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) . Spot the differences and make up you mind.
BERNARD, C., JUNIKE, J., VANDUFFEL, S. (2024). Cost-efficient Payoffs under Model Ambiguity. Forthcoming in Finance & Stochastics.
CHEN, A., WILKE, M., VANDUFFEL, S. (2024) Optimal Payoffs under Smooth Ambiguity. Forthcoming in European Journal of Operational Research.
BERNARD, C. FELICIANGELI, M., VANDUFFEL, S. (2024). Can an actuarially unfair tontine be optimal. Forthcoming in Geneva Risk and Insurance Review
PESENTI, S., VANDUFFEL, S. (2024). Optimal Transport Divergences induced by Scoring Functions. Under review
BERNARD, C., KAZZI, R., VANDUFFEL, S. (2024). Model Uncertainty Assessment for Symmetric and Right-Skewed Distributions. Under Review
BERNARD, C., DE VECCHI, C., VANDUFFEL, S. (2024). Robust assessment of life insurance products. Forthcoming in Annals of Operational Research
BERNARD, C., CHEN, J., RUSCHENDORF, L., VANDUFFEL, S. (2023). Coskewness under dependence uncertainty. Published version in Statistics and Probability letters
ANSARI, J., SHUSHI, T., VANDUFFEL, S. (2023). Up- and down-correlations in normal variance mixture models. Published version in Statistics and Probability Letters.
BERNARD, C., KAZZI, R., VANDUFFEL, S. (2023). Bounds on Range Value-at-Risk for unimodal symmetric distributions. Under Review
BERNARD, C., PESENTI, S., VANDUFFEL, S. (2023). Robust distortion risk measures. Mathematical Finance (OPEN ACCESS)
PUCCETTI, G., RUSCHENDORF, L, VANDUFFEL, S (2023). MinCovTarget: a new standard for fair allocation. Under review
ANTHROPELOS, M., CHEN, A., VANDUFFEL, S., WILKE, M. (2023). Linear Risk Sharing in Intergenerational Pension. Under review.
CHEN, A., VANDUFFEL, S. (2023). On the unfairness of actuarial fair annuities. Published version in Decisions in Economics and Finance (Open access).
BERNARD, C., DE GENNARO, L., VANDUFFEL, S. (2023). Optimal Multivariate Decision Making. Published version in European Journal of Operational Research.
BERNARD, C., DE VECCHI, C. (2023) The impact of correlation on (Range) Value-at-Risk. Published version in Scandinavian Actuarial Journal.
BERNARD, C., KAZZI, R., VANDUFFEL, S.(2023) A Practical approach to quantitative model risk management Published version in Variance.
BOUDT, K., DRAGUN, K., SUARI,O., VANDUFFEL, S. (2022) ETF Basket-Adjusted Covariance estimation. Published version in Journal of Econometrics (open access).
BERNARD, C., PERCHIAZZO, A., VANDUFFEL, S. (2022) Implied value-at-risk and model free simulation. Published version in Annals of Operations Research.
BOUDT, K., DRAGUN, K., VANDUFFEL, S. (2022). The optimal payoff for a Yaari investor. Published version in Quantitative Finance.
CORNILLY, D., PUCCETTI, G., RUSCHENDORF, L., VANDUFFEL, S. (2022). On a synchronization problem with multiple instances. Published version in Journal of Computational and Applied Mathematics.
CORNILLY, D., PUCCETTI, G., RUSCHENDORF, L., VANDUFFEL, S. (2022). Fair allocation of indivisible goods with minimum inequality or minimum envy criteria. Published version 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., BONDARENKO, O., VANDUFFEL, S. (2021). A Model Free Approach to Multivariate Option Pricing. Published version in Review of Derivatives Research.
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.
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.

Files coming soon.

Steven Vanduffel

Steven Vanduffel

ALL PUBLICATIONS

Steven Vanduffel

ALL PUBLICATIONS

This website uses cookies.