Steven Vanduffel
Steven Vanduffel
Professor, Vrije Universiteit Brussel
Vahvistettu sähköpostiosoite verkkotunnuksessa vub.be - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
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
3092006
Optimal capital allocation principles
J Dhaene, A Tsanakas, EA Valdez, S Vanduffel
Journal of Risk and Insurance 79 (1), 1-28, 2012
2352012
Comonotonicity, correlation order and premium principles
S Wang, J Dhaene
Insurance: Mathematics and Economics 22 (3), 235-242, 1998
1741998
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
1572008
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
952008
Value‐at‐risk bounds with variance constraints
C Bernard, L Rüschendorf, S Vanduffel
Journal of Risk and Insurance 84 (3), 923-959, 2017
892017
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
882005
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
862005
Explicit representation of cost-efficient strategies
C Bernard, PP Boyle, S Vanduffel
Finance 35 (2), 5-55, 2014
732014
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
632008
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
592008
A new approach to assessing model risk in high dimensions
C Bernard, S Vanduffel
Journal of Banking & Finance 58, 166-178, 2015
582015
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
582004
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
452004
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
412017
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
412009
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
402006
A note on the suboptimality of path-dependent pay-offs in Lévy markets
S Vanduffel, A Chernih, M Maj, W Schoutens
Applied Mathematical Finance 16 (4), 315-330, 2009
392009
Measuring portfolio risk under partial dependence information
C Bernard, M Denuit, S Vanduffel
Journal of Risk and Insurance 85 (3), 843-863, 2018
372018
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
362014
Järjestelmä ei voi suorittaa toimenpidettä nyt. Yritä myöhemmin uudelleen.
Artikkelit 1–20