Steven Vanduffel : Citation Profile

Are you Steven Vanduffel?

Vrije Universiteit Brussel

10

H index

12

i10 index

438

Citations

RESEARCH PRODUCTION:

69

Articles

14

Papers

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 19
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 34 (7.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva754
   Updated: 2023-08-19    RAS profile: 2023-07-07    
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Relations with other researchers

Works with:

Boudt, Kris (5)

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 (11)

Rulliere, Didier (7)

De Waegenaere, Anja (6)

Paterlini, Sandra (6)

Laeven, Roger (6)

Norde, Henk (5)

Puccetti, Giovanni (4)

Ferretti, Paola (4)

Fajardo, José (4)

Di Lascio, F. Marta L. (3)

Cites to:

Dhaene, Jan (64)

Puccetti, Giovanni (33)

Dybvig, Philip (20)

Dybvig, Phillip (20)

EECKHOUDT, LOUIS (11)

merton, robert (10)

Kahneman, Daniel (9)

Laeven, Roger (9)

Valdez, Emiliano (9)

Markowitz, Harry (9)

Müller, Alfred (8)

Main data

Where Steven Vanduffel has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics8
Journal of Risk & Insurance6
European Journal of Operational Research6
North American Actuarial Journal5
Quantitative Finance5
Statistics & Probability Letters5
Dependence Modeling5
Review of Business and Economic Literature3
Scandinavian Actuarial Journal3
International Journal of Theoretical and Applied Finance (IJTAF)2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
Post-Print / HAL2

Recent works citing Steven Vanduffel (2023 and 2022)

YearTitle of citing document
2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320.

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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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2022Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500.

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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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2023Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968.

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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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2023Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438.

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2022Cost-efficiency in Incomplete Markets. (2022). Sturm, Stephan ; Bernard, Carole. In: Papers. RePEc:arx:papers:2206.12511.

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2023Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2022$g$-Expectation of Distributions. (2022). Yu, Xun ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2208.06535.

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2023A 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.

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2023Multivariate 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.

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2023The 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.

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2023Capital 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.

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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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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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2022Asymptotic 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.

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2023A 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.

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2022Hybrid 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.

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2022Sensitivity-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.

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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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2023Extended 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.

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2023Optimal 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.

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2023Optimal 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.

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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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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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2022Multivariate 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.

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2022Inference 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.

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2022Dependence 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.

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2023Nonparametric 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.

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2022Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

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2022On 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.

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2023Worst-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.

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2022Insurance with heterogeneous preferences. (2022). Liu, Fangda ; Boonen, Tim J. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:102:y:2022:i:c:s030440682200074x.

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2022Portfolio 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.

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2022.

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2022Trading 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.

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2022Dynamic 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.

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2022A 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.

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2023Simple 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.

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2022Portfolio 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.

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2022.

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2023.

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2021Making the square-root formula compatible with capital allocation. (2019). Schlutter, Sebastian ; Paulusch, Joachim. In: ICIR Working Paper Series. RePEc:zbw:icirwp:3319.

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Works by Steven Vanduffel:

YearTitleTypeCited
2014Measuring Portfolio Risk under Partial Dependence Information In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper8
2018Measuring Portfolio Risk Under Partial Dependence Information.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION.(2018) In: Journal of Risk & Insurance.
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This paper has another version. Agregated cites: 8		article
2014Rationalizing Investors Choice In: Papers.
[Full Text][Citation analysis]		paper7
2015Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
[Full Text][Citation analysis]		paper9
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 9		paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 9		article
2023Robust Distortion Risk Measures In: Papers.
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2023Cost-efficient Payoffs under Model Ambiguity In: Papers.
[Full Text][Citation analysis]		paper0
2023Coskewness under dependence uncertainty In: Papers.
[Full Text][Citation analysis]		paper0
2023Coskewness under dependence uncertainty.(2023) In: Statistics & Probability Letters.
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This paper has another version. Agregated cites: 0		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]		article98
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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2014Financial Bounds for Insurance Claims In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article2
2017Value-at-Risk Bounds With Variance Constraints In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article11
2014Explicit Representation of Cost-Efficient Strategies In: Finance.
[Full Text][Citation analysis]		article10
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 ‘saving-consumption’ plans In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article2
2019A new efficiency test for ranking investments: Application to hedge fund performance In: Economics Letters.
[Full Text][Citation analysis]		article0
2023ETF Basket-Adjusted Covariance estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2012A provisioning problem with stochastic payments In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
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]		article4
2019Optimal strategies under Omega ratio In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2022Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2023Optimal multivariate financial decision making In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
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]		article7
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article33
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]		article10
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2018Upper bounds for strictly concave distortion risk measures on moment spaces In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2020Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article1
2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
2020Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article3
2020On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article1
2019Equivalent distortion risk measures on moment spaces In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2020Correlation matrices with average constraints In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2011Bounds for some general sums of random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2015Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article4
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]		article50
2015Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks.
[Full Text][Citation analysis]		article3
2013Optimal payoffs under state-dependent constraints In: Post-Print.
[Citation analysis]		paper1
2021A model-free approach to multivariate option pricing In: Review of Derivatives Research.
[Full Text][Citation analysis]		article0
2010Thou shalt buy ‘simple’ structured products only In: Journal of Financial Transformation.
[Citation analysis]		article1
2021Beta-Adjusted Covariance Estimation In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2018Rearrangement algorithm and maximum entropy In: Annals of Operations Research.
[Full Text][Citation analysis]		article3
2018Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR.
[Full Text][Citation analysis]		article1
2020On the construction of optimal payoffs In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article5
2017Risk bounds for factor models In: Finance and Stochastics.
[Full Text][Citation analysis]		article13
2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article3
2017How robust is the value-at-risk of credit risk portfolios? In: The European Journal of Finance.
[Full Text][Citation analysis]		article11
2020The variance implied conditional correlation In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2019The variance implied conditional correlation.(2019) In: ULB Institutional Repository.
[Citation analysis]
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2014Optimal portfolios under worst-case scenarios In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2014Optimal portfolios under worst-case scenarios.(2014) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Optimal portfolios under a correlation constraint In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2021When do two- or three-fund separation theorems hold? In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2022The optimal payoff for a Yaari investor In: Quantitative Finance.
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2019Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article0
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]		article0
2011Improving the Design of Financial Products in a Multidimensional Black-Scholes Market In: North American Actuarial Journal.
[Full Text][Citation analysis]		article1
2013Discussion 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]		article0
2017Impact of Flexible Periodic Premiums on Variable Annuity Guarantees In: North American Actuarial Journal.
[Full Text][Citation analysis]		article5
2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal.
[Full Text][Citation analysis]		article4
2015Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling.
[Full Text][Citation analysis]		article2
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]		article1
2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2019Closed?form approximations for spread options in Lévy markets In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article1
2012AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article6
2018OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0

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