Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

Brussels, Brabant 1050

Belgium

http://www.stevenvanduffel.com

SCHOLARLY PAPERS

73

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14,178

SSRN CITATIONS
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Top 2,912

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139

CROSSREF CITATIONS

314

Scholarly Papers (73)

1.
Downloads 1,216 ( 20,209)
Citation 31

Optimal Capital Allocation Principles

The final version of this article appeared as: Dhaene J., Tsanakas, A. , Valdez, E. A. , Vanduffel, S. (2012), 'Optimal Capital Allocation Principles', Journal of Risk and Insurance, 79(1), p.1-28.
Number of pages: 23 Posted: 26 Jan 2009 Last Revised: 03 Jan 2014
Katholieke Universiteit Leuven, The Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,213 (19,933)
Citation 2

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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London

Optimal Capital Allocation Principles

Journal of Risk and Insurance, Vol. 79, Issue 1, pp. 1-28, 2012
Number of pages: 28 Posted: 24 Feb 2012
Katholieke Universiteit Leuven, The Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 3 (774,331)
Citation 5
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2.
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Citation 22

Explicit Representation of Cost-Efficient Strategies

Number of pages: 39 Posted: 30 Jul 2010 Last Revised: 18 Apr 2013
Carole Bernard, Phelim P. Boyle and Steven Vanduffel
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and Vrije Universiteit Brussel (VUB)
Downloads 559 (58,515)
Citation 14

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Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas

3.

Reconciling Credit Correlations

Journal of Risk Model Validation, Vol. 4, No. 2, Summer 2010
Number of pages: 22 Posted: 09 Nov 2007 Last Revised: 17 Sep 2012
Andrew Chernih, Luc Henrard and Steven Vanduffel
affiliation not provided to SSRN, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 619 (52,006)
Citation 6

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Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR

4.

A New Approach to Assessing Model Risk in High Dimensions

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 10 Feb 2014 Last Revised: 03 Apr 2015
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 499 (68,098)
Citation 12

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Model Risk, VaR, TVaR, variance, tail dependence, tail correlation

5.

Basel Ii: Capital Requirements for Equity Investment Portfolios

Belgian Actuarial Bulletin, Vol. 5, pp. 37-45
Number of pages: 9 Posted: 01 Jun 2006 Last Revised: 24 Nov 2013
Fabian Suarez, Jan Dhaene, Luc Henrard and Steven Vanduffel
BNP Paribas, Katholieke Universiteit Leuven, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 465 (74,315)
Citation 1

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Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model

6.

On the Parameterization of the Creditrisk-Plus Model for Estimating Credit Portfolio Risk

Insurance: Mathematics and Economics, Vol. 42, No. 2, 2008
Number of pages: 24 Posted: 16 Mar 2009
affiliation not provided to SSRN, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) and Catholic University of Louvain
Downloads 445 (78,274)
Citation 2

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Basel II, KMV, Asset Correlations, Default Correlations

7.

A Critical Note on MCEV Calculations Used in the Life Insurance Industry

Belgian Actuarial Bulletin, Vol. 8, No. 1, pp. 54-59, 2008
Number of pages: 6 Posted: 17 May 2009 Last Revised: 24 Nov 2013
Fabian Suarez and Steven Vanduffel
BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 433 (80,898)

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Embedded Value, MCEV, Fair Value, Cash Flow Projections, Business Valuation, Profits, Cash Flows

8.

Beyond Correlations: The Use and Abuse of Copulas in Economic Capital Calculations

Belgian Actuarial Bulletin, Vol. 7, No. 1, 2007
Number of pages: 5 Posted: 17 Mar 2009
Andrew Chernih, Mateusz Maj and Steven Vanduffel
affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 431 (81,352)

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Copula, Economic Capital, Basel II, Solvency II, Correlations, Value-at-Risk

9.
Downloads 430 ( 81,577)
Citation 25

Value-at-Risk Bounds with Variance Constraints

Number of pages: 38 Posted: 18 Oct 2013 Last Revised: 10 Jul 2015
Carole Bernard, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 430 (80,847)
Citation 9

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Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm

Value‐At‐Risk Bounds with Variance Constraints

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 923-959, 2017
Number of pages: 37 Posted: 15 Aug 2017
Carole Bernard, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
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Citation 4
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10.

Beta-Adjusted Covariance Estimation

Number of pages: 46 Posted: 02 Mar 2021 Last Revised: 06 Apr 2021
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 348 (103,998)
Citation 1

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High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF beta, Localized Hayashi-Yoshida, Index tracking

11.

Improving the Design of Financial Products in a Multidimensional Black-Scholes Market

North American Actuarial Journal, Vol. 15, No.1, pp. 77-96
Number of pages: 26 Posted: 14 Apr 2010 Last Revised: 07 Dec 2011
Carole Bernard, Mateusz Maj and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 345 (104,960)

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cost-efficiency, optimal design, Black-Scholes

12.

On the Computation of Wasserstein Barycenters

Number of pages: 19 Posted: 28 Nov 2018 Last Revised: 06 Nov 2019
Giovanni Puccetti, Ludger Rüschendorf and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 330 (110,395)

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Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing

13.

Bounds for Sums of Random Variables When the Marginals and the Variance of the Sum are Given

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 18 Posted: 26 Mar 2009 Last Revised: 03 Nov 2010
Ka Chun Cheung and Steven Vanduffel
The University of Hong Kong and Vrije Universiteit Brussel (VUB)
Downloads 326 (111,887)
Citation 1

Abstract:

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comonotonicity, copula, dependence, solvency, Basel II, Solvency II, Value-at-Risk, Tail Value-at-Risk

Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 02 Nov 2017
Carole Bernard, Michel Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 313 (116,169)
Citation 11

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Stochastic dominance, Moment space, s-convex order, Value-at-Risk

Measuring Portfolio Risk Under Partial Dependence Information

Journal of Risk and Insurance, Vol. 85, Issue 3, pp. 843-863, 2018
Number of pages: 21 Posted: 09 Aug 2018
Carole Bernard, M. Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain (UCL) and Vrije Universiteit Brussel (VUB)
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15.

Stress-Testing the Impact of Group Dependence on Credit Portfolio Risk

STRESS-TESTING FOR FINANCIAL INSTITUTIONS, Harald Scheule, Daniel Rösch, eds., Incisive Media, 2009
Number of pages: 19 Posted: 15 Mar 2009
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN, BNP Paribas and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 296 (124,042)

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Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion

16.

Risk Measures and Comonotonicity: A Review

Stochastic Models, Vol. 22, pp. 573-606, 2006
Number of pages: 34 Posted: 11 Mar 2009 Last Revised: 17 Mar 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB), University of Amsterdam - Amsterdam School of Economics (ASE), affiliation not provided to SSRN, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 292 (125,820)
Citation 7

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risk measures, coherency, CTE

17.

Optimal Portfolios Under Worst-Case Scenarios

Forthcoming in Quantitative Finance
Number of pages: 32 Posted: 04 Nov 2013
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 272 (135,528)
Citation 2

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Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio

18.

Note on 'Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)

Journal of Applied Probability, Forthcoming
Number of pages: 12 Posted: 13 Feb 2012 Last Revised: 11 May 2012
Carole Bernard, Xiao Jiang and Steven Vanduffel
Grenoble Ecole de Management, University of Waterloo and Vrije Universiteit Brussel (VUB)
Downloads 270 (136,568)
Citation 1

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bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints

19.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 245 (150,553)
Citation 9

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factor models, risk aggregation, dependence uncertainty, Value-at-Risk

20.

Aggregating Economic Capital

Belgian Actuarial Bulletin, Vol. 5, pp. 52-56, 2005
Number of pages: 30 Posted: 19 May 2009
Jan Dhaene, M. J. Goovaerts, Mark Lundin and Steven Vanduffel
Katholieke Universiteit Leuven, affiliation not provided to SSRN, affiliation not provided to SSRN and Vrije Universiteit Brussel (VUB)
Downloads 240 (153,566)
Citation 1

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economic capital, aggregation, Solvency II, Basel II, VaR

21.

A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets

Final version in Applied Mathematical Finance, Vol. 16, No. 4, pp 315-330
Number of pages: 17 Posted: 30 Oct 2007 Last Revised: 14 Feb 2012
Steven Vanduffel, Andrew Chernih, Mateusz Maj and Wim Schoutens
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 227 (161,982)
Citation 1

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Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform

22.

Rearrangement Algorithm and Maximum Entropy

Number of pages: 39 Posted: 23 Dec 2015 Last Revised: 17 Aug 2017
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 226 (162,695)
Citation 1

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Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

23.

Thou Shalt Buy ‘Simple’ Structured Products Only

Journal of Financial Transformation, Vol. 28, pp 12-14
Number of pages: 4 Posted: 07 Feb 2010 Last Revised: 24 Nov 2013
Steven Vanduffel
Vrije Universiteit Brussel (VUB)
Downloads 218 (168,307)

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24.

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

Forthcoming in European Journal of Operational Research
Number of pages: 27 Posted: 30 Sep 2012 Last Revised: 23 Jun 2013
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 217 (169,020)
Citation 6

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Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints

25.

Optimal Strategies Under Omega Ratio

Economics Letters, Forthcoming
Number of pages: 30 Posted: 05 Apr 2017 Last Revised: 28 Oct 2019
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 216 (169,771)
Citation 2

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Portfolio choice, Omega ratio, Ill-posedness

26.

An Explicit Option - Based Strategy that Outperforms Dollar Cost Averaging

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 19 Posted: 26 Jul 2011 Last Revised: 23 Aug 2011
Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
Vrije Universiteit Brussel (VUB), University of Ljubljana - Faculty of Economics, BNP Paribas and Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences
Downloads 210 (174,354)
Citation 1

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lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform

27.
Downloads 208 (175,978)
Citation 10

Financial Bounds for Insurance Claims

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 13 Oct 2011 Last Revised: 11 Feb 2012
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 208 (175,718)
Citation 1

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Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing

Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Vol. 81, Issue 1, pp. 27-56, 2014
Number of pages: 30 Posted: 15 Feb 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
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Citation 1
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Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Forthcoming.
Posted: 23 Aug 2011 Last Revised: 22 Nov 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)

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28.

Comonotonicity: From Risk Measurement to Risk Management

Number of pages: 172 Posted: 19 Mar 2009
Steven Vanduffel
Vrije Universiteit Brussel (VUB)
Downloads 207 (176,738)
Citation 5

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Risk measures, Coherency, Comonotonicity, Lognormal, Pension, Annuities

29.

Optimal Portfolios Under a Correlation Constraint

Forthcoming, Quantitative Finance
Number of pages: 27 Posted: 25 May 2016 Last Revised: 08 Sep 2020
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 204 (179,131)
Citation 3

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Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk

30.

A Note on Stein's Lemma for Multivariate Elliptical Distributions

Journal of Statistical Planning and Inference, Forthcoming
Number of pages: 11 Posted: 03 Jun 2013 Last Revised: 06 Nov 2014
Zinoviy Landsman, Steven Vanduffel and Jing Yao
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 199 (183,349)

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Conditional distribution, Covariance, Regression

31.

Comparing Approximations for Risk Measures of Sums of Non-Independent Lognormal Random Variables

North American Actuarial Journal, Vol. 9, No. 4, pp. 71-82, 2009
Number of pages: 16 Posted: 18 Mar 2009
Steven Vanduffel, Jan Dhaene and Tom Hoedemakers
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 181 (199,554)
Citation 1

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Lognormal, Sum of random variables, Reciprocal Gamma, Annuities, Value-at-Risk

32.

Some Results on the Cte Based Capital Allocation Rule

Insurance: Mathematics and Economics, Vol. 42, pp. 855-863, 2008
Number of pages: 10 Posted: 01 Jun 2006 Last Revised: 14 Mar 2009
Jan Dhaene and Steven Vanduffel
Katholieke Universiteit Leuven and Vrije Universiteit Brussel (VUB)
Downloads 180 (200,526)
Citation 2

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Capital allocation, CTE, risk measure, coherent allocation, elliptical

33.

