Mogens Steffensen

University of Copenhagen

Universitetsparken 5

DK-2100 Copenhagen

Denmark

SCHOLARLY PAPERS

33

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SSRN CITATIONS
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Top 15,288

in Total Papers Citations

51

CROSSREF CITATIONS

24

Scholarly Papers (33)

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 763 (40,334)
Citation 12

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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 443 (80,593)
Citation 4

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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 427 (84,186)

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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 390 (93,456)

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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 316 (118,311)
Citation 3

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

6.

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 304 (123,306)
Citation 30

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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 298 (125,947)

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8.
Downloads 258 (146,178)
Citation 9

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 258 (145,616)

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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 6
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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 236 (159,429)
Citation 6

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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 234 (160,788)

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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 212 (176,631)
Citation 1

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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 204 (183,052)
Citation 1

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

13.

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 183 (201,910)

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14.

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 178 (206,817)
Citation 2

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Markov chains, credit risk, credit derivatives, contagion

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 169 (216,458)

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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

16.

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 166 (219,550)

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

17.

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 163 (223,004)
Citation 3

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

18.

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 153 (235,084)

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

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 147 (243,031)
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 120 (283,976)

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

21.

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 110 (301,804)
Citation 2

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

22.

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
University of Ulm, University of Ulm - Department of Mathematics and Economics and University of Copenhagen
Downloads 97 (328,310)
Citation 1

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

23.

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 96 (330,438)
Citation 1

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

24.

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 91 (341,846)
Citation 1

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25.

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 84 (359,186)
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.

26.

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 76 (380,660)
Citation 1

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27.

Optimal Investment with Uncertain Risk Aversion

Number of pages: 11 Posted: 17 Mar 2021
Sascha Desmettre and Mogens Steffensen
Johannes Kepler University Linz and University of Copenhagen
Downloads 63 (421,043)

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

28.

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 47 (480,912)
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 41 (507,302)
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.

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 18 (641,994)

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

31.

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 13 (678,486)

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

32.

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

33.

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