contagion

14.

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 156 (190,601)

Abstract:

Loading...

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 154 (193,044)

Abstract:

Loading...

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

Abstract:

Loading...

Education, leisure, consumption hump, wage hump

16.

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 140 (208,295)

Abstract:

Loading...

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

17.

Household Consumption, Investment and Life Insurance

Number of pages: 19 Posted: 12 Apr 2010
Kenneth Bruhn and Mogens Steffensen
University of Copenhagen - Faculty of Science and University of Copenhagen
Downloads 138 (210,805)
Citation 2

Abstract:

Loading...

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

18.

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 134 (215,826)

Abstract:

Loading...

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

19.

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 134 (215,826)

Abstract:

Loading...

20.

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 105 (258,348)
Citation 1

Abstract:

Loading...

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

21.

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 92 (281,937)
Citation 1

Abstract:

Loading...

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

22.

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 75 (319,304)
Citation 1

Abstract:

Loading...

23.

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 67 (342,335)

Abstract:

Loading...

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

24.

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 61 (356,435)

Abstract:

Loading...

25.

Precommitted, Naive and Sophisticated Retirement Time Decision Making

Number of pages: 44 Posted: 09 Jan 2017
An Chen, Felix Hentschel and Mogens Steffensen
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Copenhagen
Downloads 58 (365,395)
Citation 1

Abstract:

Loading...

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

26.

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 42 (419,871)
Citation 1

Abstract:

Loading...

27.

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 27 (486,177)

Abstract:

Loading...

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

28.

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 11 (580,472)

Abstract:

Loading...

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

29.

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
University of Copenhagen - Faculty of Science and University of Copenhagen

Abstract:

Loading...

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

30.

Inconsistent Investment and Consumption Problems

Posted: 29 Mar 2011
Morten Tolver Kronborg and Mogens Steffensen
ATP and University of Copenhagen

Abstract:

Loading...

Time Inconsistent, Mean-Variance, State Dependent Risk Aversion, Stochastic Control, Asset Allocation, Consumption

31.

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

Abstract:

Loading...

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