Optimal Approximations for Risk Measures of Sums of Lognormals Based on Conditional Expectations

Journal of Computational and Applied Mathematics, Vol. 221, No. 1, pp. 202-218
Number of pages: 22 Posted: 01 Jun 2006 Last Revised: 21 Apr 2009
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB), Katholieke Universiteit Leuven, affiliation not provided to SSRN, BNP Paribas and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 180 (200,526)
Citation 1

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Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,

34.

Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums

40R, Forthcoming
Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 21 Nov 2017
Kris Boudt, Edgars Jakobsons and Steven Vanduffel
Ghent University, ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 170 (210,682)
Citation 2

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

35.

The Variance Implied Conditional Correlation

The European Journal of Finance, 26 (2-3), 200-220, 2020.
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 18 Jan 2020
Andres Algaba, Kris Boudt and Steven Vanduffel
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 168 (212,721)

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conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization

36.

Reduction of Value-at-Risk Bounds via Independence and Variance Information

Forthcoming in Scandinavian Actuarial Journal
Number of pages: 18 Posted: 27 Mar 2015 Last Revised: 11 Nov 2015
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 167 (213,835)
Citation 9

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Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall

37.

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Forthcoming, European Journal of Finance
Number of pages: 30 Posted: 27 Feb 2015 Last Revised: 02 Nov 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 147 (237,737)
Citation 6

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Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

38.

Analytic Bounds and Approximations for Annuities and Asian Options

Insurance: Mathematics and Economics, Vol. 42, No. 3, 2008
Number of pages: 18 Posted: 12 Jan 2006 Last Revised: 22 Apr 2009
Vrije Universiteit Brussel (VUB), BNP Paribas, Katholieke Universiteit Leuven, University of New South Wales (UNSW) - School of Actuarial Studies and KU Leuven
Downloads 137 (251,750)
Citation 2

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Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation

39.

On the Construction of Optimal Payoffs

Forthcoming, Decisions in Economics and Finance
Number of pages: 26 Posted: 09 Mar 2017 Last Revised: 04 Dec 2019
Ludger Rüschendorf and Steven Vanduffel
University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 120 (278,118)
Citation 7

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Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness

40.

Comonotonicity

ENCYCLOPEDIA OF QUANTITATIVE RISK ASSESSMENT AND ANALYSIS, Melnick, E., Everitt, B., eds., pp. 274-279, John Wiley & Sons Ltd, Chichester, UK
Number of pages: 13 Posted: 14 May 2009
Jan Dhaene, Steven Vanduffel and M. J. Goovaerts
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB) and affiliation not provided to SSRN
Downloads 113 (290,211)

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comontonicity, dependence, copula, correlation, sums of random variables

41.

Robust Distortion Risk Measures

Number of pages: 43 Posted: 23 Oct 2020
Carole Bernard, Silvana M. Pesenti and Steven Vanduffel
Grenoble Ecole de Management, University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 106 (303,536)
Citation 1

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Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk

42.

Can a Coherent Riskmeasure be Too Subadditive?

Journal of Risk and Insurance, Vol. 75, No. 2, pp. 365-386
Number of pages: 28 Posted: 18 Mar 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and affiliation not provided to SSRN
Downloads 98 (319,734)

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risk measure, coherency, solvency, value-at-risk, subadditive

43.

Bounds and Approximations for Sums of Dependent Log-Elliptical Random Variables

Insurance: Mathematics and Economics, Vol. 44, pp. 385-397
Number of pages: 25 Posted: 14 Jul 2009 Last Revised: 27 Feb 2011
Emiliano A. Valdez, Jan Dhaene, Mateusz Maj and Steven Vanduffel
University of Connecticut - Department of Mathematics, Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 91 (335,154)
Citation 2

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44.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Kris Boudt, Peter Rousseeuw, Steven Vanduffel and Tim Verdonck
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 90 (337,509)
Citation 8

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Breakdown value, High-dimensional data, Regularization, Robust covariance estimation

45.

Consistent Assumptions for Modeling Credit Loss Correlations

Journal of Actuarial Practice, Vol. 13, pp. 173-182, 2006
Number of pages: 10 Posted: 19 May 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Vrije Universiteit Brussel (VUB)
Downloads 89 (339,849)

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default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II

46.

A Practical Approach to Quantitative Model Risk Assessment

Number of pages: 41 Posted: 27 Apr 2020 Last Revised: 24 Nov 2020
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 88 (344,742)

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Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution

47.

Correlation Order, Merging and Diversification

Final version in Insurance: Mathematics and Economics, Vol. 45, 325-332
Number of pages: 24 Posted: 01 May 2009 Last Revised: 12 May 2010
Jan Dhaene, Michel Denuit and Steven Vanduffel
Katholieke Universiteit Leuven, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 85 (349,547)

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48.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Carole Bernard, Zhenyu Cui and Steven Vanduffel
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 84 (352,000)
Citation 1

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

49.

A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution

Forthcoming, European Journal of Operational Research
Number of pages: 27 Posted: 18 Nov 2016 Last Revised: 26 Aug 2017
Steven Vanduffel and Jing Yao
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 83 (354,488)
Citation 3

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utility function, Stein's lemma, mean-variance optimization, Multivariate Generalized Hyperbolic distribution (MGH)

50.

Supplementary Appendix to Beta-Adjusted Covariance Estimation

Number of pages: 21 Posted: 14 Apr 2021
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 82 (357,072)

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BAC, Covariance, ETF, Python, R

51.

Impact of Preferences on Optimal Insurance in the Presence of Multiple Policyholders

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 30 Posted: 12 Nov 2018 Last Revised: 15 Feb 2020
Carole Bernard, Fangda Liu and Steven Vanduffel
Grenoble Ecole de Management, Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and Vrije Universiteit Brussel (VUB)
Downloads 81 (359,691)
Citation 1

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Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy

52.

Optimal Portfolio Choice with Benchmarks

Number of pages: 35 Posted: 21 Jun 2017 Last Revised: 02 Nov 2017
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 78 (367,716)

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optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization

53.

Comonotonic Approximations for Optimal Portfolio Selection Problems

Journal of Risk and Insurance, Vol. 72, No. 2, pp. 253-301, 2005
Number of pages: 45 Posted: 19 May 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 78 (367,716)
Citation 3

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Optimal Portfolio selection, Comonotonicity, asset allocation, Merton, constant mix

54.

Closed-Form Approximations for Spread Options in Lévy Markets

Forthcoming in Applied Stochastic Models in Business and Industry
Number of pages: 20 Posted: 23 Jan 2018 Last Revised: 02 Aug 2018
Jente van Belle, Steven Vanduffel and Jing Yao
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 74 (378,945)
Citation 1

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Stochastic Clock, Lévy Markets, Conditional Expectation, Gaussian Quadrature, Margrabe’s Formula

55.

Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information

Insurance: Mathematics and Economics, Vol. 94, p. 9-24, September 2020
Number of pages: 39 Posted: 30 Jun 2019 Last Revised: 24 Nov 2020
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 70 (390,591)
Citation 2

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Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

56.

The Hurdle-Race Problem.

Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 405-413, 2003
Number of pages: 16 Posted: 02 Mar 2006
Steven Vanduffel, Jan Dhaene, Marc Goovaerts and Rob Kaas
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 70 (390,591)
Citation 1

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57.

A Model-Free Approach to Multivariate Option Pricing

Number of pages: 28 Posted: 13 Nov 2019
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 69 (393,721)
Citation 1

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Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty

58.

Bounds for Some General Sums of Random Variables

Statistics & Probability Letters, Vol. 81, No. 3, pp. 382-391, March 2011
Number of pages: 16 Posted: 12 Jun 2011
Steven Vanduffel and Zinoviy Landsman
Vrije Universiteit Brussel (VUB) and University of Haifa, Department of Statistics
Downloads 68 (396,685)
Citation 1

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Bounds, Dependence, Exponential Dispersion Family

59.

On the Evaluation of Saving-Consumption Plans

Journal of Pension Economics and Finance, Vol. 4, No. 1, pp. 17-30, 2008
Number of pages: 18 Posted: 22 Mar 2009
Steven Vanduffel, Jan Dhaene and M. J. Goovaerts
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 65 (406,188)
Citation 1

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60.

Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces

Number of pages: 25 Posted: 02 Nov 2017 Last Revised: 21 Jul 2018
Dries Cornilly, Ludger Rüschendorf and Steven Vanduffel
Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 63 (412,873)
Citation 2

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Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function

61.

Rationalizing Investors Choice

Journal of Mathematical Economics, Forthcoming
Number of pages: 30 Posted: 02 Feb 2014 Last Revised: 01 May 2015
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 63 (412,873)
Citation 8

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First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure

62.

Dependence Uncertainty Bounds for the Expectile of a Portfolio

Number of pages: 24 Posted: 05 Aug 2015 Last Revised: 17 Nov 2015
Edgars Jakobsons and Steven Vanduffel
ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 58 (429,816)
Citation 1

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convex order, elicitability, coherence, dependence

63.

When Do Two- or Three-Fund Separation Theorems Hold?

Number of pages: 30 Posted: 20 Nov 2020
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 56 (437,016)
Citation 1

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Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis

64.

Optimal Portfolio Under State-Dependent Expected Utility

Number of pages: 19 Posted: 14 Mar 2018
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 52 (451,832)

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Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory

65.

Discussion on 'Weighted Pricing Functionals With Applications to Insurance: An Overview'

North American Actuarial Journal, Vol. 14, No. 2, pp. 278-279
Number of pages: 3 Posted: 05 Jul 2010 Last Revised: 07 Dec 2011
Steven Vanduffel
Vrije Universiteit Brussel (VUB)
Downloads 48 (467,615)

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Stein's lemma, bounds, lognormal, pricing

66.

Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Levy Markets

Astin Bulletin, Forthcoming
Number of pages: 44 Posted: 18 Jan 2014
Griselda Deelstra, Grégory Rayée, Steven Vanduffel and Jing Yao
Université Libre de Bruxelles (ULB), Université Libre de Bruxelles (ULB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 41 (497,628)

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Asian style options, conditional expectation, control variates, stochastic clock

67.

The Optimal Payoff for a Yaari Investor

Number of pages: 17 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
Kris Boudt, Kirill Dragun, Qihe Tang and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), UNSW Sydney and Vrije Universiteit Brussel (VUB)
Downloads 35 (525,999)
Citation 1

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Preferences, Optimization, Hoeffding-Fréchet bounds.

68.

Fair allocation of indivisible goods with minimum inequality or minimum envy criteria

Number of pages: 24 Posted: 02 Jan 2020 Last Revised: 02 Jul 2020
Vrije Universiteit Brussel (VUB), University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 33 (536,325)

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Decision analysis, fair allocation of indivisible goods, minimum envy.

69.

A Provisioning Problem with Stochastic Payments

Final version in European Journal of Operational Research
Number of pages: 30 Posted: 09 Dec 2011 Last Revised: 31 Jan 2012
Bernardo Pagnoncelli and Steven Vanduffel
University of Adolfo Ibanez - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 30 (552,310)

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Risk management, Solvency, Comonotonicity, Sample Average Approximation

70.

Equivalent Distortion Risk Measures on Moment Spaces

Number of pages: 13 Posted: 26 Nov 2018
Dries Cornilly and Steven Vanduffel
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 29 (557,955)
Citation 1

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Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty

71.

Some Stein-Type Inequalities for Multivariate Elliptical Distributions and Applications

Statistics and Probability Letters, Forthcoming
Number of pages: 14 Posted: 06 Nov 2014
Zinoviy Landsman, Steven Vanduffel and Jing Yao
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 22 (602,018)
Citation 1

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Stein’s lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality

72.

Correlation Matrices with Average Constraints

Number of pages: 13 Posted: 26 Feb 2020 Last Revised: 02 Jul 2020
Jan Tuitman, Steven Vanduffel and Jing Yao
affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 17 (636,122)

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Simulation, random correlation matrices, dependence, multivariate normal

73.

On a Synchronization Problem With Multiple Instances

Number of pages: 15 Posted: 15 Oct 2020
Vrije Universiteit Brussel (VUB), University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 13 (664,970)

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Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS