Details about Steven Vanduffel

Access statistics for papers by Steven Vanduffel.

Last updated 2025-04-06. Update your information in the RePEc Author Service.

Short-id: pva754

Working Papers

2024

1. Modeling coskewness with zero correlation and correlation with zero coskewness
   Papers, arXiv.org
2. Optimal Transport Divergences induced by Scoring Functions
   Papers, arXiv.org View citations (2)
3. Optimal payoff under Bregman-Wasserstein divergence constraints
   Papers, arXiv.org

2023

4. Coskewness under dependence uncertainty
   Papers, arXiv.org
   See also Journal Article Coskewness under dependence uncertainty, Statistics & Probability Letters, Elsevier (2023) (2023)
5. Cost-efficient Payoffs under Model Ambiguity
   Papers, arXiv.org
   See also Journal Article Cost-efficient payoffs under model ambiguity, Finance and Stochastics, Springer (2024) View citations (1) (2024)
6. Robust Distortion Risk Measures
   Papers, arXiv.org View citations (13)
   See also Journal Article Robust distortion risk measures, Mathematical Finance, Wiley Blackwell (2024) View citations (1) (2024)

2021

7. Beta-Adjusted Covariance Estimation
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration

2019

8. The variance implied conditional correlation
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
   See also Journal Article The variance implied conditional correlation, The European Journal of Finance, Taylor & Francis Journals (2020) (2020)

2018

9. Measuring Portfolio Risk Under Partial Dependence Information
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (12)
   Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (2)
   See also Journal Article MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION, Journal of Risk & Insurance, The American Risk and Insurance Association (2018) View citations (12) (2018)

2015

10. Optimal payoffs under state-dependent preferences
    Post-Print, HAL View citations (12)
    Also in Papers, arXiv.org (2014) View citations (2)
    See also Journal Article Optimal payoffs under state-dependent preferences, Quantitative Finance, Taylor & Francis Journals (2015) View citations (10) (2015)

2014

11. Optimal portfolios under worst-case scenarios
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article Optimal portfolios under worst-case scenarios, Quantitative Finance, Taylor & Francis Journals (2014) View citations (3) (2014)
12. Rationalizing Investors Choice
    Papers, arXiv.org View citations (1)
    See also Journal Article Rationalizing investors’ choices, Journal of Mathematical Economics, Elsevier (2015) View citations (11) (2015)

2013

13. Optimal payoffs under state-dependent constraints
    Post-Print, HAL View citations (2)

2009

14. Buy-and-Hold Strategies and Comonotonic Approximations
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia View citations (1)
15. Optimal capital allocation principles
    MPRA Paper, University Library of Munich, Germany View citations (13)
    See also Journal Article Optimal Capital Allocation Principles, Journal of Risk & Insurance, The American Risk and Insurance Association (2012) View citations (95) (2012)

Journal Articles

2025

1. Linear risk sharing in intergenerational pension
   Scandinavian Actuarial Journal, 2025, 2025, (3), 237-270
2. Optimal payoffs under smooth ambiguity
   European Journal of Operational Research, 2025, 320, (3), 754-764 View citations (1)

2024

3. Cost-efficient payoffs under model ambiguity
   Finance and Stochastics, 2024, 28, (4), 965-997 View citations (1)
   See also Working Paper Cost-efficient Payoffs under Model Ambiguity, Papers (2023) (2023)
4. Implied value-at-risk and model-free simulation
   Annals of Operations Research, 2024, 336, (1), 925-943
5. Robust distortion risk measures
   Mathematical Finance, 2024, 34, (3), 774-818 View citations (1)
   See also Working Paper Robust Distortion Risk Measures, Papers (2023) View citations (13) (2023)
6. Up- and down-correlations in normal variance mixture models
   Statistics & Probability Letters, 2024, 205, (C)

2023

7. Coskewness under dependence uncertainty
   Statistics & Probability Letters, 2023, 199, (C)
   See also Working Paper Coskewness under dependence uncertainty, Papers (2023) (2023)
8. ETF Basket-Adjusted Covariance estimation
   Journal of Econometrics, 2023, 235, (2), 1144-1171
9. Optimal multivariate financial decision making
   European Journal of Operational Research, 2023, 307, (1), 468-483
10. The impact of correlation on (Range) Value-at-Risk
    Scandinavian Actuarial Journal, 2023, 2023, (6), 531-564 View citations (2)

2022

11. Fair allocation of indivisible goods with minimum inequality or minimum envy
    European Journal of Operational Research, 2022, 297, (2), 741-752 View citations (1)
12. The optimal payoff for a Yaari investor
    Quantitative Finance, 2022, 22, (10), 1839-1852 View citations (2)

2021

13. A model-free approach to multivariate option pricing
    Review of Derivatives Research, 2021, 24, (2), 135-155
14. When do two- or three-fund separation theorems hold?
    Quantitative Finance, 2021, 21, (11), 1869-1883 View citations (1)

2020

15. Correlation matrices with average constraints
    Statistics & Probability Letters, 2020, 165, (C)
16. On the computation of Wasserstein barycenters
    Journal of Multivariate Analysis, 2020, 176, (C) View citations (2)
17. On the construction of optimal payoffs
    Decisions in Economics and Finance, 2020, 43, (1), 129-153 View citations (10)
18. Optimal insurance in the presence of multiple policyholders
    Journal of Economic Behavior & Organization, 2020, 180, (C), 638-656 View citations (7)
19. Range Value-at-Risk bounds for unimodal distributions under partial information
    Insurance: Mathematics and Economics, 2020, 94, (C), 9-24 View citations (6)
20. The variance implied conditional correlation
    The European Journal of Finance, 2020, 26, (2-3), 200-222
    See also Working Paper The variance implied conditional correlation, ULB Institutional Repository (2019) (2019)

2019

21. A new efficiency test for ranking investments: Application to hedge fund performance
    Economics Letters, 2019, 181, (C), 203-207 View citations (1)
22. Closed‐form approximations for spread options in Lévy markets
    Applied Stochastic Models in Business and Industry, 2019, 35, (3), 732-746 View citations (1)
23. Equivalent distortion risk measures on moment spaces
    Statistics & Probability Letters, 2019, 146, (C), 187-192
24. Optimal portfolio choice with benchmarks
    Journal of the Operational Research Society, 2019, 70, (10), 1600-1621 View citations (2)
25. Optimal strategies under Omega ratio
    European Journal of Operational Research, 2019, 275, (2), 755-767 View citations (12)

2018

26. Block rearranging elements within matrix columns to minimize the variability of the row sums
    4OR, 2018, 16, (1), 31-50 View citations (5)
27. MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION
    Journal of Risk & Insurance, 2018, 85, (3), 843-863 View citations (12)
    See also Working Paper Measuring Portfolio Risk Under Partial Dependence Information, LIDAM Reprints ISBA (2018) View citations (12) (2018)
28. OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (03), 1-22
29. Optimal portfolios under a correlation constraint
    Quantitative Finance, 2018, 18, (3), 333-345 View citations (5)
30. Rearrangement algorithm and maximum entropy
    Annals of Operations Research, 2018, 261, (1), 107-134 View citations (6)
31. Upper bounds for strictly concave distortion risk measures on moment spaces
    Insurance: Mathematics and Economics, 2018, 82, (C), 141-151 View citations (9)

2017

32. A stein type lemma for the multivariate generalized hyperbolic distribution
    European Journal of Operational Research, 2017, 261, (2), 606-612 View citations (4)
33. How robust is the value-at-risk of credit risk portfolios?
    The European Journal of Finance, 2017, 23, (6), 507-534 View citations (20)
34. Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
    North American Actuarial Journal, 2017, 21, (1), 63-86 View citations (7)
35. My introduction to copulas: An interview with Roger Nelsen
    Dependence Modeling, 2017, 5, (1), 88-98 View citations (1)
36. Reduction of Value-at-Risk bounds via independence and variance information
    Scandinavian Actuarial Journal, 2017, 2017, (3), 245-266 View citations (2)
37. Risk bounds for factor models
    Finance and Stochastics, 2017, 21, (3), 631-659 View citations (23)
38. The Vine Philosopher: An interview with Roger Cooke
    Dependence Modeling, 2017, 5, (1), 256-267 View citations (1)
39. Value-at-Risk Bounds With Variance Constraints
    Journal of Risk & Insurance, 2017, 84, (3), 923-959 View citations (24)

