Access Statistics for Steven Vanduffel

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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 1 1 36 3 5 9 83
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 0 1 3 211
Coskewness under dependence uncertainty 0 0 0 2 0 2 3 10
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 2 3 3 9
Higher moments under dependence uncertainty with applications in insurance 0 0 1 1 1 2 3 3
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 2 2 3 9
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 2 2 3 6
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 0 1 1
Optimal Payoffs under State-dependent Preferences 0 0 0 15 0 1 4 35
Optimal Transport Divergences induced by Scoring Functions 0 0 0 2 1 2 5 9
Optimal capital allocation principles 0 0 0 141 0 1 4 365
Optimal payoff under Bregman-Wasserstein divergence constraints 0 0 1 1 0 0 2 2
Optimal payoffs under state-dependent constraints 0 0 0 0 1 1 2 24
Optimal payoffs under state-dependent preferences 0 0 0 0 3 5 11 27
Optimal portfolios under worst-case scenarios 0 0 0 0 1 1 2 22
Rationalizing Investors Choice 0 0 0 19 1 2 3 129
Robust Distortion Risk Measures 0 0 0 5 2 2 3 16
The variance implied conditional correlation 0 0 0 0 1 2 2 6
Total Working Papers 0 1 3 271 20 34 66 967

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 0 1 55
A model-free approach to multivariate option pricing 0 0 0 3 0 0 1 23
A new approach to assessing model risk in high dimensions 0 0 0 8 1 1 1 40
A new efficiency test for ranking investments: Application to hedge fund performance 0 0 1 4 1 1 6 43
A provisioning problem with stochastic payments 0 0 0 2 2 3 4 21
A stein type lemma for the multivariate generalized hyperbolic distribution 0 0 1 4 0 1 6 33
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 1 1 2 2 3 19
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 1 2 3 77
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 1 1 4 27
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 1 1 1 131
Bounds for some general sums of random variables 0 0 0 1 0 0 1 24
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given 0 0 0 0 2 3 3 4
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 1 2 2 187
Can an actuarially unfair tontine be optimal? 1 1 3 3 3 5 9 9
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 3 4 6 12
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 0 1 4 103
Comonotonicity 0 0 0 10 1 1 6 92
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 2 2 2 11
Correlation matrices with average constraints 0 0 1 3 0 0 1 10
Correlation order, merging and diversification 0 0 0 16 2 3 4 59
Coskewness under dependence uncertainty 0 0 0 0 2 2 4 5
Cost-efficient payoffs under model ambiguity 0 0 0 0 1 5 8 8
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 0 0 1 46
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 0 0 1 8
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 0 8 0 0 1 33
ETF Basket-Adjusted Covariance estimation 0 0 0 1 5 6 9 16
Equivalent distortion risk measures on moment spaces 0 0 0 0 0 0 0 8
Explicit Representation of Cost-Efficient Strategies 0 0 0 9 0 1 2 59
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 1 2 1 1 5 13
Financial Bounds for Insurance Claims 0 0 0 3 1 5 6 38
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 0 0 1 28
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 0 6 0 0 1 58
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees 0 0 1 2 0 0 1 4
Implied value-at-risk and model-free simulation 0 0 0 0 0 0 1 3
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 0 0 1 3
Linear risk sharing in intergenerational pension 0 0 0 0 1 1 1 1
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 2 2 3 48
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 2 2 3 72
Model uncertainty assessment for symmetric and right-skewed distributions 0 1 1 1 1 3 3 3
My introduction to copulas: An interview with Roger Nelsen 0 0 0 8 0 1 2 31
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 0 4 2 3 7 31
On the computation of Wasserstein barycenters 0 0 1 24 0 3 6 67
On the construction of optimal payoffs 0 0 0 3 1 1 8 22
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 1 2 3 76
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 38 1 3 6 108
Optimal Capital Allocation Principles 0 1 1 27 1 4 7 149
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 3 3 4 56
Optimal insurance in the presence of multiple policyholders 1 1 1 3 1 2 7 33
Optimal multivariate financial decision making 1 1 1 3 1 2 4 10
Optimal payoffs under smooth ambiguity 0 0 2 2 1 4 10 10
Optimal payoffs under state-dependent preferences 0 0 0 6 1 3 17 39
Optimal portfolio choice with benchmarks 0 0 0 1 1 1 3 10
Optimal portfolios under a correlation constraint 0 0 0 3 0 0 1 15
Optimal portfolios under worst-case scenarios 0 0 0 3 2 3 4 35
Optimal strategies under Omega ratio 0 1 1 19 5 6 6 62
Quantile of a Mixture with Application to Model Risk Assessment 0 0 0 5 1 3 3 29
Range Value-at-Risk bounds for unimodal distributions under partial information 0 0 4 9 1 3 9 37
Rationalizing investors’ choices 0 0 0 4 2 3 4 47
Rearrangement algorithm and maximum entropy 0 0 0 3 0 0 1 42
Reduction of Value-at-Risk bounds via independence and variance information 0 0 0 1 0 0 0 1
Risk bounds for factor models 0 1 1 8 2 3 5 36
Robust distortion risk measures 1 1 2 2 2 2 6 8
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 0 5 2 2 4 33
Some results on the CTE-based capital allocation rule 0 0 0 47 1 1 1 220
Stat Trek. An interview with Christian Genest 0 0 0 3 2 3 4 311
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 0 0 1 11
The hurdle-race problem 0 0 0 42 0 1 2 193
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 1 2 3 5
The optimal payoff for a Yaari investor 0 0 0 1 0 1 2 3
The variance implied conditional correlation 0 0 0 1 0 2 2 14
Thou shalt buy ‘simple’ structured products only 0 0 0 0 0 0 0 85
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 1 2 3 17
Up- and down-correlations in normal variance mixture models 0 0 0 0 0 1 2 2
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 0 0 0 31
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 3 5 5 34
When do two- or three-fund separation theorems hold? 0 0 0 1 2 2 3 7
“Weighted Pricing Functionals with Applications to Insurance: An Overview,” Edward Furman and Ricardas Zitikis, Vol. 13, No. 4, 2009 0 0 0 0 0 2 3 11
Total Journal Articles 4 8 24 508 80 140 278 3,365

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 2 2 10 29
Total Books 0 0 0 0 2 2 10 29

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Statistics updated 2025-12-06