10
H index
10
i10 index
347
Citations
Vrije Universiteit Brussel | 10 H index 10 i10 index 347 Citations RESEARCH PRODUCTION: 33 Articles 7 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Steven Vanduffel. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 6 |
Journal of Risk & Insurance | 4 |
European Journal of Operational Research | 3 |
Dependence Modeling | 3 |
Review of Business and Economic Literature | 3 |
Statistics & Probability Letters | 2 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 2 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2020 | Extension 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. Full description at Econpapers || Download paper |
2020 | Extension 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. Full description at Econpapers || Download paper |
2020 | Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829. Full description at Econpapers || Download paper |
2020 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
2020 | Robust risk aggregation with neural networks. (2019). Pohl, Mathias ; Kupper, Michael ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1811.00304. Full description at Econpapers || Download paper |
2020 | Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941. Full description at Econpapers || Download paper |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper |
2020 | Bellman type strategy for the continuous time mean-variance model. (2020). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2005.01904. Full description at Econpapers || Download paper |
2020 | Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950. Full description at Econpapers || Download paper |
2020 | A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203. Full description at Econpapers || Download paper |
2020 | Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach. (2020). Weber, Stefan ; Kim, Sojung. In: Papers. RePEc:arx:papers:2009.03653. Full description at Econpapers || Download paper |
2020 | Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis. (2020). Yang, Shuzhen . In: Papers. RePEc:arx:papers:2011.10966. Full description at Econpapers || Download paper |
2020 | Optimal Payoff under the Generalized Dual Theory of Choice. (2020). Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2012.00345. Full description at Econpapers || Download paper |
2020 | Robust 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. Full description at Econpapers || Download paper |
2020 | An 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. Full description at Econpapers || Download paper |
2020 | An 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. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | Multivariate 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. Full description at Econpapers || Download paper |
2020 | Range 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. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | Modelling 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. Full description at Econpapers || Download paper |
2020 | Correlation 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. Full description at Econpapers || Download paper |
2020 | Portfolio 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. Full description at Econpapers || Download paper |
2020 | Refundable deductible insurance. (2020). Marmol, Maite ; Claramunt, Maria Merce. In: Working Papers. RePEc:hal:wpaper:hal-02909299. Full description at Econpapers || Download paper |
2020 | Characterization, 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | On 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | MEASURING 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2014 | Rationalizing Investors Choice In: Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2014 | Optimal Payoffs under State-dependent Preferences In: Papers. [Full Text][Citation analysis] | paper | 11 |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2015 | Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2009 | Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2005 | Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 23 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 22 |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 70 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
2014 | Financial Bounds for Insurance Claims In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 2 |
2014 | Explicit Representation of Cost-Efficient Strategies In: Finance. [Full Text][Citation analysis] | article | 11 |
2014 | USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
2005 | On the evaluation of plans In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2012 | A provisioning problem with stochastic payments In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
2014 | Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
2017 | A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2003 | The hurdle-race problem In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2008 | On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
2008 | Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
2009 | Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
2009 | Correlation order, merging and diversification In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2015 | A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
2011 | Bounds for some general sums of random variables In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
2015 | Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
2001 | How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2007 | Comonotonicity In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 69 |
2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks. [Full Text][Citation analysis] | article | 4 |
2013 | Optimal payoffs under state-dependent constraints In: Post-Print. [Citation analysis] | paper | 1 |
2010 | Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation. [Citation analysis] | article | 1 |
2017 | Risk bounds for factor models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 11 |
2009 | A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
2014 | Optimal portfolios under worst-case scenarios In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2014 | Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
2016 | Stat Trek In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2016 | Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2012 | AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 5 |
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