Mogens Steffensen

Refereed Publications:


  1. 2010. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. To appear in Journal of Economic Dynamics and Control. WP version available at SSRN:
  2. 2010. Household Consumption, Investment and Life Insurance. To appear in Insurance: Mathematics and Economics. WP version available at SSRN: (jointly with Kenneth Bruhn).
  3. 2009. Asset Allocation with Contagion and Explicit Bankruptcy Procedures. Journal of Mathematical Economics 45(1-2): 147-167. (Jointly with H. Kraft)
  4. 2009. A Two-Account Model for Pension Saving Contracts. Scandinavian Actuarial Journal 2009(3): 169 – 186. (Jointly with S. Waldstrøm)
  5. 2008. The Policyholder’s Static and Dynamic Decision Making of Life Insurance and Pension Payments. Blätter der DGVFM 29(2): 211-244. (Jointly with H. Kraft)
  6. 2008. Optimal investment and life insurance strategies under minimum and maximum constraints. Insurance: Mathematics and Economics 43(1): 15-28. (Jointly with P. H. Nielsen)
  7. 2008. Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach. ASTIN Bulletin 28(1):231-257. (Jointly with H. Kraft)
  8. 2008. How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach. Journal of Economic Dynamics and Control 32(2):348-385. (Jointly with H. Kraft)
  9. 2007. On Worst Case Portfolio Optimization. SIAM Journal on Control and Optimization 46(6): 2013-2030. (Joint with R. Korn)
  10. 2007. Bankruptcy, Counterparty Risk, and Contagion. Review of Finance 2007; 11, 209-252. (Jointly with H. Kraft)
  11. 2006. Quadratic Optimization of Life Insurance Payment Streams. ASTIN Bulletin 36 (1):245-267.
  12. 2006. Surplus-linked Life Insurance. Scandinavian Actuarial Journal, 2006(1):1-22.
  13. 2006. Portfolio Problems Stopping at First Hitting Time with Applications to Default Risk. Mathematical Methods of Operations Research, 63(1):123-150. (Jointly with H. Kraft)
  14. 2005. A Note on the Free Policy Reserve. Blätter der DGVFM, Band XXVII, Heft 2, Oktober 2005.
  15. 2005. What is the Time Value of a Stream of Investments? Journal of Applied Probability, 42, 861-866. (Jointly with R. Norberg)
  16. 2004. On Merton's Problem for Life Insurers. ASTIN Bulletin 34(1):5-25.
  17. 2002. Intervention Options in Life Insurance. Insurance: Mathematics and Economics 31:71-85.
  18. 2000. A No Arbitrage Approach to Thiele's Differential Equation. Insurance: Mathematics and Economics, 27: 201-214.


Working papers:


  1. 2010. Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets (June 7, 2010). Available at SSRN: (jointly with Holger Kraft and Frank Thomas Seifried)
  2. 2010. Some Solvable Portfolio Problems with Quadratic and Collective Objectives (March 23, 2010). Available at SSRN: (jointly with Esben Masotti Kryger)
  3. 2011. Safe-Side Scenarios for Financial and Biometrical Risk (January 11, 2011). Available at SSRN: (jointly with Marcus Christian Christiansen)



Books, book articles, and miscellaneous:

  1. 2009. Life Insurance. In: Encyklopedia of Quantitative Finance.
  2. 2008. Liv og død på formel. Finans/Invest, juni – nr. 4 – 2008. (Jointly with Thomas Møller)
  3. 2007. Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press. (Jointly with Thomas Møller)
  4. 2007. CDOs in Chains. Working paper. Willmott magazine, May 2007 – issue 29. (Jointly with J. de Kock and H. Kraft)
  5. 2007. Differential Equations in Finance and Life Insurance. To appear in: Jensen, B.S. and Palokangas, T. (2007) Stochastic Economic Dynamics. CBS Press.
  6. 2001. On Valuation and Control in Life and Pension Insurance. Ph.D. Thesis. Institute for Mathematical Sciences, University of Copenhagen.
  7. 2000. Contingent Claims Analysis in Life and Pension Insurance. Proceedings 10th AFIR Colloquium 2000, 587-603.