IDEAS home Printed from https://ideas.repec.org/f/pva754.html
   My authors  Follow this author

Steven Vanduffel

Personal Details

First Name:Steven
Middle Name:
Last Name:Vanduffel
Suffix:
RePEc Short-ID:pva754
https://stevenvanduffel.com

Affiliation

Faculteit van de Economische, Sociale en Politieke Wetenschappen en Solvay Management School
Vrije Universiteit Brussel

Brussel, Belgium
http://www.vub.ac.be/ES/
RePEc:edi:fevubbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Silvana M. Pesenti & Steven Vanduffel, 2023. "Optimal Transport Divergences induced by Scoring Functions," Papers 2311.12183, arXiv.org, revised Apr 2024.
  2. Carole Bernard & Jinghui Chen & Ludger Ruschendorf & Steven Vanduffel, 2023. "Coskewness under dependence uncertainty," Papers 2303.17266, arXiv.org.
  3. Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2022. "Cost-efficient Payoffs under Model Ambiguity," Papers 2207.02948, arXiv.org, revised Aug 2023.
  4. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
  5. Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021. "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1010, Ghent University, Faculty of Economics and Business Administration.
  6. Andres Algaba & Kris Boudt & Steven Vanduffel, 2019. "The variance implied conditional correlation," ULB Institutional Repository 2013/290161, ULB -- Universite Libre de Bruxelles.
  7. Bernard, Carole & Denuit, Michel & Vanduffel, Steven, 2014. "Measuring Portfolio Risk under Partial Dependence Information," LIDAM Discussion Papers ISBA 2014009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  8. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2014. "Optimal portfolios under worst-case scenarios," ULB Institutional Repository 2013/257677, ULB -- Universite Libre de Bruxelles.
  9. Franck Moraux & Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2013. "Optimal payoffs under state-dependent constraints," Post-Print halshs-00830435, HAL.
  10. Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel, 2013. "Optimal Payoffs under State-dependent Preferences," Papers 1308.6465, arXiv.org, revised Jul 2014.
  11. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
  12. Dhaene, Jan & Tsanakas, Andreas & Emiliano, Valdez & Steven, Vanduffel, 2009. "Optimal capital allocation principles," MPRA Paper 13574, University Library of Munich, Germany.
  13. J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B, 2009. "Buy-and-Hold Strategies and Comonotonic Approximations," Working Papers in Economics 213, Universitat de Barcelona. Espai de Recerca en Economia.

