5 citations · 7 across the 8 of their papers we have counts for
9 papers
Equilibrium investment under dynamic preference uncertainty
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process…
When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss…
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This constructio…
Stable Dividends under Linear-Quadratic Optimization
Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a pote…
Optimal reinsurance design under solvency constraints
Benjamin Avanzi, Hayden Lau, Mogens Steffensen
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio probl…
Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes
Mogens Bladt, Søren Asmussen, Mogens Steffensen
A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for t…
Forward transition rates
K. Buchardt, C. Furrer, M. Steffensen
The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate…
Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion
Jia-Wen Gu, Mogens Steffensen
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We gi…
Reserve-Dependent Surrender
Kamille Sofie Tågholt Gad, Jeppe Juhl, Mogens Steffensen
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrar…