Details about Steven Vanduffel
Access statistics for papers by Steven Vanduffel.
Last updated 2017-09-24. Update your information in the RePEc Author Service.
Short-id: pva754
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Working Papers
2015
- Optimal payoffs under state-dependent preferences
Post-Print, HAL View citations (10)
Also in Papers, arXiv.org (2014) View citations (2)
See also Journal Article in Quantitative Finance (2015)
2014
- Optimal portfolios under worst-case scenarios
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
See also Journal Article in Quantitative Finance (2014)
- Rationalizing Investors Choice
Papers, arXiv.org View citations (1)
See also Journal Article in Journal of Mathematical Economics (2015)
2013
- Optimal payoffs under state-dependent constraints
Post-Print, HAL View citations (1)
2009
- Buy-and-Hold Strategies and Comonotonic Approximations
Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia View citations (1)
- Optimal capital allocation principles
MPRA Paper, University Library of Munich, Germany View citations (12)
See also Journal Article in Journal of Risk & Insurance (2012)
Journal Articles
2017
- A stein type lemma for the multivariate generalized hyperbolic distribution
European Journal of Operational Research, 2017, 261, (2), 606-612 View citations (2)
- Risk bounds for factor models
Finance and Stochastics, 2017, 21, (3), 631-659 View citations (12)
2016
- Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
Dependence Modeling, 2016, 4, (1), 14
- Stat Trek
Dependence Modeling, 2016, 4, (1), 109-122
2015
- A new approach to assessing model risk in high dimensions
Journal of Banking & Finance, 2015, 58, (C), 166-178 View citations (21)
- Dependence Uncertainty Bounds for the Expectile of a Portfolio
Risks, 2015, 3, (4), 1-25 View citations (4)
- Optimal payoffs under state-dependent preferences
Quantitative Finance, 2015, 15, (7), 1157-1173 View citations (7)
See also Working Paper (2015)
- Quantile of a Mixture with Application to Model Risk Assessment
Dependence Modeling, 2015, 3, (1), 10 View citations (2)
- Rationalizing investors’ choices
Journal of Mathematical Economics, 2015, 59, (C), 10-23 View citations (3)
See also Working Paper (2014)
- Some Stein-type inequalities for multivariate elliptical distributions and applications
Statistics & Probability Letters, 2015, 97, (C), 54-62 View citations (3)
2014
- Explicit Representation of Cost-Efficient Strategies
Finance, 2014, 35, (2), 5-55 View citations (13)
- Financial Bounds for Insurance Claims
Journal of Risk & Insurance, 2014, 81, (1), 27-56 View citations (7)
- 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 (13)
- Optimal portfolios under worst-case scenarios
Quantitative Finance, 2014, 14, (4), 657-671 View citations (3)
See also Working Paper (2014)
- USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
ASTIN Bulletin, 2014, 44, (2), 237-276 View citations (2)
2012
- A provisioning problem with stochastic payments
European Journal of Operational Research, 2012, 221, (2), 445-453 View citations (3)
- 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 (5)
- Optimal Capital Allocation Principles
Journal of Risk & Insurance, 2012, 79, (1), 1-28 View citations (60)
See also Working Paper (2009)
2011
- Bounds for some general sums of random variables
Statistics & Probability Letters, 2011, 81, (3), 382-391 View citations (1)
2010
- Thou shalt buy ‘simple’ structured products only
Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)
2009
- A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
Applied Mathematical Finance, 2009, 16, (4), 315-330 View citations (6)
- Bounds and approximations for sums of dependent log-elliptical random variables
Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 View citations (11)
- Correlation order, merging and diversification
Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 View citations (7)
2008
- Analytic bounds and approximations for annuities and Asian options
Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 View citations (11)
- Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (24)
- On the parameterization of the CreditRisk + model for estimating credit portfolio risk
Insurance: Mathematics and Economics, 2008, 42, (2), 736-745 View citations (10)
- Some results on the CTE-based capital allocation rule
Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 View citations (29)
2007
- Comonotonicity
Review of Business and Economic Literature, 2007, LII, (2), 265-278 View citations (39)
2005
- Comonotonic Approximations for Optimal Portfolio Selection Problems
Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (25)
- On the evaluation of ‘saving-consumption’ plans
Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
- Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
Review of Business and Economic Literature, 2005, L, (1), 103-114
2003
- The hurdle-race problem
Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)
2001
- How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
Review of Business and Economic Literature, 2001, XLVI, (4), 533-544
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