Steven Vanduffel

Steven VanduffelSteven VanduffelSteven Vanduffel
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    • Short Bio
    • Selected Publications
    • Conferences
    • All Publications
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Steven Vanduffel

Steven VanduffelSteven VanduffelSteven Vanduffel
  • Short Bio
  • Selected Publications
  • Conferences
  • All Publications
  • Contact

ALL PUBLICATIONS

 

  • BERNARD, C., BONDARENKO, O., VANDUFFEL, S.   (2019). Option Implied Dependence. Cahier de recherche, DR 19-02 (March 2019). Canadian Derivatives Research. Another version is circulating as BONDARENKO, O., BERNARD, C. (2020). Option-Implied Dependence and Correlation Risk Premium (September 2020) ; see also here (June 2020) .
  • CORNILLY, D., PUCCETTI, G., RUSCHENDORF, L., VANDUFFEL, S.   (2021). On a synchronization problem with multiple instances. Forthcoming in Journal of Computational and Applied Mathematics.
  • CORNILLY, D., PUCCETTI, G., RUSCHENDORF, L., VANDUFFEL, S.   (2021). Fair allocation of indivisible goods with minimum inequality or minimum envy criteria. Forthcoming in European Journal of Operational Research.
  • BERNARD, C., DE VECCHI, C., VANDUFFEL, S.   (2021). When do two- or three-fund separation theorems hold. Published in Quantitative Finance.
  • BERNARD, C., LIU, F., VANDUFFEL, S.   (2020). Impact of Preferences on Optimal Insurance in the Presence of Multiple Policyholders. Published version in Journal of Economic Behavior & Organization.
  • BERNARD, C., KAZZI, R., VANDUFFEL, S.   (2020). Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information. Published version in Insurance: Mathematics and Economics.
  • TUITMAN, J., VANDUFFEL, S., YAO, J.   (2020). Correlation matrices with Average Constraints. Published version in Statistics and Probability Letters.
  • RUSCHENDORF, L., VANDUFFEL, S. (2020). On the Construction of Optimal Payoffs. Published version in Decisions in Economics and Finance.
  • BERNARD, C., BONDARENKO, O., VANDUFFEL, S.   (2020). A Model Free Approach to Multivariate Option Pricing. Published version in Review of Derivatives Research.
  • PUCCETTI, G., RUSCHENDORF, L., VANDUFFEL, S.   (2019). On the Computation of Wasserstein barycenters. Published version in Journal of Multivariate Analysis.
  • BOUDT, K., ROUSSEEUW, P., VANDUFFEL, S., VERDONCK, T.   (2019). The Minimum Regularized Covariance Determinant estimator. Published version in Statistics and Computing.
  • BERNARD, C., YE, J., VANDUFFEL, S.  (2019). A new efficiency test for ranking investments: Application to hedge fund performance. Published version in Economics Letters.
  • ALGABA, A., BOUDT, K., VANDUFFEL, S.   (2019). Variance Implied conditional correlation. Published version in European Journal of Finance.
  • CORNILLY, D., VANDUFFEL, S.  (2019). Equivalent Distortion Risk Measures on Moment Spaces. Statistics and Probability Letters. Volume 146, March 2019, Pages 187-192
  • BERNARD, C., YE, J., VANDUFFEL, S.  (2019). Optimal Strategies Under Omega Ratio. European Journal of Operational Research. Volume 275, Issue 2, 1 June 2019, Pages 755-767
  • CORNILLY, D., RUSCHENDORF, L., VANDUFFEL, S. (2018). Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces. Insurance: Mathematics and Economics. Volume 82, September 2018, Pages 141-151.
  • BERNARD, C., DENUIT, M. , VANDUFFEL, S. (2018). Measuring Portfolio Risk under Partial Dependence Information. Journal of Risk and Insurance, Volume 85, Issue3, Pages 843-863
  • VAN BELLE, J., VANDUFFEL, S., YAO, J. (2018). Closed-form Approximations for Spread Options in Levy Markets. Applied Stochastic Models in Business and Industry. Forthcoming
  • BERNARD, C., DE STAELEN, R., VANDUFFEL, S.  (2018). Optimal Portfolio Choice with Benchmarks. Journal of the Operational Research Society. Forthcoming
  • BERNARD, C., YE, J., VANDUFFEL, S.  (2018). Optimal Portfolio Under State-Dependent Expected Utility. International Journal of Theoretical and Applied Finance.
