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

Working Papers

2015

1. 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

2. 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)
3. Rationalizing Investors Choice
   Papers, arXiv.org View citations (1)
   See also Journal Article in Journal of Mathematical Economics (2015)

2013

4. Optimal payoffs under state-dependent constraints
   Post-Print, HAL View citations (1)

2009

5. Buy-and-Hold Strategies and Comonotonic Approximations
   Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia View citations (1)
6. 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

1. A stein type lemma for the multivariate generalized hyperbolic distribution
   European Journal of Operational Research, 2017, 261, (2), 606-612 View citations (2)
2. Risk bounds for factor models
   Finance and Stochastics, 2017, 21, (3), 631-659 View citations (12)

2016

3. Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio
   Dependence Modeling, 2016, 4, (1), 14
4. Stat Trek
   Dependence Modeling, 2016, 4, (1), 109-122

2015

5. A new approach to assessing model risk in high dimensions
   Journal of Banking & Finance, 2015, 58, (C), 166-178 View citations (21)
6. Dependence Uncertainty Bounds for the Expectile of a Portfolio
   Risks, 2015, 3, (4), 1-25 View citations (4)
7. Optimal payoffs under state-dependent preferences
   Quantitative Finance, 2015, 15, (7), 1157-1173 View citations (7)
   See also Working Paper (2015)
8. Quantile of a Mixture with Application to Model Risk Assessment
   Dependence Modeling, 2015, 3, (1), 10 View citations (2)
9. Rationalizing investors’ choices
   Journal of Mathematical Economics, 2015, 59, (C), 10-23 View citations (3)
   See also Working Paper (2014)
10. Some Stein-type inequalities for multivariate elliptical distributions and applications
    Statistics & Probability Letters, 2015, 97, (C), 54-62 View citations (3)

2014

11. Explicit Representation of Cost-Efficient Strategies
    Finance, 2014, 35, (2), 5-55 View citations (13)
12. Financial Bounds for Insurance Claims
    Journal of Risk & Insurance, 2014, 81, (1), 27-56 View citations (7)
13. 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)
14. Optimal portfolios under worst-case scenarios
    Quantitative Finance, 2014, 14, (4), 657-671 View citations (3)
    See also Working Paper (2014)
15. 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

16. A provisioning problem with stochastic payments
    European Journal of Operational Research, 2012, 221, (2), 445-453 View citations (3)
17. 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)
18. Optimal Capital Allocation Principles
    Journal of Risk & Insurance, 2012, 79, (1), 1-28 View citations (60)
    See also Working Paper (2009)

2011

19. Bounds for some general sums of random variables
    Statistics & Probability Letters, 2011, 81, (3), 382-391 View citations (1)

2010

20. Thou shalt buy ‘simple’ structured products only
    Journal of Financial Transformation, 2010, 28, 12-14 View citations (1)

2009

21. A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
    Applied Mathematical Finance, 2009, 16, (4), 315-330 View citations (6)
22. Bounds and approximations for sums of dependent log-elliptical random variables
    Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 View citations (11)
23. Correlation order, merging and diversification
    Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 View citations (7)

2008

24. Analytic bounds and approximations for annuities and Asian options
    Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 View citations (11)
25. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (24)
26. On the parameterization of the CreditRisk + model for estimating credit portfolio risk
    Insurance: Mathematics and Economics, 2008, 42, (2), 736-745 View citations (10)
27. Some results on the CTE-based capital allocation rule
    Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 View citations (29)

2007

28. Comonotonicity
    Review of Business and Economic Literature, 2007, LII, (2), 265-278 View citations (39)

2005

29. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (25)
30. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
31. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114

2003

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

2001

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