Steven Vanduffel : Citation Profile

Vrije Universiteit Brussel

12

H index

18

i10 index

577

Citations

RESEARCH PRODUCTION:

78

Articles

19

Papers

1

Books

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 24
   Journals where Steven Vanduffel has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 40 (6.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva754
   Updated: 2026-01-10    RAS profile: 2025-12-10    
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Relations with other researchers

Works with:

Boudt, Kris (4)

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 (16)

Guillen, Montserrat (11)

Righi, Marcelo (9)

Lütkebohmert, Eva (8)

Laeven, Roger (7)

Rulliere, Didier (7)

Neely, Christopher (6)

Boudt, Kris (6)

De Waegenaere, Anja (6)

Bouamara, Nabil (6)

Paterlini, Sandra (6)

Cites to:

Dhaene, Jan (66)

Puccetti, Giovanni (33)

Dybvig, Phillip (26)

Dybvig, Philip (26)

EECKHOUDT, LOUIS (11)

Müller, Alfred (11)

Valdez, Emiliano (11)

Kahneman, Daniel (11)

Markowitz, Harry (10)

merton, robert (10)

Lo, Andrew (10)

Main data

Where Steven Vanduffel has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics8
European Journal of Operational Research7
Journal of Risk & Insurance6
Statistics & Probability Letters6
North American Actuarial Journal6
Quantitative Finance5
Scandinavian Actuarial Journal5
Dependence Modeling5
Review of Business and Economic Literature3
Finance and Stochastics2
The European Journal of Finance2
Annals of Operations Research2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10
Post-Print / HAL2
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2

Recent works citing Steven Vanduffel (2025 and 2024)

YearTitle of citing document
2024Optimal portfolios with anticipating information on the stochastic interest rate. (2024). Jos'e Antonio Salmer'on, ; Mart, Dolores Garc'Ia ; D'Auria, Bernardo. In: Papers. RePEc:arx:papers:1711.03642.

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2024Convolution Bounds on Quantile Aggregation. (2024). Liu, Yang ; Wang, Ruodu ; Blanchet, Jose ; Lam, Henry. In: Papers. RePEc:arx:papers:2007.09320.

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2024Joint mixability and notions of negative dependence. (2024). Koike, Takaaki ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2204.11438.

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2024Cost-efficiency in Incomplete Markets. (2024). Sturm, Stephan ; Bernard, Carole. In: Papers. RePEc:arx:papers:2206.12511.

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2024Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679.

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2024Uncertainty Propagation and Dynamic Robust Risk Measures. (2024). Pesenti, Silvana ; Moresco, Marlon ; Mailhot, M'Elina. In: Papers. RePEc:arx:papers:2308.12856.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024The Famous American Economist H. Markowitz and Mathematical Overview of his Portfolio Selection Theory. (2024). Gasparavivcius, Ignas ; Grigutis, Andrius. In: Papers. RePEc:arx:papers:2402.10253.

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2025Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems. (2025). Zhang, Ying ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2403.09532.

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2024Optimal VPPI strategy under Omega ratio with stochastic benchmark. (2024). Liang, Zongxia ; Zhang, Litian ; He, Lin ; Guan, Guohui. In: Papers. RePEc:arx:papers:2403.13388.

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2025Extremal cases of distortion risk measures with partial information. (2024). Balakrishnan, Narayanaswamy ; Zhao, Mengshuo ; Yin, Chuancun. In: Papers. RePEc:arx:papers:2404.13637.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Intertemporal Cost-efficient Consumption. (2024). Sturm, Stephan ; Elizalde, Mauricio. In: Papers. RePEc:arx:papers:2405.16336.

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2024Worst-cases of distortion riskmetrics and weighted entropy with partial information. (2024). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2405.19075.

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2024Generalized FGM dependence: Geometrical representation and convex bounds on sums. (2024). Semeraro, Patrizia ; Cossette, H'Elene ; Marceau, Etienne ; Mutti, Alessandro. In: Papers. RePEc:arx:papers:2406.10648.

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2025A note on robust convex risk measures. (2025). Righi, Marcelo. In: Papers. RePEc:arx:papers:2406.12999.

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2025Robust Lambda-quantiles and extreme probabilities. (2024). Han, Xia ; Liu, Peng. In: Papers. RePEc:arx:papers:2406.13539.

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2024Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2024). Nendel, Max ; Streicher, Jan ; de Vecchi, Corrado. In: Papers. RePEc:arx:papers:2406.19242.

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2024Examples and Counterexamples of Cost-efficiency in Incomplete Markets. (2024). Sturm, Stephan ; Bernard, Carole. In: Papers. RePEc:arx:papers:2407.08756.

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2024Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. (2024). Chong, Wing Fung ; Zhu, Michael B ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2409.05103.

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2024Contract Structure and Risk Aversion in Longevity Risk Transfers. (2024). Zhang, Yuanyuan ; Li, Hong ; Landriault, David. In: Papers. RePEc:arx:papers:2409.08914.

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2025Robust Reinforcement Learning with Dynamic Distortion Risk Measures. (2025). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2409.10096.

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2024Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information. (2024). Yin, Chuancun ; Zhao, Mengshuo. In: Papers. RePEc:arx:papers:2409.19902.

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2024Worst-case values of target semi-variances with applications to robust portfolio selection. (2024). Mao, Tiantian ; Jiao, Zhanyi ; Cai, Jun. In: Papers. RePEc:arx:papers:2410.01732.

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2024Robust Bernoulli mixture models for credit portfolio risk. (2024). Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2411.11522.

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2025Higher-Order Ambiguity Attitudes. (2025). Laeven, Roger ; Aygun, Mucahit ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2501.13143.

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2025Constructing elicitable risk measures. (2025). Ince, Akif ; Peri, Ilaria ; Moresco, Marlon ; Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2503.03471.

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2025Distortion risk measures of sums of two counter-monotonic risks. (2025). Huang, Chunle. In: Papers. RePEc:arx:papers:2503.05256.

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2025Robust distortion risk measures with linear penalty under distribution uncertainty. (2025). Zhang, Hui ; Tian, Dejian ; Du, Yuxin. In: Papers. RePEc:arx:papers:2503.15824.

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2025Dimension Reduction of Distributionally Robust Optimization Problems. (2025). Pesenti, Silvana M ; Tam, Brandon. In: Papers. RePEc:arx:papers:2504.06381.

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2025Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints. (2025). Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2504.19725.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025Extreme-case Range Value-at-Risk under Increasing Failure Rate. (2025). Su, Yuting ; Hu, Taizhong ; Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2506.23073.

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2025On data-driven robust distortion risk measures for non-negative risks with partial information. (2025). Hu, Yijun ; Wei, Linxiao ; Wang, Ran ; Han, Xiangyu. In: Papers. RePEc:arx:papers:2508.10682.

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2025Mean-tail Gini framework for optimal portfolio selection. (2025). Shanthirajah, Judeto ; Ricci, Stephano ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2509.17225.

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2025Robust risk evaluation of joint life insurance under dependence uncertainty. (2025). Koike, Takaaki. In: Papers. RePEc:arx:papers:2510.01971.

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2025Robust distortion risk metrics and portfolio optimization. (2025). Vanduffel, Steven ; Liu, Peng ; Xia, YI. In: Papers. RePEc:arx:papers:2511.08662.

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2025Mean Field Analysis of Mutual Insurance Market. (2025). Li, Bohan ; Phillip, Sheung Chi ; Hin, Kenneth Tsz. In: Papers. RePEc:arx:papers:2511.12292.

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2025Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2025). de Vecchi, Corrado ; Streicher, Jan ; Nendel, Max. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:739.

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2024Machine Learning techniques in joint default assessment. (2024). luciano, elisa ; Semeraro, Patrizia ; Fadda, Edoardo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:723.

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2024Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x.

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2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; van Staden, Pieter M ; Forsyth, Peter A. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

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2024Robust insurance design with distortion risk measures. (2024). Jiang, Wenjun ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:694-706.

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2024Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance. (2024). Yin, Mingren ; Cai, Jun ; Liu, Fangda. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:1:p:310-326.

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2024Blockchain adoption and optimal reinsurance design. (2024). Iyidogan, Engin ; Deguest, Romain ; Amini, Hamed ; Minca, Andreea. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:1:p:341-353.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2025Optimal reinsurance with multivariate risks and dependence uncertainty. (2025). Xia, YI ; Liu, Peng ; Hu, Junlei ; Fadina, Tolulope. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:231-242.

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2025Worst-case distortion riskmetrics and weighted entropy with partial information. (2025). Yin, Chuancun ; Zuo, Baishuai. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:476-492.

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2025Dynamic growth-optimal portfolio choice under risk control. (2025). Xu, Zuo Quan ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:325-340.