  • BERNARD, C., BONDARENKO, O., VANDUFFEL, S.  (2018). Rearrangement Algorithm and Maximum Entropy. Annals of Operations Research. Volume 261, Issue 1–2, pp 107–134 |
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S. (2017). Value-at-Risk Bounds with Variance Constraints Journal of Risk and Insurance, DOI: 10.1111/jori.12108. This paper was awarded the 2018 Robert. C. Witt award
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S., WANG, R. (2017). Risk Bounds for Factor Models. Finance and Stochastics.
  • BERNARD, C., CORNILLY, D., VANDUFFEL, S.  (2017). Optimal Portfolio Under a Correlation Constraint. Quantitative Finance.
  • VANDUFFEL, S., YAO, J. (2017). A Stein Type Lemma for the Multivariate Generalized Hyperbolic Distribution. European Journal of Operational Research.
  • PUCCETTI, G., RUSCHENDORF, L., SMALL, D., VANDUFFEL, S. (2017). Reduction of Value-at-Risk bounds via independence and variance information.  Scandinavian Actuarial Journal, Volume 2017, Issue 3, pp. 245-266.
  • BOUDT, K., JAKOBSONS, E., VANDUFFEL, S.  (2017). Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums. 4OR, a quarterly journal of operations research.
  • BERNARD, C., CUI, Z., VANDUFFEL, S. (2017). Impact of Flexible Periodic Premiums on Variable Annuity Guarantees.  North American Actuarial Journal, 21:1, 63-86.
  • JAKOBSONS, E., VANDUFFEL, S. (2015). Dependence Uncertainty Bounds for the Expectile of a Portfolio. Risks 2015, 3, 599-623
  • BERNARD, C., VANDUFFEL, S. (2015). Quantile of a Mixture with Application to Model Risk Assessment. Dependence Modeling, 3, 172-181
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S., YAO, J. (2017). How Robust is the Value-at-Risk of Credit Risk Portfolios? European Journal of Finance, 23(6), 507-534.
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S. (2015). Value-at-Risk Bounds with Variance Constraints Forthcoming in Journal of Risk and Insurance, DOI: 10.1111/jori.12108
  • BERNARD, C., CHEN, J.S., VANDUFFEL, S. (2015). Rationalizing investors' choices. Journal of Mathematical Economics, 59, 10-23
  • BERNARD, C., VANDUFFEL, S. (2015). A new approach to assessing model risk in high dimensions. Journal of Banking and Finance, 58, 166-178  (this paper received the PRMIA award for new frontiers in Risk Management)
  • BERNARD, C., MOREAUX, F., RUSCHENDORF, L., VANDUFFEL, S. (2015). Optimal payoffs under state-dependent constraints. Quantitative Finance,  15(7), 1157-1173.
  • LANDSMAN, Z., VANDUFFEL, S., YAO, J. (2014). Some Stein-types Inequalities for Multivariate Elliptical Distributions and Applications. Statistics and Probability Letters, 79, 54-62
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S. (2014). Optimal Claims with fixed payoff structure. Journal of Applied Probability, 51A, 175-188.
  • BERNARD, C., MOREAUX, F., RUSCHENDORF, L., VANDUFFEL, S. (2014). Optimal payoffs under state-dependent constraints. Quantitative Finance,  15(7), 1157-1173.
  • BERNARD, C., BOYLE, P.P., VANDUFFEL, S. (2014). Explicit Representation of Cost-efficient Strategies. Finance, 35(2), 5-55. This paper received the Johan de Witt Prijs.
  • BERNARD, C., VANDUFFEL, S. (2014). Financial Bounds for Insurance Claims. The Journal of Risk and Insurance, Vol 81, No. 1, 27-56. This paper received the SCOR-EGRIE Young Economist Best Paper Award
  • DEELSTRA, G., RAYEE, G., VANDUFFEL, S., YAO, J. (2014). Using model-independent lower bounds to Improve Pricing of Asian Style Options in Lévy Markets. Astin Bulletin, 44(2), 237-276
  • BERNARD, C., CHEN, J.S., VANDUFFEL, S. (2014). Optimal Portfolios under Worst-Case Scenarios. Special issue on Behavioral Finance (edited by Hersh Shefrin), Quantitative Finance 14(4), 657-671. This paper received the 2015 Redington Prize awarded by the Society of Actuaries.                          
  • BERNARD, C., VANDUFFEL, S. (2014).Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection. Special issue "60 Years Following Harry Markowitz's Contributions in Portfolio Theory and Operations Research" , European Journal of Operational research, 234, 469-480.
  • LANDSMAN, Z., VANDUFFEL, S., YAO, J. (2013). A Note on Stein's Lemma for Multivariate Elliptical Distributions, Journal of Statistical Planning and Inference, 143(11), 2016-2022
  • VANDUFFEL, S., YAO, J. (2013).Discussion on ''Asymptotic Analysis of Multivariate Tail Conditional Expectations, by Li Zhu and Haijun Li, Volume 16(3)", North American Actuarial Journal, 17(3), 98-100.
  • CHEUNG, K.C., VANDUFFEL, S. (2013). Bounds for sums of random variables when the marginals and the variance of the sum are known. Scandinavian Actuarial Journal, 13(2), 103-118.
  • BERNARD, C., JIANG, X., VANDUFFEL, S. (2012). Note on “Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options” by Tankov (2011). Journal of Applied Probability, Volume 49, Number 3, 866-875.
  • DHAENE, J., TSANAKAS, A., VALDEZ, E., VANDUFFEL, S. (2012). Optimal Capital Allocation rules. The Journal of Risk and Insurance, Vol. 79, No. 1, 1-28. This paper received the Lloyds science of Risk Prize, Lloyds of London, 2011.
  • PAGNONCELLI, B., VANDUFFEL, S. (2012). A provisioning problem with stochastic payments. European Journal of Operational Research, Vol. 221 (2), pp 445-453.
  • VANDUFFEL, S., AHCAN, A., HENRARD, L., MAJ, M. (2012). An explicit option-based strategy that outperforms Dollar Cost Averaging. International Journal of Theoretical and Applied Finance, Volume 15, Issue 02, March 2012.
  • LANDSMAN, Z., VANDUFFEL, S. (2011). Bounds for some sums of random variables. Statistics & Probability Letters, 81(3), March 2011, 382-391.
  • BERNARD, C., MAJ, M., VANDUFFEL, S. (2011). Improving the Design of Financial Products in a Multidimensional Black Scholes Market. North American Actuarial Journal, 15(1), 77-96. 
  • VANDUFFEL, S. (2010). Discussion on ''Weighted Pricing Functionals with Applications to Insurance: An Overview", North American Actuarial Journal, 14(2), 278-279.
  • CHERNIH, A., HERNARD, L., VANDUFFEL, S. (2010). Reconciling Asset Correlations, The Journal of Risk Model Validation, 4(2), Summer 2010, 47-64.
  • J. MARIN-SOLANO, O. ROCH, J. DHAENE, C. RIBAS, M.BOSCH-PRINCEP, S. VANDUFFEL. (2010). Buy-and-Hold Strategies and Comonotonic Approximations. Belgian Actuarial Journal, in Press.
  • VANDUFFEL, S. (2010) "Thou shalt buy 'simple' structured products only". Journal of Financial Transformation, Volume 28, page 12-14.
  • DHAENE, J., DENUIT, M., VANDUFFEL, S. (2009). Correlation order, merging and diversification. Insurance Mathematics and Economics, 45, 325-332.
  • VANDUFFEL, S., CHERNIH, A., MAJ, M., SCHOUTENS, W. (2009). A note on the Suboptimality of Path-dependent Pay-offs in Lévy markets. Applied Mathematical Finance, vol. 16(4), pp 315 -- 330.
  • VALDEZ, E., DHAENE, J., MAJ, M.,  VANDUFFEL, S. (2009). Bounds and approximations for sums of dependent log-elliptical random variables. Insurance: Mathematics and Economics, 44, 385-397.
  • VANDUFFEL, S., CHEN, X., DHAENE, J., GOOVAERTS, M., HENRARD, L. (2008). Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221(1), 202-218.
  • SUAREZ, F., VANDUFFEL, S. (2008). A Critical Note on MCEV Calculations Used in the Life Insurance Industry. Belgian Actuarial Bulletin 8(1), p. 54-59.
  • VANDUFFEL, S., SHANG, Z., HENRARD, L., DHAENE, J., VALDEZ, E. (2008). Analytic bounds and approximations for Annuities and Asian options. Insurance: Mathematics and Economics, Vol 42(3) pp 1109-1117.
  • CHERNIH, A., MAJ, M., VANDUFFEL, S. (2008). The Use and abuse of copulas in economic capital calculations. Belgian Actuarial Bulletin 7(1), 19-23
  • VANDENDORPE, A., HO, N., VANDUFFEL, S., VAN DOOREN, P. (2008). On the parameterisation of the CreditRisk+ model for estimating credit portfolio risk. Insurance: Mathematics and Economics, 42(3) 736–745.
  • DHAENE J., LAEVEN R., VANDUFFEL S., DARKIEWICZ G. GOOVAERTS M. (2008). Can a coherent risk measure be too subadditive? Journal of Risk and Insurance, 75 (2), 365-386.
  • DHAENE J., GOOVAERTS, M., VANDUFFEL S. (2008). Comontonicity. Encyclopedia of Quantitative Risk Assessment and Analysis, Melnick, E. and Everitt, B. (eds). John Wiley & Sons Ltd, Chichester, UK, pp. 274-279.
  • DHAENE J., HENRARD, L., LANDSMAN, Z., VANDENDORPE, A., VANDUFFEL, S. (2008). Some Results on the CTE-based capital allocation rule. Insurance: Mathematics and Economics, 42, 855–863.
  • VANDUFFEL, S., AVER, B., CHERNIH, A., HENRARD, L., RIBAS, C. (2008). Stress-testing the Impact of Group Dependence on Credit Portfolio Risk, Chapter of the Book “Stress-testing for Financial Institutions – applications, regulations and techniques”, Riskbooks, London, In press.
  • DHAENE J., VANDUFFEL S, GOOVAERTS, M. (2007). Comontonicity. Tijdschrift voor economie en Management, Vol. LII, 2.
  • DHAENE J., VANDUFFEL S., TANG Q., GOOVAERTS M.J., KAAS R., VYNCKE D. (2006). Risk measures and comonotonicity: a review. Stochastic Models, 22, 573-606.
  • SUAREZ, F. , DHAENE, J., HENRARD, L., VANDUFFEL, S. (2006). Basel II: Capital requirements for equity investment portfolios. Belgian Actuarial Bulletin, 5, 37-45.
  • DHAENE J., HENRARD, L., VANDUFFEL S. (2006). Is one Euro of actuaries worth the same as one Euro of financial economists? Belgian Actuarial Bulletin, 5, 59-60.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., KOCH, R., OLIESLAGERS, O., ROMIJN (2006). Consistent Assumptions for Modeling Credit Loss Correlations. Journal of Actuarial Practice, Volume 13, 165-174.
  • CHEN X., DHAENE J., GOOVAERTS M., VANDUFFEL S. (2006). A liability driven approach to asset allocation. Belgian Actuarial Bulletin, 5, 52-56.
  • DHAENE J., GOOVAERTS M.J., LUNDIN M., VANDUFFEL S.  (2006). Aggregating Economic Capital. Belgian Actuarial Bulletin. 5, 14-25.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., KAAS R., VYNCKE D., (2005). Comonotonic approximations for optimal portfolio selection problems. The Journal of Risk and Insurance 72 (2), 253-300.
  • VANDUFFEL S., DHAENE, J., GOOVAERTS, M.J. (2005). On the evaluation of saving-consumption plans. Journal of Pension Economics and Finance, 4(1), 17-30.
  • DHAENE J., VANDUFFEL S. (2005). Is het discrimineren van verzekerden discriminatie. Belgian Actuarial Bulletin, 57-58.
  • VYNCKE D., GOOVAERTS M., DHAENE J. (2005), VANDUFFEL S. (2005) Optimal portfolio selection for cash-flows with bounded Capital at Risk. Review of Business and Economics,  L(1), 103-114.
  • VANDUFFEL S., DHAENE, J., HOEDEMAKERS, T. (2005). Comparing approximations for risk measures of sums of non-independent lognormal random variables. North American Actuarial Journal, 9(4), 71-82.
  • DHAENE J., VANDUFFEL S., TANG Q., GOOVAERTS M.J., KAAS R., VYNCKE D. (2004). Capital requirements, risk measures and comonotonicity. Belgian Actuarial Bulletin, 4, 53-61.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., OLIESLAGERS R., KOCH R. (2003). On the computation of the capital multiplier in the Fortis credit economic capital model, Belgian Actuarial Bulletin, 3, 50-57.
  • VANDUFFEL S., DHAENE J., GOOVAERTS M.J., KAAS R. (2003). The hurdle-race problem. Insurance: Mathematics & Economics, 33(2), 405-414.DHAENE J., GOOVAERTS M.J.,
  • VANDUFFEL S., VYNCKE D., (2001). How to determine the capital requirements for a portfolio of annuity liabilities. Review of Business and Economics, XLVI, 533-544.

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