S
Study
Academic Library
Search
Shelves
Open access
My library
Review
Steven Vanduffel · Study
Home
/
Author
Steven Vanduffel
14 works
· latest 2023
· 4 institutions
cluster: provisional
ORCID 0000-0003-0511-1044
Works
14 shown
Robust distortion risk measures
Mathematical Finance
·
2023
·
3 authors
·
Open access
50
citations
The Vine Philosopher
Dependence Modeling
·
2017
·
4 authors
·
Open access
1
citations
MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION
Journal of Risk & Insurance
·
2016
·
3 authors
·
Open access
36
citations
Value‐at‐Risk Bounds With Variance Constraints
Journal of Risk & Insurance
·
2015
·
3 authors
·
Open access
102
citations
A new approach to assessing model risk in high dimensions
Journal of Banking & Finance
·
2015
·
2 authors
·
Open access
69
citations
Explicit Representation of Cost-Efficient Strategies
Finance
·
2014
·
3 authors
·
Open access
47
citations
Optimal Capital Allocation Principles
Journal of Risk & Insurance
·
2011
·
4 authors
224
citations
Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance
·
2008
·
5 authors
·
Open access
105
citations
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
Journal of Computational and Applied Mathematics
·
2007
·
5 authors
·
Open access
56
citations
Some results on the CTE-based capital allocation rule
Insurance Mathematics and Economics
·
2007
·
5 authors
·
Open access
86
citations
On the parameterization of the CreditRisk + model for estimating credit portfolio risk
Insurance Mathematics and Economics
·
2007
·
4 authors
41
citations
Risk Measures and Comonotonicity: A Review
Stochastic Models
·
2006
·
6 authors
·
Open access
56
citations
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
North American Actuarial Journal
·
2005
·
3 authors
·
Open access
75
citations
Comonotonic Approximations for Optimal Portfolio Selection Problems
Journal of Risk & Insurance
·
2005
·
5 authors
70
citations