Steven Vanduffel

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Dhaene JanOrdinary Professor Actuarial Science, KU LeuvenVerified email at kuleuven.be
Carole BernardProfessor, Grenoble Ecole de Management, FranceVerified email at grenoble-em.com
Rüschendorf,LudgerStochastik,Uni FreiburgVerified email at stochastik.uni-freiburg.de
Kaas, RobProfessor of Actuarial Statistics, University of AmsterdamVerified email at uva.nl
Emiliano A. ValdezUniversity of ConnecticutVerified email at uconn.edu
Andrew ChernihVerified email at andrewch.com
Wim SchoutensVerified email at kuleuven.be
Qihe TangUniversity of New South WalesVerified email at unsw.edu.au
Kris BoudtGhent University, Vrije Universiteit Brussel, Vrije Universiteit AmsterdamVerified email at ugent.be
Giovanni PuccettiUniversity of Milan, ItalyVerified email at unimi.it
Prof. dr. Jing YaoSoochow UniversityVerified email at suda.edu.cn
ZINOVIY LANDSMANUniversity of HaifaVerified email at stat.haifa.ac.il
Andreas TsanakasProfessor of Risk Management, Bayes Business School, City, University of LondonVerified email at city.ac.uk
Rodrigue KazziPh.D. student in Mathematical Risk AnalysisVerified email at vub.be
Griselda DeelstraUniversité libre de BruxellesVerified email at ulb.ac.be
Tim VerdonckProfessor Statistics and Data Science, UAntwerpVerified email at uantwerpen.be
Peter RousseeuwKU Leuven, BelgiumVerified email at rousseeuw.net
Franck MorauxUniversité de RennesVerified email at univ-rennes1.fr
Oleg BondarenkoUniversity of Illinois at ChicagoVerified email at uic.edu
Silvana PesentiUniversity of TorontoVerified email at utoronto.ca

Steven Vanduffel

Professor, Vrije Universiteit Brussel

Verified email at vub.be - Homepage

Insurance Mathematics Financial Engineering Actuarial Science Operations Research Behavioral


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Risk measures and comonotonicity: a review J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, Q Tang, D Vyncke Stochastic models 22 (4), 573-606, 2006	369	2006
Optimal capital allocation principles J Dhaene, A Tsanakas, EA Valdez, S Vanduffel Journal of Risk and Insurance 79 (1), 1-28, 2012	296	2012
Can a coherent risk measure be too subadditive? J Dhaene, RJA Laeven, S Vanduffel, G Darkiewicz, MJ Goovaerts Journal of Risk and Insurance 75 (2), 365-386, 2008	179	2008
Value‐at‐risk bounds with variance constraints C Bernard, L Rüschendorf, S Vanduffel Journal of Risk and Insurance 84 (3), 923-959, 2017	114	2017
Some results on the CTE-based capital allocation rule J Dhaene, L Henrard, Z Landsman, A Vandendorpe, S Vanduffel Insurance: Mathematics and Economics 42 (2), 855-863, 2008	105	2008
Comonotonic approximations for optimal portfolio selection problems J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, D Vyncke Journal of Risk and Insurance 72 (2), 253-300, 2005	90	2005
Comparing approximations for risk measures of sums of nonindependent lognormal random variables S Vanduffel, T Hoedemakers, J Dhaene North American Actuarial Journal 9 (4), 71-82, 2005	88	2005
Explicit representation of cost-efficient strategies C Bernard 1, PP Boyle 2, S Vanduffel 3 Finance 35 (2), 5-55, 2014	84	2014
A new approach to assessing model risk in high dimensions C Bernard, S Vanduffel Journal of Banking & Finance 58, 166-178, 2015	72	2015
The minimum regularized covariance determinant estimator K Boudt, PJ Rousseeuw, S Vanduffel, T Verdonck Statistics and Computing 30 (1), 113-128, 2020	71	2020
On the parameterization of the CreditRisk+ model for estimating credit portfolio risk A Vandendorpe, ND Ho, S Vanduffel, P Van Dooren Insurance: Mathematics and Economics 42 (2), 736-745, 2008	69	2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations S Vanduffel, X Chen, J Dhaene, M Goovaerts, L Henrard, R Kaas Journal of Computational and Applied Mathematics 221 (1), 202-218, 2008	64	2008
Solvency capital, risk measures and comonotonicity: a review J Dhaene, S Vanduffel, Q Tang, M Goovaerts, R Kaas, D Vyncke DTEW Research Report 0416, 1-33, 2004	60	2004
Measuring portfolio risk under partial dependence information C Bernard, M Denuit, S Vanduffel Journal of Risk and Insurance 85 (3), 843-863, 2018	51	2018
How robust is the value-at-risk of credit risk portfolios? C Bernard, L Rüschendorf, S Vanduffel, J Yao The European Journal of Finance 23 (6), 507-534, 2017	51	2017
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection C Bernard, S Vanduffel European Journal of operational research 234 (2), 469-480, 2014	50	2014
Risk bounds for factor models C Bernard, L Rüschendorf, S Vanduffel, R Wang Finance and Stochastics 21, 631-659, 2017	48	2017
Capital requirements, risk measures and comonotonicity J Dhaene, S Vanduffel, Q Tang, MJ Goovaerts, R Kaas, D Vyncke Belgian Actuarial Bulletin 4 (1), 53-61, 2004	48	2004
Asset correlations: a literature review and analysis of the impact of dependent loss given defaults A Chernih, S Vanduffel, L Henrard Katholieke University Leuven, 1-15, 2006	46	2006
Bounds and approximations for sums of dependent log-elliptical random variables EA Valdez, J Dhaene, M Maj, S Vanduffel Insurance: Mathematics and Economics 44 (3), 385-397, 2009	45	2009

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