Steven Vanduffel : Citation Profile

Are you Steven Vanduffel?

Vrije Universiteit Brussel

9

H index

7

i10 index

282

Citations

RESEARCH PRODUCTION:

33

Articles

7

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 17
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 15 (5.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva754
   Updated: 2020-05-23    RAS profile: 2017-09-24    
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Relations with other researchers

Works with:

Moraux, Franck (4)

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 (14)

Guillen, Montserrat (11)

Rulliere, Didier (6)

De Waegenaere, Anja (6)

Goovaerts, Marc (5)

Laeven, Roger (5)

Norde, Henk (5)

Fajardo, José (4)

Ferretti, Paola (4)

Bayraktar, Erhan (3)

Sarabia, José María (3)

Cites to:

Dhaene, Jan (45)

Goovaerts, Marc (33)

Puccetti, Giovanni (14)

Dybvig, Philip (8)

Dybvig, Phillip (8)

Markowitz, Harry (6)

Kahneman, Daniel (5)

Sharpe, William (5)

Valdez, Emiliano (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
Dependence Modeling3
European Journal of Operational Research3
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 (2018 and 2017)

YearTitle of citing document
2017Comonotonic 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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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2017Solvency II, or How to Sweep the Downside Risk Under the Carpet. (2017). Weber, Stefan. In: Papers. RePEc:arx:papers:1702.08901.

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

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Papers. RePEc:arx:papers:1902.03041.

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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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2019Portfolio Optimization under Correlation Constraint. (2019). Pirvu, Traian ; Maheshwari, Aditya. In: Papers. RePEc:arx:papers:1912.12521.

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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). Koike, Takaaki ; Hofert, Marius. In: Papers. RePEc:arx:papers:2005.02950.

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2017Value-at-Risk Bounds With Variance Constraints. (2017). Bernard, Carole ; Vanduffel, Steven ; Ruschendorf, Ludger. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959.

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2017Improved algorithms for computing worst Value-at-Risk. (2017). Marius, Hofert ; Tony, Wirjanto ; David, Saunders ; Amir, Memartoluie . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:13-31:n:3.

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2019A new efficiency test for ranking investments: Application to hedge fund performance. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

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2018A value-at-risk approach to optimisation of warranty policy. (2018). Luo, Ming ; Wu, Shaomin. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:513-522.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2019On the optimality of path-dependent structured funds: The cost of standardization. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350.

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2019How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244.

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2017Capital allocation for portfolios with non-linear risk aggregation. (2017). Tsanakas, Andreas ; Boonen, Tim J ; Wuthrich, Mario V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:95-106.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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2017Risk measures in a quantile regression credibility framework with Fama/French data applications. (2017). Pitselis, Georgios . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:122-134.

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2017On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. (2017). Ratovomirija, Gildas ; Vernic, Raluca ; Tamraz, Maissa. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:197-209.

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2017Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (2017). Cai, Jun ; Mao, Tiantian ; Wang, Ying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:105-116.

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2018Weighted risk capital allocations in the presence of systematic risk. (2018). Furman, Edward ; Zitikis, Riardas ; Kuznetsov, Alexey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:75-81.

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2018Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91.

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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (2018). Dhaene, Jan ; Yao, Jing ; Zhou, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:92-100.

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2018LLN-type approximations for large portfolio losses. (2018). Liu, Jing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:71-77.

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2018Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151.

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2018Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018). (2018). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:29-31.

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2019Forecasting compositional risk allocations. (2019). Boonen, Tim J ; Santolino, Miguel ; Guillen, Montserrat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:79-86.

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2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

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2019Analysis of risk bounds in partially specified additive factor models. (2019). Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:115-121.

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2019Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. (2019). Kim, So-Yeun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:145-157.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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

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2019A new approach to optimal capital allocation for RORAC maximization in banks. (2019). Poshakwale, Sunil ; Kang, Woo-Young. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:153-165.

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2019Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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2018A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248.

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2018Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach. (2018). Mejdoub, Hanene ; Ben Arab, Mounira . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:208-218.

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2018Stein’s lemma for truncated elliptical random vectors. (2018). Shushi, Tomer. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:297-303.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2017The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Wuthrich, Mario V ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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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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2017Impact of dependence on some multivariate risk indicators. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01171395.

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2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277.

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2017Capital Allocation in the Insurance Sector. (2017). Balog, Dóra. In: Financial and Economic Review. RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97.

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2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

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2018Rearrangement algorithm and maximum entropy. (2018). Bernard, Carole ; Vanduffel, Steven ; Bondarenko, Oleg. In: Annals of Operations Research. RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2612-2.

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2017How robust is the value-at-risk of credit risk portfolios?. (2017). Yao, Jing ; Vanduffel, Steven ; Ruschendorf, Ludger ; Bernard, Carole. In: The European Journal of Finance. RePEc:taf:eurjfi:v:23:y:2017:i:6:p:507-534.

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2017Optimal portfolio positioning within generalized Johnson distributions. (2017). Prigent, Jean-Luc ; Naguez, N. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1037-1055.

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2017Multiobjective capital allocation for supplier development under risk. (2017). Mizgier, Kamil J ; Talluri, Srinivas ; Pasia, Joseph M. In: International Journal of Production Research. RePEc:taf:tprsxx:v:55:y:2017:i:18:p:5243-5258.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; KLPPELBERG, CLAUDIA ; Kley, Oliver. In: DEM Working Papers. RePEc:trn:utwprg:2019/02.

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2018OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY. (2018). Bernard, Carole ; Ye, Jiang ; Vanduffel, Steven. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500139.

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2017Persistence of insurance activities and financial stability. (2017). Regele, Fabian ; Kubitza, Christian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:3017.

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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]		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		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]		article22
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article21
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article66
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66		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]		article9
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]		article9
2017A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
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]		article8
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article24
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]		article8
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
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]		article1
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]		article34
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]		paper0
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]		article7
2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article3
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]		article4

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