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 6 10 34 109
Buy-and-Hold Strategies and Comonotonic Approximations 0 0 0 44 1 2 6 215
Coskewness under dependence uncertainty 0 0 0 2 5 5 11 18
Cost-efficient Payoffs under Model Ambiguity 0 0 0 4 0 2 6 12
Higher moments under dependence uncertainty with applications in insurance 0 0 1 1 1 11 22 22
Measuring Portfolio Risk Under Partial Dependence Information 0 0 0 0 3 4 10 16
Measuring Portfolio Risk under Partial Dependence Information 0 0 0 1 3 4 19 23
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 1 5 9 10
Optimal Payoffs under State-dependent Preferences 0 0 0 15 0 1 6 38
Optimal Transport Divergences induced by Scoring Functions 0 0 0 2 0 4 10 16
Optimal capital allocation principles 0 0 0 141 3 3 7 371
Optimal payoff under Bregman-Wasserstein divergence constraints 0 0 0 1 4 4 6 7
Optimal payoffs under state-dependent constraints 0 0 0 0 2 2 3 26
Optimal payoffs under state-dependent preferences 0 0 0 0 1 5 20 36
Optimal portfolios under worst-case scenarios 0 0 0 0 1 1 10 31
Rationalizing Investors Choice 0 0 0 19 3 4 8 135
Robust Distortion Risk Measures 0 0 0 5 0 3 11 24
Robust distortion risk metrics and portfolio optimization 0 0 9 9 2 4 9 9
The variance implied conditional correlation 0 0 0 0 1 3 9 13
Total Working Papers 0 0 11 280 37 77 216 1,131

