Access Statistics for Steven Vanduffel

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Beta-Adjusted Covariance Estimation 0 0 1 36 1 10 35 113
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 1 4 9 218
Coskewness under dependence uncertainty 0 0 0 2 0 6 11 19
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 0 0 6 12
Higher moments under dependence uncertainty with applications in insurance 0 0 1 1 0 2 23 23
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 0 3 10 16
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 0 3 19 23
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 1 2 10 11
Optimal Payoffs under State-dependent Preferences 0 0 0 15 0 0 4 38
Optimal Transport Divergences induced by Scoring Functions 0 0 0 2 0 2 12 18
Optimal capital allocation principles 0 0 0 141 0 5 9 373
Optimal payoff under Bregman-Wasserstein divergence constraints 0 1 1 2 0 5 6 8
Optimal payoffs under state-dependent constraints 0 0 0 0 0 2 3 26
Optimal payoffs under state-dependent preferences 0 0 0 0 1 2 15 37
Optimal portfolios under worst-case scenarios 0 0 0 0 0 2 11 32
Rationalizing Investors Choice 0 0 0 19 2 5 10 137
Robust Distortion Risk Measures 0 0 0 5 0 0 11 24
Robust distortion risk metrics and portfolio optimization 0 0 9 9 0 3 10 10
The variance implied conditional correlation 0 0 0 0 0 1 9 13
Total Working Papers 0 1 12 281 6 57 223 1,151

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets 0 0 0 3 0 5 10 65
A model-free approach to multivariate option pricing 0 0 0 3 0 3 8 31
A new approach to assessing model risk in high dimensions 0 0 0 8 0 2 8 47
A new efficiency test for ranking investments: Application to hedge fund performance 0 0 0 4 0 3 9 50
A provisioning problem with stochastic payments 0 0 0 2 0 3 7 25
A stein type lemma for the multivariate generalized hyperbolic distribution 0 0 0 4 0 2 6 38
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 0 1 0 0 5 22
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 1 1 7 82
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 1 6 12 38
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 0 3 9 139
Bounds for some general sums of random variables 0 0 0 1 0 1 3 27
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given 0 0 0 0 0 1 7 8
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 4 10 195
Can an actuarially unfair tontine be optimal? 0 1 3 4 1 5 21 23
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 0 1 9 15
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 0 4 9 110
Comonotonicity 0 0 0 10 0 2 14 103
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 0 1 6 15
Correlation matrices with average constraints 0 0 1 3 0 1 7 16
Correlation order, merging and diversification 0 0 0 16 0 6 14 69
Coskewness under dependence uncertainty 0 0 0 0 1 7 13 15
Cost-efficient payoffs under model ambiguity 0 0 0 0 0 0 10 11
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 3 6 9 55
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 0 1 4 12
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 0 8 0 1 5 38
ETF Basket-Adjusted Covariance estimation 0 0 0 1 0 1 14 22
Equivalent distortion risk measures on moment spaces 0 0 0 0 0 4 5 13
Explicit Representation of Cost-Efficient Strategies 0 0 2 11 1 3 16 74
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 1 2 0 3 7 18
Financial Bounds for Insurance Claims 0 0 0 3 0 1 15 47
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 2 3 6 34
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 0 6 1 1 6 63
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees 0 0 0 2 0 6 9 13
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions 0 0 1 1 0 0 2 2
Implied value-at-risk and model-free simulation 0 0 0 0 1 3 8 11
Improved block rearrangement algorithm 0 0 0 0 0 7 9 9
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 0 1 5 7
Linear risk sharing in intergenerational pension 0 0 1 1 0 2 10 10
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 0 3 10 56
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 1 6 13 83
Model uncertainty assessment for symmetric and right-skewed distributions 0 1 2 2 0 2 10 10
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 0 4 4
Multivariate portfolio choice via quantiles 0 0 1 1 0 1 4 4
My introduction to copulas: An interview with Roger Nelsen 0 0 1 9 0 2 8 38
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 0 4 0 1 11 36
On the computation of Wasserstein barycenters 0 0 0 24 0 2 10 74
On the construction of optimal payoffs 0 0 0 3 1 1 3 23
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 0 6 13 87
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 38 0 2 12 116
On the unfairness of actuarial fair annuities 0 0 0 0 0 3 6 6
Optimal Capital Allocation Principles 0 0 1 27 2 4 12 156
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 1 2 7 59
Optimal insurance in the presence of multiple policyholders 0 0 1 3 2 4 13 41
Optimal multivariate financial decision making 0 0 1 3 0 5 12 20
Optimal payoffs under smooth ambiguity 0 1 2 3 1 4 32 34
Optimal payoffs under state-dependent preferences 0 0 0 6 0 2 12 43
Optimal portfolio choice with benchmarks 0 0 0 1 0 2 5 14
Optimal portfolios under a correlation constraint 0 0 0 3 0 1 3 17
Optimal portfolios under worst-case scenarios 0 0 0 3 0 1 10 42
Optimal strategies under Omega ratio 0 0 2 20 3 7 24 80
Quantile of a Mixture with Application to Model Risk Assessment 0 0 0 5 0 0 6 32
Range Value-at-Risk bounds for unimodal distributions under partial information 0 0 0 9 0 3 14 48
Rationalizing investors’ choices 0 0 0 4 0 2 14 57
Rearrangement algorithm and maximum entropy 0 0 0 3 1 3 8 49
Reduction of Value-at-Risk bounds via independence and variance information 0 0 0 1 0 3 9 10
Risk bounds for factor models 0 0 1 8 1 5 14 46
Robust distortion risk measures 0 0 1 2 1 3 14 19
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 0 5 0 0 4 35
Some results on the CTE-based capital allocation rule 0 0 0 47 0 4 9 228
Stat Trek. An interview with Christian Genest 0 0 0 3 1 3 15 323
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 0 3 6 17
The hurdle-race problem 0 0 0 42 0 2 4 196
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 0 5 9 12
The optimal payoff for a Yaari investor 0 0 0 1 0 2 8 10
The variance implied conditional correlation 0 0 0 1 0 1 9 21
Thou shalt buy ‘simple’ structured products only 0 0 0 0 0 2 3 88
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 0 2 6 21
Up- and down-correlations in normal variance mixture models 0 0 0 0 0 1 4 4
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 1 3 11 42
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 0 4 15 44
When do two- or three-fund separation theorems hold? 0 0 0 1 0 3 11 15
“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 0 0 0 0 0 0 3 11
Total Journal Articles 0 3 22 518 28 219 764 3,943

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Model Risk Management 0 0 0 0 1 2 15 40
Total Books 0 0 0 0 1 2 15 40

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Statistics updated 2026-07-10