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 2 18 27 101
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 1 3 6 214
Coskewness under dependence uncertainty 0 0 0 2 0 3 6 13
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 2 3 6 12
Higher moments under dependence uncertainty with applications in insurance 0 0 1 1 8 16 19 19
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 0 3 6 12
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 0 13 15 19
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 4 8 8 9
Optimal Payoffs under State-dependent Preferences 0 0 0 15 0 2 5 37
Optimal Transport Divergences induced by Scoring Functions 0 0 0 2 2 5 9 14
Optimal capital allocation principles 0 0 0 141 0 3 5 368
Optimal payoff under Bregman-Wasserstein divergence constraints 0 0 0 1 0 1 2 3
Optimal payoffs under state-dependent constraints 0 0 0 0 0 0 1 24
Optimal payoffs under state-dependent preferences 0 0 0 0 3 7 18 34
Optimal portfolios under worst-case scenarios 0 0 0 0 0 8 9 30
Rationalizing Investors Choice 0 0 0 19 0 2 4 131
Robust Distortion Risk Measures 0 0 0 5 1 6 9 22
Robust distortion risk metrics and portfolio optimization 0 9 9 9 0 5 5 5
The variance implied conditional correlation 0 0 0 0 2 6 8 12
Total Working Papers 0 9 11 280 25 112 168 1,079

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 3 5 5 60
A model-free approach to multivariate option pricing 0 0 0 3 2 5 6 28
A new approach to assessing model risk in high dimensions 0 0 0 8 2 5 6 45
A new efficiency test for ranking investments: Application to hedge fund performance 0 0 0 4 0 4 6 47
A provisioning problem with stochastic payments 0 0 0 2 0 0 4 21
A stein type lemma for the multivariate generalized hyperbolic distribution 0 0 0 4 0 3 7 36
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 0 1 1 3 5 22
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 0 4 7 81
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 0 4 6 31
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 0 3 4 134
Bounds for some general sums of random variables 0 0 0 1 0 1 1 25
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given 0 0 0 0 2 3 6 7
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 4 6 191
Can an actuarially unfair tontine be optimal? 0 0 3 3 1 8 17 17
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 1 2 8 14
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 0 2 6 105
Comonotonicity 0 0 0 10 1 9 15 101
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 1 2 4 13
Correlation matrices with average constraints 0 0 1 3 0 5 6 15
Correlation order, merging and diversification 0 0 0 16 0 2 6 61
Coskewness under dependence uncertainty 0 0 0 0 0 3 7 8
Cost-efficient payoffs under model ambiguity 0 0 0 0 1 3 11 11
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 0 1 2 47
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 2 3 3 11
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 0 8 1 4 4 37
ETF Basket-Adjusted Covariance estimation 0 0 0 1 2 4 12 20
Equivalent distortion risk measures on moment spaces 0 0 0 0 0 1 1 9
Explicit Representation of Cost-Efficient Strategies 2 2 2 11 3 9 10 68
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 1 2 0 2 6 15
Financial Bounds for Insurance Claims 0 0 0 3 4 8 14 46
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 0 2 2 30
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 1 3 4 7
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions 1 1 1 1 1 2 2 2
Implied value-at-risk and model-free simulation 0 0 0 0 0 5 5 8
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 1 2 3 5
Linear risk sharing in intergenerational pension 1 1 1 1 5 7 8 8
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 1 4 6 52
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 0 5 8 77
Model uncertainty assessment for symmetric and right-skewed distributions 0 0 1 1 0 4 7 7
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 4 4 4
My introduction to copulas: An interview with Roger Nelsen 0 1 1 9 1 5 7 36
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 0 4 1 4 10 35
On the computation of Wasserstein barycenters 0 0 0 24 1 5 9 72
On the construction of optimal payoffs 0 0 0 3 0 0 8 22
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 3 5 7 81
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 38 1 4 9 112
Optimal Capital Allocation Principles 0 0 1 27 0 2 8 151
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 0 1 5 57
Optimal insurance in the presence of multiple policyholders 0 0 1 3 0 4 9 37
Optimal multivariate financial decision making 0 0 1 3 0 4 8 14
Optimal payoffs under smooth ambiguity 0 0 2 2 0 18 27 28
Optimal payoffs under state-dependent preferences 0 0 0 6 0 2 19 41
Optimal portfolio choice with benchmarks 0 0 0 1 0 2 4 12
Optimal portfolios under a correlation constraint 0 0 0 3 0 1 2 16
Optimal portfolios under worst-case scenarios 0 0 0 3 2 5 9 40
Optimal strategies under Omega ratio 0 1 2 20 1 11 17 73
Quantile of a Mixture with Application to Model Risk Assessment 0 0 0 5 0 3 6 32
Range Value-at-Risk bounds for unimodal distributions under partial information 0 0 2 9 0 7 12 44
Rationalizing investors’ choices 0 0 0 4 1 7 11 54
Rearrangement algorithm and maximum entropy 0 0 0 3 1 2 3 44
Reduction of Value-at-Risk bounds via independence and variance information 0 0 0 1 2 6 6 7
Risk bounds for factor models 0 0 1 8 0 4 9 40
Robust distortion risk measures 0 0 2 2 1 7 12 15
Some Stein-type inequalities for multivariate elliptical distributions and applications 0 0 0 5 0 2 4 35
Some results on the CTE-based capital allocation rule 0 0 0 47 0 4 5 224
Stat Trek. An interview with Christian Genest 0 0 0 3 6 7 11 318
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 0 3 3 14
The hurdle-race problem 0 0 0 42 0 1 2 194
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 0 1 3 6
The optimal payoff for a Yaari investor 0 0 0 1 0 4 5 7
The variance implied conditional correlation 0 0 0 1 2 6 8 20
Thou shalt buy ‘simple’ structured products only 0 0 0 0 1 1 1 86
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 0 2 4 19
Up- and down-correlations in normal variance mixture models 0 0 0 0 0 1 3 3
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 0 8 8 39
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 0 5 10 39
When do two- or three-fund separation theorems hold? 0 0 0 1 0 4 7 11
“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 4 6 24 514 60 308 545 3,673

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 5 9 15 38
Total Books 0 0 0 0 5 9 15 38

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Statistics updated 2026-03-04