2016

40. Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
    Dependence Modeling, 2016, 4, (1), 14 View citations (2)
41. Stat Trek. An interview with Christian Genest
    Dependence Modeling, 2016, 4, (1), 14

2015

42. A new approach to assessing model risk in high dimensions
    Journal of Banking & Finance, 2015, 58, (C), 166-178 View citations (30)
43. Dependence Uncertainty Bounds for the Expectile of a Portfolio
    Risks, 2015, 3, (4), 1-25 View citations (4)
44. Optimal payoffs under state-dependent preferences
    Quantitative Finance, 2015, 15, (7), 1157-1173 View citations (10)
    See also Working Paper Optimal payoffs under state-dependent preferences, Post-Print (2015) View citations (12) (2015)
45. Quantile of a Mixture with Application to Model Risk Assessment
    Dependence Modeling, 2015, 3, (1), 10 View citations (4)
46. Rationalizing investors’ choices
    Journal of Mathematical Economics, 2015, 59, (C), 10-23 View citations (11)
    See also Working Paper Rationalizing Investors Choice, Papers (2014) View citations (1) (2014)
47. Some Stein-type inequalities for multivariate elliptical distributions and applications
    Statistics & Probability Letters, 2015, 97, (C), 54-62 View citations (4)

2014

48. Explicit Representation of Cost-Efficient Strategies
    Finance, 2014, 35, (2), 5-55 View citations (22)
49. Financial Bounds for Insurance Claims
    Journal of Risk & Insurance, 2014, 81, (1), 27-56 View citations (8)
50. Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection
    European Journal of Operational Research, 2014, 234, (2), 469-480 View citations (17)
51. Optimal portfolios under worst-case scenarios
    Quantitative Finance, 2014, 14, (4), 657-671 View citations (3)
    See also Working Paper Optimal portfolios under worst-case scenarios, ULB Institutional Repository (2014) View citations (3) (2014)
52. USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
    ASTIN Bulletin, 2014, 44, (2), 237-276 View citations (3)

2013

53. Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
    Scandinavian Actuarial Journal, 2013, 2013, (2), 103-118
54. Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
    North American Actuarial Journal, 2013, 17, (1), 98-100

2012

55. A provisioning problem with stochastic payments
    European Journal of Operational Research, 2012, 221, (2), 445-453 View citations (3)
56. AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-19 View citations (7)
57. Optimal Capital Allocation Principles
    Journal of Risk & Insurance, 2012, 79, (1), 1-28 View citations (95)
    See also Working Paper Optimal capital allocation principles, MPRA Paper (2009) View citations (13) (2009)

2011

58. Bounds for some general sums of random variables
    Statistics & Probability Letters, 2011, 81, (3), 382-391 View citations (1)
59. Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
    North American Actuarial Journal, 2011, 15, (1), 77-96 View citations (3)

2010

60. Thou shalt buy ‘simple’ structured products only
    Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)
61. “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009
    North American Actuarial Journal, 2010, 14, (2), 278-279

2009

62. A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
    Applied Mathematical Finance, 2009, 16, (4), 315-330 View citations (6)
63. Bounds and approximations for sums of dependent log-elliptical random variables
    Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 View citations (13)
64. Correlation order, merging and diversification
    Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 View citations (8)

2008

65. Analytic bounds and approximations for annuities and Asian options
    Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 View citations (12)
66. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (30)
67. On the parameterization of the CreditRisk + model for estimating credit portfolio risk
    Insurance: Mathematics and Economics, 2008, 42, (2), 736-745 View citations (12)
68. Some results on the CTE-based capital allocation rule
    Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 View citations (35)

2007

69. Comonotonicity
    Review of Business and Economic Literature, 2007, LII, (2), 265-278 View citations (54)

2005

70. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (27)
71. Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
    North American Actuarial Journal, 2005, 9, (4), 71-82 View citations (6)
72. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
73. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114

2003

74. The hurdle-race problem
    Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)

2001

75. How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
    Review of Business and Economic Literature, 2001, XLVI, (4), 533-544

Books

2024

1. Model Risk Management
   Cambridge Books, Cambridge University Press