Steven Vanduffel : Citation Profile

Are you Steven Vanduffel?

Vrije Universiteit Brussel

10

H index

10

i10 index

347

Citations

RESEARCH PRODUCTION:

33

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 21
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 16 (4.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva754
   Updated: 2021-01-16    RAS profile: 2017-09-24    
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Relations with other researchers

Works with:

Durante, Fabrizio (2)

Puccetti, Giovanni (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 (13)

Rulliere, Didier (6)

Laeven, Roger (6)

De Waegenaere, Anja (6)

Goovaerts, Marc (6)

Norde, Henk (5)

mostoufi, mina (4)

Fajardo, José (4)

Ferretti, Paola (4)

Chateauneuf, Alain (4)

Cites to:

Dhaene, Jan (49)

Goovaerts, Marc (35)

Puccetti, Giovanni (14)

Dybvig, Phillip (8)

Dybvig, Philip (8)

Markowitz, Harry (6)

Sharpe, William (5)

Valdez, Emiliano (5)

Kahneman, Daniel (5)

welch, ivo (4)

Gordy, Michael (4)

Main data

Where Steven Vanduffel has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics6
Journal of Risk & Insurance4
European Journal of Operational Research3
Dependence Modeling3
Review of Business and Economic Literature3
Statistics & Probability Letters2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2
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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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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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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2020A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203.

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2020Simulation 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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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). Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2012.00345.

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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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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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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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2020Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24.

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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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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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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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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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2020Refundable deductible insurance. (2020). Marmol, Maite ; Claramunt, Maria Merce. In: Working Papers. RePEc:hal:wpaper:hal-02909299.

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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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2020The relation between PD and LGD: an application to a corporate loan portfolio. (2020). Santos, Antonio. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202009.

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2020On the construction of optimal payoffs. (2020). Vanduffel, Steven ; Ruschendorf, L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9.

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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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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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Works by Steven Vanduffel:

YearTitleTypeCited
2014Rationalizing Investors Choice In: Papers.
[Full Text][Citation analysis]		paper4
2015Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
[Full Text][Citation analysis]		paper11
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2009Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article23
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article22
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article70
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2014Financial Bounds for Insurance Claims In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article2
2014Explicit Representation of Cost-Efficient Strategies In: Finance.
[Full Text][Citation analysis]		article11
2014USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin.
[Full Text][Citation analysis]		article2
2005On the evaluation of plans In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article2
2012A provisioning problem with stochastic payments In: European Journal of Operational Research.
[Full Text][Citation analysis]		article3
2014Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research.
[Full Text][Citation analysis]		article12
2017A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2003The hurdle-race problem In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2008On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article9
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article26
2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article9
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2011Bounds for some general sums of random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2015Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article3
2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
[Full Text][Citation analysis]		article0
2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
[Full Text][Citation analysis]		article0
2007Comonotonicity In: Review of Business and Economic Literature.
[Full Text][Citation analysis]		article69
2015Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks.
[Full Text][Citation analysis]		article4
2013Optimal payoffs under state-dependent constraints In: Post-Print.
[Citation analysis]		paper1
2010Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation.
[Citation analysis]		article1
2017Risk bounds for factor models In: Finance and Stochastics.
[Full Text][Citation analysis]		article11
2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article4
2014Optimal portfolios under worst-case scenarios In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2014Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2016Stat Trek In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2012AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article5

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