Steven Vanduffel

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Dhaene JanOrdinary Professor Actuarial Science, KU LeuvenVerified email at kuleuven.be
Carole BernardProfessor, Grenoble Ecole de Management, FranceVerified email at grenoble-em.com
Rüschendorf,LudgerStochastik,Uni FreiburgVerified email at stochastik.uni-freiburg.de
Kaas, RobProfessor of Actuarial Statistics, University of AmsterdamVerified email at uva.nl
Emiliano A. ValdezUniversity of ConnecticutVerified email at uconn.edu
Kris BoudtGhent University, Vrije Universiteit Brussel, Vrije Universiteit AmsterdamVerified email at ugent.be
Qihe TangUniversity of New South WalesVerified email at unsw.edu.au
Andrew ChernihVerified email at andrewch.com
Giovanni PuccettiUniversity of Milan, ItalyVerified email at unimi.it
Wim SchoutensVerified email at kuleuven.be
Prof. dr. Jing YaoSoochow UniversityVerified email at suda.edu.cn
Rodrigue KazziPh.D. student in Mathematical Risk AnalysisVerified email at vub.be
ZINOVIY LANDSMANUniversity of HaifaVerified email at stat.haifa.ac.il
Tim VerdonckProfessor Statistics and Data Science, UAntwerpVerified email at uantwerpen.be
Andreas TsanakasProfessor of Risk Management, Bayes Business School, City, University of LondonVerified email at city.ac.uk
Griselda DeelstraUniversité libre de BruxellesVerified email at ulb.ac.be
Peter RousseeuwKU Leuven, BelgiumVerified email at rousseeuw.net
Silvana PesentiUniversity of TorontoVerified email at utoronto.ca
Oleg BondarenkoUniversity of Illinois at ChicagoVerified email at uic.edu
Michel DenuitISBA, LIDAM, UCLouvainVerified email at uclouvain.be

Steven Vanduffel

Professor, Vrije Universiteit Brussel

Verified email at vub.be - Homepage

Insurance Mathematics Financial Engineering Actuarial Science Operations Research


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Risk measures and comonotonicity: a review J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, Q Tang, D Vyncke Stochastic models 22 (4), 573-606, 2006	399	2006
Optimal capital allocation principles J Dhaene, A Tsanakas, EA Valdez, S Vanduffel Journal of Risk and Insurance 79 (1), 1-28, 2012	304	2012
Can a coherent risk measure be too subadditive? J Dhaene, RJA Laeven, S Vanduffel, G Darkiewicz, MJ Goovaerts Journal of Risk and Insurance 75 (2), 365-386, 2008	185	2008
Value‐at‐risk bounds with variance constraints C Bernard, L Rüschendorf, S Vanduffel Journal of Risk and Insurance 84 (3), 923-959, 2017	125	2017
The minimum regularized covariance determinant estimator K Boudt, PJ Rousseeuw, S Vanduffel, T Verdonck Statistics and Computing 30 (1), 113-128, 2020	112	2020
Some results on the CTE-based capital allocation rule J Dhaene, L Henrard, Z Landsman, A Vandendorpe, S Vanduffel Insurance: Mathematics and Economics 42 (2), 855-863, 2008	109	2008
Comonotonic approximations for optimal portfolio selection problems J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, D Vyncke Journal of Risk and Insurance 72 (2), 253-300, 2005	94	2005
Explicit representation of cost-efficient strategies C Bernard, PP Boyle, S Vanduffel Finance 35 (2), 5-55, 2014	91	2014
Comparing approximations for risk measures of sums of nonindependent lognormal random variables S Vanduffel, T Hoedemakers, J Dhaene North American Actuarial Journal 9 (4), 71-82, 2005	91	2005
A new approach to assessing model risk in high dimensions C Bernard, S Vanduffel Journal of Banking & Finance 58, 166-178, 2015	84	2015
On the parameterization of the CreditRisk+ model for estimating credit portfolio risk A Vandendorpe, ND Ho, S Vanduffel, P Van Dooren Insurance: Mathematics and Economics 42 (2), 736-745, 2008	74	2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations S Vanduffel, X Chen, J Dhaene, M Goovaerts, L Henrard, R Kaas Journal of Computational and Applied Mathematics 221 (1), 202-218, 2008	67	2008
Solvency capital, risk measures and comonotonicity: a review J Dhaene, S Vanduffel, Q Tang, M Goovaerts, R Kaas, D Vyncke Open Access publications from Katholieke Universiteit Leuven, 2004	61	2004
How robust is the value-at-risk of credit risk portfolios? C Bernard, L Rüschendorf, S Vanduffel, J Yao The European Journal of Finance 23 (6), 507-534, 2017	60	2017
Risk bounds for factor models C Bernard, L Rüschendorf, S Vanduffel, R Wang Finance and Stochastics 21, 631-659, 2017	57	2017
Measuring portfolio risk under partial dependence information C Bernard, M Denuit, S Vanduffel Journal of Risk and Insurance 85 (3), 843-863, 2018	55	2018
Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection C Bernard, S Vanduffel European Journal of operational research 234 (2), 469-480, 2014	54	2014
Robust distortion risk measures C Bernard, SM Pesenti, S Vanduffel Mathematical Finance 34 (3), 774-818, 2024	52	2024
Bounds and approximations for sums of dependent log-elliptical random variables EA Valdez, J Dhaene, M Maj, S Vanduffel Insurance: Mathematics and Economics 44 (3), 385-397, 2009	47	2009
Capital requirements, risk measures and comonotonicity J Dhaene, S Vanduffel, Q Tang, MJ Goovaerts, R Kaas, D Vyncke Belgian Actuarial Bulletin 4 (1), 53-61, 2004	47	2004

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