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Steven Vanduffel
Steven Vanduffel
Professor, Vrije Universiteit Brussel
Geverifieerd e-mailadres voor vub.be - Homepage
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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
3712006
Optimal capital allocation principles
J Dhaene, A Tsanakas, EA Valdez, S Vanduffel
Journal of Risk and Insurance 79 (1), 1-28, 2012
2972012
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
1792008
Value‐at‐risk bounds with variance constraints
C Bernard, L Rüschendorf, S Vanduffel
Journal of Risk and Insurance 84 (3), 923-959, 2017
1152017
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
1052008
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
912005
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
892005
Explicit representation of cost-efficient strategies
C Bernard 1, PP Boyle 2, S Vanduffel 3
Finance 35 (2), 5-55, 2014
842014
The minimum regularized covariance determinant estimator
K Boudt, PJ Rousseeuw, S Vanduffel, T Verdonck
Statistics and Computing 30 (1), 113-128, 2020
742020
A new approach to assessing model risk in high dimensions
C Bernard, S Vanduffel
Journal of Banking & Finance 58, 166-178, 2015
722015
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
702008
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
642008
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
602004
Measuring portfolio risk under partial dependence information
C Bernard, M Denuit, S Vanduffel
Journal of Risk and Insurance 85 (3), 843-863, 2018
532018
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
522017
Risk bounds for factor models
C Bernard, L Rüschendorf, S Vanduffel, R Wang
Finance and Stochastics 21, 631-659, 2017
512017
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
502014
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
482004
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
462006
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
452009
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Artikelen 1–20