10
H index
12
i10 index
451
Citations
Steven Vanduffel : Citation Profile
Vrije Universiteit Brussel | RESEARCH PRODUCTION: 69 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (2001 - 2023). Relations with other researchers
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:
|
Main data
Where Steven Vanduffel has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 5 |
| ULB Institutional Repository / ULB -- Universite Libre de Bruxelles | 2 |
| Post-Print / HAL | 2 |
Recent works citing Steven Vanduffel (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
| 2023 | Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320. Full description at Econpapers || Download paper |
| 2022 | 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 |
| 2022 | Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889. Full description at Econpapers || Download paper |
| 2022 | Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500. Full description at Econpapers || Download paper |
| 2023 | Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968. Full description at Econpapers || Download paper |
| 2023 | Improved 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. Full description at Econpapers || Download paper |
| 2023 | Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438. Full description at Econpapers || Download paper |
| 2022 | Cost-efficiency in Incomplete Markets. (2022). Sturm, Stephan ; Bernard, Carole. In: Papers. RePEc:arx:papers:2206.12511. Full description at Econpapers || Download paper |
| 2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
| 2022 | $g$-Expectation of Distributions. (2022). Yu, Xun ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2208.06535. Full description at Econpapers || Download paper |
| 2023 | A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968. Full description at Econpapers || Download paper |
| 2023 | Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions. (2023). Yao, Jing ; Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2305.09097. Full description at Econpapers || Download paper |
| 2023 | Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856. Full description at Econpapers || Download paper |
| 2023 | The day?of?the?month effect and the performance of the dollar cost averaging strategy: Evidence from China. (2023). Yu, Bin ; Li, Hongze ; Jin, Xuejun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:797-815. Full description at Econpapers || Download paper |
| 2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper |
| 2022 | Ordering 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. Full description at Econpapers || Download paper |
| 2022 | Asymptotic risk decomposition for regularly varying distributions with tail dependence. (2022). Iaulys, Jonas ; Jaun, Egl. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:427:y:2022:i:c:s0096300322002247. Full description at Econpapers || Download paper |
| 2023 | A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. (2023). Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen ; Afhami, Bahareh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008761. Full description at Econpapers || Download paper |
| 2022 | Hybrid intelligent framework for carbon price prediction using improved variational mode decomposition and optimal extreme learning machine. (2022). He, Maolin ; Cui, Quan ; Wang, Jujie. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s096007792101136x. Full description at Econpapers || Download paper |
| 2022 | Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options. (2022). Peng, Cheng ; Bao, Ying ; Zhao, Yanlong ; Shi, Ruoshi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200122x. Full description at Econpapers || Download paper |
| 2022 | Simulation 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. Full description at Econpapers || Download paper |
| 2023 | Extended gradient of convex function and capital allocation. (2023). Grechuk, Bogdan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:429-437. Full description at Econpapers || Download paper |
| 2023 | Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886. Full description at Econpapers || Download paper |
| 2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
| 2022 | Asymptotic 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. Full description at Econpapers || Download paper |
| 2022 | Risk 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. Full description at Econpapers || Download paper |
| 2022 | Risk 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. Full description at Econpapers || Download paper |
| 2022 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2022). Woo, Jae-Kyung ; Peralta, Oscar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:364-389. Full description at Econpapers || Download paper |
| 2022 | Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222. Full description at Econpapers || Download paper |
| 2022 | Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. (2022). Linders, Daniel ; Dhaene, Jan ; Hanbali, Hamza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:22-37. Full description at Econpapers || Download paper |
| 2023 | Nonparametric density estimation and risk quantification from tabulated sample moments. (2023). Lambert, Philippe. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:177-189. Full description at Econpapers || Download paper |
| 2022 | Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843. Full description at Econpapers || Download paper |
| 2022 | On the optimal management of counterparty risk in reinsurance contracts. (2022). Schreiber, Florian ; Schmeiser, Hato ; Reichel, Lukas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:201:y:2022:i:c:p:374-394. Full description at Econpapers || Download paper |
| 2023 | Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372. Full description at Econpapers || Download paper |
| 2022 | Insurance with heterogeneous preferences. (2022). Liu, Fangda ; Boonen, Tim J. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:102:y:2022:i:c:s030440682200074x. Full description at Econpapers || Download paper |
| 2022 | Portfolio optimization under multivariate affine generalized hyperbolic distributions. (2022). Tan, Ken Seng ; Li, Bin ; Liu, Kai ; Wang, Chou-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:49-66. Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2022 | Trading Binary Options Using Expected Profit and Loss Metrics. (2022). Venter, Johannes Hendrik ; de Jongh, Pieter Juriaan. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:11:p:212-:d:966492. Full description at Econpapers || Download paper |
| 2022 | Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Hassani, Bertrand ; Guegan, Dominique. In: Post-Print. RePEc:hal:journl:halshs-01391103. Full description at Econpapers || Download paper |
| 2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
| 2022 | Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries. (2022). ben Jabeur, Sami ; Al-Qadasi, Adel ; Solarin, Sakiru Adebola ; Khalfaoui, Rabeh. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04446-w. Full description at Econpapers || Download paper |
| 2022 | A financial fraud detection indicator for investors: an IDeA. (2022). Maillet, Bertrand B ; el Mekkaoui, Najat ; Bernard, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-019-03360-6. Full description at Econpapers || Download paper |
