NEW: Tool available for Fair Allocation of Goods: www.fair-allocation.com

Steven Vanduffel

Steven VanduffelSteven VanduffelSteven Vanduffel
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Steven Vanduffel

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

I am a professor in Finance and Insurance at Solvay Business School (Brussels). My research topics pertain to the fields of insurance, pension design and financial egineering.  My research has been published in journals such as Finance and Stochastics, Mathematical Finance, Journal of Mathematical Economics, Journal of Risk and Insurance, and Journal of Econometrics.


I was awarded the Robert Mehr Award (2022), the Robert C. Witt Award (2018), the Redington Prize (2015), the PRMIA Award for new frontiers in Risk Management (2014), the Johan de Witt Prize (2012), the SCOR-EGRIE Young Economist Best Paper Award (2011), and the Lloyds Science of Risk Prize (2011). 


I am a co-editor of ASTIN Bulletin (the journal of the international Actuarial association), an area editor with Risk Sciences as well as an associate editor of  Annals of Actuarial Science, European Actuarial Journal, and of Dependence Modeling. 


I am a passionate teacher specializing in topics such as insurance, advanced finance,  international finance, pension finance and risk management. I have recently co-developed an algorithm that make it possible to allocate a series of goods among people in a fair way. The tool is available at www.fair-allocation.com and is based on research that can be found here.  



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Actuarial research

Selected Publications


 

  • BOUDT, K., DRAGUN, K., SAURI, O., VANDUFFEL, S. (2022). ETF Basket-Adjusted Covariance estimation. Journal of Econometrics (OPEN ACCESS).  
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S., WANG, R. (2017). Risk bounds for factor models. Finance and Stochastics.
  • BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S. (2017).  Value-at-Risk bounds with variance constraints. Journal of Risk and Insurance (received the 2018 Robert. C. Witt award).
  • BERNARD, C., CHEN, J.S., VANDUFFEL, S. (2015). Rationalizing investors' choices. Journal of Mathematical Economics.  



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