Mogens Steffensen

Available identifiers

zbMath Open steffensen.mogensMaRDI QIDQ201414

List of research outcomes

Publication	Date of Publication	Type
Optimal reinsurance design under solvency constraints	2024-04-10	Paper
POLYNOMIAL UTILITY	2024-02-20	Paper
Equilibrium investment with random risk aversion	2024-01-31	Paper
Stable dividends under linear-quadratic optimisation	2023-09-25	Paper
Optimal consumption, investment, and insurance under state-dependent risk aversion	2023-06-26	Paper
On retirement time decision making	2021-10-19	Paper
Eliciting Risk Preferences and Elasticity of Substitution	2021-06-03	Paper
A note on - vs. -expected loss portfolio constraints	2021-06-02	Paper
Matrix representations of life insurance payments	2020-11-04	Paper
Nonrecursive separation of risk and time preferences	2020-09-17	Paper
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems	2020-08-03	Paper
Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model	2020-03-12	Paper
Risk and Insurance	2020-02-20	Paper
Forward transition rates	2019-09-19	Paper
Ragnar Norberg (1945–2017): an actuary of a unique kind	2019-09-10	Paper
Obituary: Ragnar Norberg (1945--2017)	2019-09-03	Paper
Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes	2019-05-11	Paper
PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES	2019-03-27	Paper
Around the Life Cycle: Deterministic Consumption-Investment Strategies	2018-10-22	Paper
Stress scenario generation for solvency and risk management	2018-07-13	Paper
Optimal consumption, investment and life insurance with surrender option guarantee	2018-07-10	Paper
Smooth investment	2017-05-23	Paper
Reserve-dependent surrender rates	2016-01-15	Paper
A combined stochastic programming and optimal control approach to personal finance and pensions	2015-08-03	Paper
A dynamic programming approach to constrained portfolios	2015-07-28	Paper
Inconsistent investment and consumption problems	2015-07-22	Paper
Personal finance and life insurance under separation of risk aversion and elasticity of substitution	2015-05-26	Paper
Markov chain modeling of policyholder behavior in life insurance and pension	2015-01-22	Paper
The policyholder's static and dynamic decision making of life insurance and pension payments	2014-08-05	Paper
Michael I. Taksar	2014-04-17	Paper
Deterministic mean-variance-optimal consumption and investment	2014-04-17	Paper
SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK	2014-02-27	Paper
Worst-case-optimal dynamic reinsurance for large claims	2013-08-05	Paper
Consumption-portfolio optimization with recursive utility in incomplete markets	2013-02-07	Paper
Household consumption, investment and life insurance	2011-08-01	Paper
Optimal consumption and investment under time-varying relative risk aversion	2011-03-31	Paper
A two-account model of pension saving contracts	2011-02-22	Paper
How to invest optimally in corporate bonds: a reduced-form approach	2010-01-19	Paper
Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach	2009-09-13	Paper
Quadratic Optimization of Life and Pension Insurance Payments	2009-06-15	Paper
https://portal.mardi4nfdi.de/entity/Q3606196	2009-02-26	Paper
Asset allocation with contagion and explicit bankruptcy procedures	2009-02-10	Paper
On Worst-Case Portfolio Optimization	2008-12-05	Paper
Optimal investment and life insurance strategies under minimum and maximum constraints	2008-08-18	Paper
Bankruptcy, Counterparty Risk, and Contagion*	2007-12-12	Paper
Surplus-linked life insurance	2007-05-29	Paper
https://portal.mardi4nfdi.de/entity/Q3438080	2007-05-10	Paper
Portfolio problems stopping at first hitting time with application to default risk	2006-08-18	Paper
What is the time value of a stream of investments?	2006-01-26	Paper
On Merton’s Problem for Life Insurers	2005-03-30	Paper
Intervention options in life insurance	2003-06-25	Paper
A no arbitrage approach to Thiele's differential equation	2001-09-09	Paper

Research outcomes over time

Doctoral students

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