| 2023 | Simple approximative algorithms for free-support Wasserstein barycenters. (2023). von Lindheim, Johannes. In: Computational Optimization and Applications. RePEc:spr:coopap:v:85:y:2023:i:1:d:10.1007_s10589-023-00458-3. Full description at Econpapers || Download paper |
| 2022 | Portfolio choice in the model of expected utility with a safety-first component. (2022). Jansen, Dennis W ; Liu, Liqun. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00347-6. Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by Steven Vanduffel:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Measuring Portfolio Risk under Partial Dependence Information In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 8 |
| 2018 | Measuring Portfolio Risk Under Partial Dependence Information.(2018) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2018 | MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION.(2018) In: Journal of Risk & Insurance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2014 | Rationalizing Investors Choice In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2015 | Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2014 | Optimal Payoffs under State-dependent Preferences In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Optimal payoffs under state-dependent preferences.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2015 | Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2023 | Robust Distortion Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Cost-efficient Payoffs under Model Ambiguity In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Coskewness under dependence uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Coskewness under dependence uncertainty.(2023) In: Statistics & Probability Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | 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 | 99 |
| 2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | paper | |
| 2014 | Financial Bounds for Insurance Claims In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 3 |
| 2017 | Value-at-Risk Bounds With Variance Constraints In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 14 |
| 2014 | Explicit Representation of Cost-Efficient Strategies In: Finance. [Full Text][Citation analysis] | article | 10 |
| 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 ‘saving-consumption’ plans In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2019 | A new efficiency test for ranking investments: Application to hedge fund performance In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2023 | ETF Basket-Adjusted Covariance estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | A provisioning problem with stochastic payments In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 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 | 13 |
| 2017 | A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 2019 | Optimal strategies under Omega ratio In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
| 2022 | Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2023 | Optimal multivariate financial decision making In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 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 | 7 |
| 2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 33 |
| 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 | 10 |
| 2009 | Correlation order, merging and diversification In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
| 2018 | Upper bounds for strictly concave distortion risk measures on moment spaces In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2020 | Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2015 | A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
| 2020 | Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 3 |
| 2020 | On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 2019 | Equivalent distortion risk measures on moment spaces In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | Correlation matrices with average constraints In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2011 | Bounds for some general sums of random variables In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2015 | Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 4 |
| 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 | 50 |
| 2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks. [Full Text][Citation analysis] | article | 3 |
| 2013 | Optimal payoffs under state-dependent constraints In: Post-Print. [Citation analysis] | paper | 1 |
| 2021 | A model-free approach to multivariate option pricing In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 2010 | Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation. [Citation analysis] | article | 1 |
| 2021 | Beta-Adjusted Covariance Estimation In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Rearrangement algorithm and maximum entropy In: Annals of Operations Research. [Full Text][Citation analysis] | article | 4 |
| 2018 | Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR. [Full Text][Citation analysis] | article | 2 |
| 2020 | On the construction of optimal payoffs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 5 |
| 2017 | Risk bounds for factor models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 13 |
| 2009 | A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 3 |
| 2017 | How robust is the value-at-risk of credit risk portfolios? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 11 |
| 2020 | The variance implied conditional correlation In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | The variance implied conditional correlation.(2019) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | Optimal portfolios under worst-case scenarios In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Optimal portfolios under a correlation constraint In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2021 | When do two- or three-fund separation theorems hold? In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | The optimal payoff for a Yaari investor In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2019 | Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 0 |
| 2010 | “Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
| 2011 | Improving the Design of Financial Products in a Multidimensional Black-Scholes Market In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
| 2013 | Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | Impact of Flexible Periodic Premiums on Variable Annuity Guarantees In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 5 |
| 2005 | Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
| 2015 | Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling. [Full Text][Citation analysis] | article | 2 |
| 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 | 1 |
| 2017 | The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
| 2017 | My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling. [Full Text][Citation analysis] | article | 1 |
| 2019 | Closed?form approximations for spread options in Lévy markets In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
| 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 | 6 |
| 2018 | OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team