Steven Vanduffel : Citation Profile


Are you Steven Vanduffel?

Vrije Universiteit Brussel

10

H index

10

i10 index

378

Citations

RESEARCH PRODUCTION:

44

Articles

8

Papers

RESEARCH ACTIVITY:

   20 years (2001 - 2021). See details.
   Cites by year: 18
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 25 (6.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva754
   Updated: 2022-05-28    RAS profile: 2022-02-08    
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Relations with other researchers


Works with:

Puccetti, Giovanni (2)

Durante, Fabrizio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Steven Vanduffel.

Is cited by:

Dhaene, Jan (15)

Guillen, Montserrat (11)

Rulliere, Didier (7)

Laeven, Roger (6)

Goovaerts, Marc (6)

De Waegenaere, Anja (6)

Norde, Henk (5)

Ferretti, Paola (4)

Fajardo, José (4)

Puccetti, Giovanni (3)

Urbina, Jilber (3)

Cites to:

Dhaene, Jan (60)

Goovaerts, Marc (43)

Puccetti, Giovanni (24)

Dybvig, Phillip (14)

Dybvig, Philip (14)

Kahneman, Daniel (9)

Valdez, Emiliano (8)

Markowitz, Harry (8)

merton, robert (7)

Lo, Andrew (7)

Laeven, Roger (7)

Main data


Where Steven Vanduffel has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics8
Journal of Risk & Insurance5
European Journal of Operational Research4
Quantitative Finance3
Review of Business and Economic Literature3
Dependence Modeling3
International Journal of Theoretical and Applied Finance (IJTAF)2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
Papers / arXiv.org2

Recent works citing Steven Vanduffel (2021 and 2020)


YearTitle of citing document
2020Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:77-88.

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2020Extension of Steins Lemmas to General Functions and Distributions*. (2020). Wong, Wing-Keung ; Alghalith, Moawia. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:77-88.

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2020Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028.

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2021Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2021Optimal portfolio with insider information on the stochastic interest rate. (2019). Jos'e Antonio Salmer'on, ; Mart, Dolores Garc'Ia ; D'Auria, Bernardo. In: Papers. RePEc:arx:papers:1711.03642.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304.

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2020Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2020Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2021Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338.

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2022Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach. (2020). Weber, Stefan ; Kim, Sojung. In: Papers. RePEc:arx:papers:2009.03653.

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2022Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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2020Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis. (2020). Yang, Shuzhen . In: Papers. RePEc:arx:papers:2011.10966.

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2020Optimal Payoff under the Generalized Dual Theory of Choice. (2020). He, Xue Dong ; Jiang, Zhaoli. In: Papers. RePEc:arx:papers:2012.00345.

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2021Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500.

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2021A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703.

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2021Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003.

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2021Optimal management of DC pension fund under relative performance ratio and VaR constraint. (2021). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2103.04352.

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2021Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718.

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2021Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281.

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2021Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122.

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2022Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2020Robust risk aggregation with neural networks. (2020). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1229-1272.

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2021Model risk in credit risk. (2021). luciano, elisa ; Semeraro, Patrizia ; Fontana, Roberto. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202.

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2022Ordering and inequalities for mixtures on risk aggregation. (2022). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:421-451.

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2021Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana. In: Bank of England working papers. RePEc:boe:boeewp:0956.

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2021Risk aversion and Bitcoin returns in extreme quantiles. (2021). GUPTA, RANGAN ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00863.

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2021Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359.

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2020An evolutionary approach to fraud management. (2020). Rabitti, Giovanni ; Galeotti, Marcello ; Vannucci, Emanuele. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1167-1177.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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2022Simulation methods for robust risk assessment and the distorted mix approach. (2022). Weber, Stefan ; Kim, Sojung. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:380-398.

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2021Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349.

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2021Concave/convex weighting and utility functions for risk: A new light on classical theorems. (2021). Yang, Jingni ; Wakker, Peter P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:429-435.

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2021Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79.

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2021Haezendonck-Goovaerts capital allocation rules. (2021). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca ; Canna, Gabriele. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:173-185.

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2021Pandemic risk management: Resources contingency planning and allocation. (2021). Zhang, Linfeng ; Feng, Runhuan ; Chong, Wing Fung ; Chen, Xiaowei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:359-383.

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2021Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436.

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2021A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465.

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2022Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168.

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2022Risk aggregation under dependence uncertainty and an order constraint. (2022). Wang, Ruodu ; Lin, Liyuan ; Chen, Yuyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:169-187.

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2022Risk aggregation and capital allocation using a new generalized Archimedean copula. (2022). Moutanabbir, Khouzeima ; Marri, Fouad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:75-90.

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2020On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134.

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2020Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67.

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2020On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69.

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2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

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2020On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182.

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2020On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211.

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2021Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167.

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2021Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2020Modelling extremal dependence for operational risk by a bipartite graph. (2020). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301217.

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2020Optimal insurance design under narrow framing. (2020). Zheng, Jiakun. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:596-607.

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2021Ordering results for elliptical distributions with applications to risk bounds. (2021). Ruschendorf, Ludger ; Ansari, Jonathan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:182:y:2021:i:c:s0047259x20302906.

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2020Correlation matrices with average constraints. (2020). Yao, Jing ; Vanduffel, Steven ; Tuitman, Jan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301711.

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2020The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion. (2020). Benbachir, Saad ; Habachi, Mohamed. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:9-:d:320948.

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2022.

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2021.

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2021.

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2021.

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2021.

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2020Portfolio Optimization under Correlation Constraint. (2020). Pirvu, Traian A ; Maheshwari, Aditya. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:15-:d:317375.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

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2020Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481.

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2020Characterization, Robustness, and Aggregation of Signed Choquet Integrals. (2020). Willmot, Gordon E ; Wei, Yunran ; Wang, Ruodu. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:993-1015.

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2021Minimum Rényi entropy portfolios. (2021). Vrins, Frederic ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2.

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2021Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6.

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2020A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

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2021Sklar’s theorem, copula products, and ordering results in factor models. (2021). Ludger, Ruschendorf ; Jonathan, Ansari. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:267-306:n:3.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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2021Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021.

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Works by Steven Vanduffel:


YearTitleTypeCited
2014Rationalizing Investors Choice In: Papers.
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paper5
2015Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics.
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This paper has another version. Agregated cites: 5
article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
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paper10
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 10
article
2009Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics.
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paper1
2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
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article22
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article23
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
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article91
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 91
paper
2014Financial Bounds for Insurance Claims In: Journal of Risk & Insurance.
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article3
2017Value-at-Risk Bounds With Variance Constraints In: Journal of Risk & Insurance.
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article11
2014Explicit Representation of Cost-Efficient Strategies In: Finance.
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article9
2014USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin.
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article2
2005On the evaluation of ‘saving-consumption’ plans In: Journal of Pension Economics and Finance.
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article2
2012A provisioning problem with stochastic payments In: European Journal of Operational Research.
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article2
2014Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research.
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article10
2017A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research.
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article3
2019Optimal strategies under Omega ratio In: European Journal of Operational Research.
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article4
2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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article4
2008On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics.
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article9
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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article29
2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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article8
2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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article9
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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article7
2018Upper bounds for strictly concave distortion risk measures on moment spaces In: Insurance: Mathematics and Economics.
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article4
2020Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics.
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article0
2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
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article19
2020Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization.
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article1
2011Bounds for some general sums of random variables In: Statistics & Probability Letters.
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article0
2015Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters.
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article3
2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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article0
2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
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article0
2007Comonotonicity In: Review of Business and Economic Literature.
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article50
2015Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks.
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article3
2013Optimal payoffs under state-dependent constraints In: Post-Print.
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paper1
2021A model-free approach to multivariate option pricing In: Review of Derivatives Research.
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article0
2010Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation.
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article1
2018Rearrangement algorithm and maximum entropy In: Annals of Operations Research.
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article1
2020On the construction of optimal payoffs In: Decisions in Economics and Finance.
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article3
2017Risk bounds for factor models In: Finance and Stochastics.
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article14
2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
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article3
2014Optimal portfolios under worst-case scenarios In: Quantitative Finance.
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article1
2014Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018Optimal portfolios under a correlation constraint In: Quantitative Finance.
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article3
2019Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society.
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article0
2019The variance implied conditional correlation In: ULB Institutional Repository.
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paper0
2015Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling.
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article1
2016Stat Trek In: Dependence Modeling.
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article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
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article2
2012AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
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article4
2018OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
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