Articles

  1. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2024. "Robust distortion risk measures," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 774-818, July.
  2. Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2024. "Cost-efficient payoffs under model ambiguity," Finance and Stochastics, Springer, vol. 28(4), pages 965-997, October.
  3. Ansari, Jonathan & Shushi, Tomer & Vanduffel, Steven, 2024. "Up- and down-correlations in normal variance mixture models," Statistics & Probability Letters, Elsevier, vol. 205(C).
  4. Carole Bernard & Andrea Perchiazzo & Steven Vanduffel, 2024. "Implied value-at-risk and model-free simulation," Annals of Operations Research, Springer, vol. 336(1), pages 925-943, May.
  5. Boudt, Kris & Dragun, Kirill & Sauri, Orimar & Vanduffel, Steven, 2023. "ETF Basket-Adjusted Covariance estimation," Journal of Econometrics, Elsevier, vol. 235(2), pages 1144-1171.
  6. Carole Bernard & Corrado De Vecchi & Steven Vanduffel, 2023. "The impact of correlation on (Range) Value-at-Risk," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2023(6), pages 531-564, July.
  7. Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.
  8. Bernard, Carole & Chen, Jinghui & Rüschendorf, Ludger & Vanduffel, Steven, 2023. "Coskewness under dependence uncertainty," Statistics & Probability Letters, Elsevier, vol. 199(C).
  9. Cornilly, Dries & Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven, 2022. "Fair allocation of indivisible goods with minimum inequality or minimum envy," European Journal of Operational Research, Elsevier, vol. 297(2), pages 741-752.
  10. K. Boudt & K. Dragun & S. Vanduffel, 2022. "The optimal payoff for a Yaari investor," Quantitative Finance, Taylor & Francis Journals, vol. 22(10), pages 1839-1852, October.
  11. Carole Bernard & Corrado De Vecchi & Steven Vanduffel, 2021. "When do two- or three-fund separation theorems hold?," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1869-1883, November.
  12. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2021. "A model-free approach to multivariate option pricing," Review of Derivatives Research, Springer, vol. 24(2), pages 135-155, July.
  13. Andres Algaba & Kris Boudt & Steven Vanduffel, 2020. "The variance implied conditional correlation," The European Journal of Finance, Taylor & Francis Journals, vol. 26(2-3), pages 200-222, February.
  14. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
  15. Bernard, Carole & Liu, Fangda & Vanduffel, Steven, 2020. "Optimal insurance in the presence of multiple policyholders," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 638-656.
  16. Tuitman, Jan & Vanduffel, Steven & Yao, Jing, 2020. "Correlation matrices with average constraints," Statistics & Probability Letters, Elsevier, vol. 165(C).
  17. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.
  18. Puccetti, Giovanni & Rüschendorf, Ludger & Vanduffel, Steven, 2020. "On the computation of Wasserstein barycenters," Journal of Multivariate Analysis, Elsevier, vol. 176(C).
  19. Carole Bernard & Rob H. De Staelen & Steven Vanduffel, 2019. "Optimal portfolio choice with benchmarks," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1600-1621, October.
  20. Jente Van Belle & Steven Vanduffel & Jing Yao, 2019. "Closed‐form approximations for spread options in Lévy markets," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 732-746, May.
  21. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "A new efficiency test for ranking investments: Application to hedge fund performance," Economics Letters, Elsevier, vol. 181(C), pages 203-207.
  22. Cornilly, Dries & Vanduffel, Steven, 2019. "Equivalent distortion risk measures on moment spaces," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 187-192.
  23. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
  24. Carole Bernard & Steven Vanduffel & Jiang Ye, 2018. "Optimal Portfolio Under State-Dependent Expected Utility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.
  25. C. Bernard & D. Cornilly & S. Vanduffel, 2018. "Optimal portfolios under a correlation constraint," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 333-345, March.
  26. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2018. "Rearrangement algorithm and maximum entropy," Annals of Operations Research, Springer, vol. 261(1), pages 107-134, February.
  27. Kris Boudt & Edgars Jakobsons & Steven Vanduffel, 2018. "Block rearranging elements within matrix columns to minimize the variability of the row sums," 4OR, Springer, vol. 16(1), pages 31-50, March.
  28. Carole Bernard & Michel Denuit & Steven Vanduffel, 2018. "Measuring Portfolio Risk Under Partial Dependence Information," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 85(3), pages 843-863, September.
  29. Cornilly, D. & Rüschendorf, L. & Vanduffel, S., 2018. "Upper bounds for strictly concave distortion risk measures on moment spaces," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 141-151.
  30. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "My introduction to copulas: An interview with Roger Nelsen," Dependence Modeling, De Gruyter, vol. 5(1), pages 88-98, January.
  31. Carole Bernard & Zhenyu Cui & Steven Vanduffel, 2017. "Impact of Flexible Periodic Premiums on Variable Annuity Guarantees," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(1), pages 63-86, January.
  32. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "The Vine Philosopher: An interview with Roger Cooke," Dependence Modeling, De Gruyter, vol. 5(1), pages 256-267, December.
  33. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
  34. Giovanni Puccetti & Ludger Rüschendorf & Daniel Small & Steven Vanduffel, 2017. "Reduction of Value-at-Risk bounds via independence and variance information," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(3), pages 245-266, March.
  35. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
  36. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Jing Yao, 2017. "How robust is the value-at-risk of credit risk portfolios?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 507-534, May.
  37. Vanduffel, Steven & Yao, Jing, 2017. "A stein type lemma for the multivariate generalized hyperbolic distribution," European Journal of Operational Research, Elsevier, vol. 261(2), pages 606-612.
  38. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek. An interview with Christian Genest," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, May.
  39. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, November.
  40. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
  41. Landsman, Zinoviy & Vanduffel, Steven & Yao, Jing, 2015. "Some Stein-type inequalities for multivariate elliptical distributions and applications," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 54-62.
  42. Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
  43. Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
  44. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
  45. Bernard Carole & Vanduffel Steven, 2015. "Quantile of a Mixture with Application to Model Risk Assessment," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-10, October.
  46. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2014. "Optimal portfolios under worst-case scenarios," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 657-671, April.
  47. Carole Bernard & Steven Vanduffel, 2014. "Financial Bounds for Insurance Claims," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(1), pages 27-56, March.
  48. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
  49. Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing, 2014. "Using Model-Independent Lower Bounds To Improve Pricing Of Asian Style Options In Lévy Markets," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 237-276, May.
  50. Carole Bernard & Phelim P. Boyle & Steven Vanduffel, 2014. "Explicit Representation of Cost-Efficient Strategies," Finance, Presses universitaires de Grenoble, vol. 35(2), pages 5-55.
  51. S. Vanduffel & Jing Yao, 2013. "Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)," North American Actuarial Journal, Taylor & Francis Journals, vol. 17(1), pages 98-100.
  52. Ka Cheung & Steven Vanduffel, 2013. "Bounds for sums of random variables when the marginal distributions and the variance of the sum are given," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2013(2), pages 103-118.
  53. Pagnoncelli, Bernardo K. & Vanduffel, Steven, 2012. "A provisioning problem with stochastic payments," European Journal of Operational Research, Elsevier, vol. 221(2), pages 445-453.
  54. Steven Vanduffel & Ales Ahcan & Luc Henrard & Mateusz Maj, 2012. "An Explicit Option-Based Strategy That Outperforms Dollar Cost Averaging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-19.
  55. Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
  56. Carole Bernard & Mateusz Maj & Steven Vanduffel, 2011. "Improving the Design of Financial Products in a Multidimensional Black-Scholes Market," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(1), pages 77-96.
  57. Landsman, Zinoviy & Vanduffel, Steven, 2011. "Bounds for some general sums of random variables," Statistics & Probability Letters, Elsevier, vol. 81(3), pages 382-391, March.
  58. Steven Vanduffel, 2010. "“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(2), pages 278-279.
  59. Vanduffel, Steven, 2010. "Thou shalt buy ‘simple’ structured products only," Journal of Financial Transformation, Capco Institute, vol. 28, pages 12-14.
  60. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  61. Steven Vanduffel & Andrew Chernih & Matheusz Maj & Wim Schoutens, 2009. "A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(4), pages 315-330.
  62. Dhaene, Jan & Denuit, Michel & Vanduffel, Steven, 2009. "Correlation order, merging and diversification," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 325-332, December.
  63. Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul, 2008. "On the parameterization of the CreditRisk + model for estimating credit portfolio risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 736-745, April.
  64. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386, June.
  65. Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S., 2008. "Some results on the CTE-based capital allocation rule," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 855-863, April.
  66. Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A., 2008. "Analytic bounds and approximations for annuities and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1109-1117, June.
  67. J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 265-278.
  68. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 253-300, June.
  69. Vanduffel, Steven & Dhaene, Jan & Goovaerts, Marc, 2005. "On the evaluation of ‘saving-consumption’ plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(1), pages 17-30, March.
  70. Steven Vanduffel & Tom Hoedemakers & Jan Dhaene, 2005. "Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(4), pages 71-82.
  71. D. Vyncke & M. Goovaerts & J. Dhaene & S. Vanduffel, 2005. "Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 103-114.
  72. Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R., 2003. "The hurdle-race problem," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 405-413, October.
  73. J. DHaene & M. Goovaerts & S. Vanduffel & D. Vyncke, 2001. "How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 533-544.

Books

  1. Rüschendorf,Ludger & Vanduffel,Steven & Bernard,Carole, 2024. "Model Risk Management," Cambridge Books, Cambridge University Press, number 9781009367165, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2009-01-17 2009-02-28 2021-02-22 2022-06-13
  2. NEP-UPT: Utility Models and Prospect Theory (3) 2013-03-02 2013-08-31 2022-08-29
  3. NEP-CFN: Corporate Finance (1) 2009-02-28
  4. NEP-ECM: Econometrics (1) 2021-02-22
  5. NEP-GTH: Game Theory (1) 2013-08-31
  6. NEP-IAS: Insurance Economics (1) 2009-02-28
  7. NEP-ORE: Operations Research (1) 2021-02-22

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Steven Vanduffel should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.