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2025Supplier encroachment with decision biases. (2025). Guo, Xiaolong ; Zhou, Fangkezi ; Su, Zenghui. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:1:p:129-141.

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2025Robust elicitable functionals. (2025). Miao, Kathleen E ; Pesenti, Silvana M. In: European Journal of Operational Research. RePEc:eee:ejores:v:326:y:2025:i:2:p:311-325.

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2024Variance insurance contracts. (2024). Chi, Yichun ; Yu, Xun ; Zhuang, Sheng Chao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82.

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2024Optimal investment-disinvestment choices in health-dependent variable annuity. (2024). Singh, Shakti ; D'Amico, Guglielmo ; Selvamuthu, Dharmaraja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:1-15.

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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2024Valuation of guaranteed lifelong withdrawal benefit with the long-term care option. (2024). Chen, Shaoying ; Yang, Yang ; Zhang, Zhimin ; Cui, Zhenyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:179-193.

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2024Optimal insurance design under asymmetric Nash bargaining. (2024). Hu, Tao ; Chi, Yichun ; Zheng, Jiakun ; Zhao, Zhengtang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:194-209.

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2025Mean-variance longevity risk-sharing for annuity contracts. (2025). Hanbali, Hamza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:207-235.

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2025Distributionally robust insurance under the Wasserstein distance. (2025). Boonen, Tim J ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:61-78.

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2025A generalized tail mean-variance model for optimal capital allocation. (2025). Xie, Hengyue ; Yao, Jing ; Wang, Guojing ; Yang, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:157-179.

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2025Pricing insurance contracts with an existing portfolio as background risk. (2025). de Vecchi, Corrado ; Scherer, Matthias. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:180-193.

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2025Portfolio benchmarks in defined contribution pension plan management. (2025). Liu, Yang ; Huang, Daxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000472.

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2025Forecasting and backtesting gradient allocations of expected shortfall. (2025). Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000770.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025Pareto efficiency and financial fairness under limited expected loss constraint. (2025). Nguyen, Thai ; Wa, Tak. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:117:y:2025:i:c:s0304406825000138.

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2025A novel credit model risk measure: Do more data lead to lower model risk?. (2025). de Genaro, Alan ; Yoshida, Valter T ; Schiozer, Rafael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000018.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Boudt, Kris ; Bouamara, Nabil ; Laurent, Sebastien. In: Working Papers. RePEc:fip:fedlwp:97969.

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2024Research on Risk-Averse Procurement Optimization of Emergency Supplies for Mine Thermodynamic Disasters. (2024). Li, Weimei ; Gao, Leifu. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:14:p:2222-:d:1436344.

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2024RecessionRisk + : A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting. (2024). Giacomelli, Jacopo ; Passalacqua, Luca. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:23:p:3747-:d:1531739.

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2025Optimal Investment Based on Performance Measure and Stochastic Benchmark Under PI and Position Constraints. (2025). Wang, Chengzhe ; Zhou, Congjin ; Dong, Yinghui. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1846-:d:1670232.

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2025Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice. (2025). Centrone, Francesca ; Gianin, Emanuela Rosazza. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:6:p:964-:d:1612548.

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2025Optimal Portfolios for Large Investors in Housing Markets Under Stress Scenarios: A Worst-Case Approach. (2025). Yilmaz, Bilgi. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10660-y.

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2024Dynamic capital allocation rules via BSDEs: an axiomatic approach. (2024). Mastrogiacomo, Elisa ; Gianin, Emanuela Rosazza. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04917-8.

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2024Improved robust price bounds for multi-asset derivatives under market-implied dependence information. (2024). Lütkebohmert, Eva ; Ansari, Jonathan ; Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00539-z.

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2025A framework of state-dependent utility optimisation with general benchmarks. (2025). Liu, Yang ; Liang, Zongxia ; Zhang, Litian. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00561-9.

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2024Group Risky Choice and Resource Allocation Under Social Comparison Effects. (2024). He, Ying ; Dong, Yucheng ; Chen, Xia. In: Group Decision and Negotiation. RePEc:spr:grdene:v:33:y:2024:i:5:d:10.1007_s10726-024-09875-z.

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2024Solving Maxmin Optimization Problems via Population Games. (2024). Schumacher, Johannes ; Schweizer, Nikolaus ; Balter, Anne G. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:201:y:2024:i:2:d:10.1007_s10957-024-02415-4.

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2024Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities. (2024). Gu, Xingchi ; Wei, Xiao. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10082-1.

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2024On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures. (2024). Cheng, Dongya. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10118-6.

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2025Should I stay or go? Valuation of multiple premium payment options for participating life insurance contracts. (2025). Schmeiser, Hato ; Chang, Hsiaoyin. In: Review of Managerial Science. RePEc:spr:rvmgts:v:19:y:2025:i:10:d:10.1007_s11846-025-00841-w.

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2025Compositional risk capital allocations. (2025). Gianin, Emanuela Rosazza ; Fiori, Anna Maria. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:2:d:10.1007_s10260-025-00785-1.

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2025Generalized Hoeffding-Fréchet functionals and mass transportation. (2025). Ludger, Rschendorf. In: Dependence Modeling. RePEc:vrs:demode:v:13:y:2025:i:1:p:15:n:1001.

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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]		paper10
2018Measuring Portfolio Risk Under Partial Dependence Information.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2018MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION.(2018) In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2014Rationalizing Investors Choice In: Papers.
[Full Text][Citation analysis]		paper10
2015Rationalizing investors’ choices.(2015) In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		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 nother version. Agregated cites: 10		paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2023Robust Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]		paper20
2024Robust distortion risk measures.(2024) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2023Cost-efficient Payoffs under Model Ambiguity In: Papers.
[Full Text][Citation analysis]		paper0
2024Cost-efficient payoffs under model ambiguity.(2024) In: Finance and Stochastics.
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This paper has nother version. Agregated cites: 0		article
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 nother version. Agregated cites: 0		article
2024Optimal Transport Divergences induced by Scoring Functions In: Papers.
[Full Text][Citation analysis]		paper4
2025Optimal payoff under Bregman-Wasserstein divergence constraints In: Papers.
[Full Text][Citation analysis]		paper1
2024Modeling coskewness with zero correlation and correlation with zero coskewness In: Papers.
[Full Text][Citation analysis]		paper0
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2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
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2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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2017Value-at-Risk Bounds With Variance Constraints In: Journal of Risk & Insurance.
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2014Explicit Representation of Cost-Efficient Strategies In: Finance.
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2014USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin.
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2014Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection In: European Journal of Operational Research.
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2017A stein type lemma for the multivariate generalized hyperbolic distribution In: European Journal of Operational Research.
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2019Optimal strategies under Omega ratio In: European Journal of Operational Research.
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2025Optimal payoffs under smooth ambiguity In: European Journal of Operational Research.
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2008On the parameterization of the CreditRisk + model for estimating credit portfolio risk In: Insurance: Mathematics and Economics.
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2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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2018Upper bounds for strictly concave distortion risk measures on moment spaces In: Insurance: Mathematics and Economics.
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2020Range Value-at-Risk bounds for unimodal distributions under partial information In: Insurance: Mathematics and Economics.
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2015A new approach to assessing model risk in high dimensions In: Journal of Banking & Finance.
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2020Optimal insurance in the presence of multiple policyholders In: Journal of Economic Behavior & Organization.
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2019Equivalent distortion risk measures on moment spaces In: Statistics & Probability Letters.
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2015Some Stein-type inequalities for multivariate elliptical distributions and applications In: Statistics & Probability Letters.
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2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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2015Dependence Uncertainty Bounds for the Expectile of a Portfolio In: Risks.
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2025Can an actuarially unfair tontine be optimal? In: The Geneva Risk and Insurance Review.
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2018Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR.
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2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets In: Applied Mathematical Finance.
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2025Linear risk sharing in intergenerational pension In: Scandinavian Actuarial Journal.
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2025Model uncertainty assessment for symmetric and right-skewed distributions In: Scandinavian Actuarial Journal.
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2019Optimal portfolio choice with benchmarks In: Journal of the Operational Research Society.
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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.
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2011Improving the Design of Financial Products in a Multidimensional Black-Scholes Market In: North American Actuarial Journal.
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2013Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) In: North American Actuarial Journal.
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2025Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions In: North American Actuarial Journal.
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2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal.
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2015Quantile of a Mixture with Application to Model Risk Assessment In: Dependence Modeling.
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2016Stat Trek. An interview with Christian Genest In: Dependence Modeling.
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2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
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2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
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2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
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2019Closed‐form approximations for spread options in Lévy markets In: Applied Stochastic Models in Business and Industry.
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2012AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING In: International Journal of Theoretical and Applied Finance (IJTAF).
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