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 4 7 9 64
A model-free approach to multivariate option pricing 0 0 0 3 3 5 8 31
A new approach to assessing model risk in high dimensions 0 0 0 8 1 3 7 46
A new efficiency test for ranking investments: Application to hedge fund performance 0 0 0 4 3 3 9 50
A provisioning problem with stochastic payments 0 0 0 2 2 3 6 24
A stein type lemma for the multivariate generalized hyperbolic distribution 0 0 0 4 2 2 6 38
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING 0 0 0 1 0 1 5 22
Analytic bounds and approximations for annuities and Asian options 0 0 0 19 0 0 7 81
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 5 6 11 37
Bounds and approximations for sums of dependent log-elliptical random variables 0 0 0 10 2 4 8 138
Bounds for some general sums of random variables 0 0 0 1 1 2 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 2 6 7
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 4 4 10 195
Can an actuarially unfair tontine be optimal? 0 0 3 3 3 5 21 21
Closed‐form approximations for spread options in Lévy markets 0 0 0 2 1 2 9 15
Comonotonic Approximations for Optimal Portfolio Selection Problems 0 0 0 23 4 5 9 110
Comonotonicity 0 0 0 10 2 3 17 103
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables 0 0 0 1 1 3 6 15
Correlation matrices with average constraints 0 0 1 3 1 1 7 16
Correlation order, merging and diversification 0 0 0 16 5 7 13 68
Coskewness under dependence uncertainty 0 0 0 0 6 6 12 14
Cost-efficient payoffs under model ambiguity 0 0 0 0 0 1 10 11
Dependence Uncertainty Bounds for the Expectile of a Portfolio 0 0 0 1 2 4 6 51
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) 0 0 0 0 1 3 4 12
Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio 0 0 0 8 1 2 5 38
ETF Basket-Adjusted Covariance estimation 0 0 0 1 1 4 14 22
Equivalent distortion risk measures on moment spaces 0 0 0 0 3 3 4 12
Explicit Representation of Cost-Efficient Strategies 0 2 2 11 1 7 14 72
Fair allocation of indivisible goods with minimum inequality or minimum envy 0 0 1 2 1 1 5 16
Financial Bounds for Insurance Claims 0 0 0 3 1 5 15 47
How robust is the value-at-risk of credit risk portfolios? 0 0 0 4 1 2 4 32
How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities 0 0 0 6 0 4 5 62
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees 0 0 0 2 5 6 8 12
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions 0 1 1 1 0 1 2 2
Implied value-at-risk and model-free simulation 0 0 0 0 1 1 6 9
Improved block rearrangement algorithm 0 0 0 0 6 8 8 8
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market 0 0 0 0 1 3 5 7
Linear risk sharing in intergenerational pension 0 1 1 1 2 7 10 10
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION 0 0 0 16 3 5 10 56
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 0 0 0 9 4 4 11 81
Model uncertainty assessment for symmetric and right-skewed distributions 0 0 1 1 1 2 9 9
Modeling coskewness with zero correlation and correlation with zero coskewness 0 0 0 0 0 0 4 4
Multivariate portfolio choice via quantiles 0 1 1 1 1 4 4 4
My introduction to copulas: An interview with Roger Nelsen 0 0 1 9 2 3 8 38
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY 0 0 0 4 1 2 11 36
On the computation of Wasserstein barycenters 0 0 0 24 2 3 10 74
On the construction of optimal payoffs 0 0 0 3 0 0 7 22
On the evaluation of ‘saving-consumption’ plans 0 0 0 10 6 9 13 87
On the parameterization of the CreditRisk + model for estimating credit portfolio risk 0 0 0 38 2 5 12 116
On the unfairness of actuarial fair annuities 0 0 0 0 3 3 6 6
Optimal Capital Allocation Principles 0 0 1 27 2 3 10 154
Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk 0 0 0 5 0 0 5 57
Optimal insurance in the presence of multiple policyholders 0 0 1 3 2 2 11 39
Optimal multivariate financial decision making 0 0 1 3 4 5 11 19
Optimal payoffs under smooth ambiguity 1 1 2 3 2 4 30 32
Optimal payoffs under state-dependent preferences 0 0 0 6 2 2 21 43
Optimal portfolio choice with benchmarks 0 0 0 1 1 1 5 13
Optimal portfolios under a correlation constraint 0 0 0 3 1 1 3 17
Optimal portfolios under worst-case scenarios 0 0 0 3 1 4 10 42
Optimal strategies under Omega ratio 0 0 2 20 4 5 21 77
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 1 9 2 3 14 47
Rationalizing investors’ choices 0 0 0 4 2 4 14 57
Rearrangement algorithm and maximum entropy 0 0 0 3 1 4 6 47
Reduction of Value-at-Risk bounds via independence and variance information 0 0 0 1 3 5 9 10
Risk bounds for factor models 0 0 1 8 3 4 13 44
Robust distortion risk measures 0 0 1 2 2 4 14 18
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 4 4 9 228
Stat Trek. An interview with Christian Genest 0 0 0 3 1 9 13 321
The Vine Philosopher: An interview with Roger Cooke 0 0 0 0 3 3 6 17
The hurdle-race problem 0 0 0 42 1 1 3 195
The impact of correlation on (Range) Value-at-Risk 0 0 0 0 5 6 9 12
The optimal payoff for a Yaari investor 0 0 0 1 1 2 7 9
The variance implied conditional correlation 0 0 0 1 1 3 9 21
Thou shalt buy ‘simple’ structured products only 0 0 0 0 2 3 3 88
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 1 1 5 20
Up- and down-correlations in normal variance mixture models 0 0 0 0 1 1 4 4
Upper bounds for strictly concave distortion risk measures on moment spaces 0 0 0 4 2 2 10 41
Value-at-Risk Bounds With Variance Constraints 0 0 0 4 4 5 15 44
When do two- or three-fund separation theorems hold? 0 0 0 1 3 4 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 1 6 22 516 163 271 733 3,887

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 6 15 39
Total Books 0 0 0 0 1 6 15 39

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Statistics updated 2026-05-06