×
Compute Distance To:
Author ID: vanduffel.steven Recent zbMATH articles by "Vanduffel, Steven"
Published as: Vanduffel, Steven; Vanduffel, S.
External Links: MGP · ORCID
Documents Indexed: 53 Publications since 2003
Co-Authors: 47 Co-Authors with 53 Joint Publications
985 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 481 times in 334 Documents Cited by Year
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
135
2006
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
33
2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R.
30
2008
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
26
2005
Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven
18
2009
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
A note on ‘Improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011). Zbl 1259.60022
Bernard, Carole; Jiang, Xiao; Vanduffel, Steven
16
2012
Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550
Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A.
13
2008
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
13
2017
On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk. Zbl 1152.91608
Vandendorpe, Antoine; Ho, Ngoc-Diep; Vanduffel, Steven; Van Dooren, Paul
12
2008
Optimal payoffs under state-dependent preferences. Zbl 1398.91503
Bernard, Carole; Moraux, Franck; Rüschendorf, Ludger; Vanduffel, Steven
12
2015
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim
10
2009
A note on Stein’s lemma for multivariate elliptical distributions. Zbl 1432.62152
Landsman, Zinoviy; Vanduffel, Steven; Yao, Jing
9
2013
Rationalizing investors’ choices. Zbl 1320.91132
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
8
2015
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. Zbl 1304.91181
Bernard, C.; Vanduffel, S.
8
2014
An explicit option-based strategy that outperforms dollar cost averaging. Zbl 1282.91349
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz
8
2012
A Stein type lemma for the multivariate generalized hyperbolic distribution. Zbl 1403.91265
Vanduffel, Steven; Yao, Jing
7
2017
Some Stein-type inequalities for multivariate elliptical distributions and applications. Zbl 1314.60068
Landsman, Zinoviy; Vanduffel, Steven; Yao, Jing
7
2015
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
7
2004
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
Optimal claims with fixed payoff structure. Zbl 1331.91156
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven
6
2014
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given. Zbl 1327.60047
Cheung, Ka Chun; Vanduffel, Steven
6
2013
The minimum regularized covariance determinant estimator. Zbl 1436.62197
Boudt, Kris; Rousseeuw, Peter J.; Vanduffel, Steven; Verdonck, Tim
5
2020
Optimal portfolios under worst-case scenarios. Zbl 1308.91136
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
5
2014
Improving the design of financial products in a multidimensional Black-Scholes market. Zbl 1213.91135
Bernard, Carole; Maj, Mateusz; Vanduffel, Steven
4
2011
Upper bounds for strictly concave distortion risk measures on moment spaces. Zbl 1416.91167
Cornilly, D.; Rüschendorf, L.; Vanduffel, Steven
4
2018
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
A provisioning problem with stochastic payments. Zbl 1253.91202
Pagnoncelli, Bernardo K.; Vanduffel, Steven
4
2012
Block rearranging elements within matrix columns to minimize the variability of the row sums. Zbl 1384.90041
Boudt, Kris; Jakobsons, Edgars; Vanduffel, Steven
4
2018
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
Bounds for some general sums of random variables. Zbl 1207.62119
Landsman, Zinoviy; Vanduffel, Steven
3
2011
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven
3
2020
Optimal strategies under omega ratio. Zbl 1431.91353
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
3
2019
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert
2
2003
Rearrangement algorithm and maximum entropy. Zbl 1404.91135
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
2
2018
Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187
Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven
1
2006
Correlation matrices with average constraints. Zbl 1450.62058
Tuitman, Jan; Vanduffel, Steven; Yao, Jing
1
2020
On the computation of Wasserstein barycenters. Zbl 07163065
Puccetti, Giovanni; Rüschendorf, Ludger; Vanduffel, Steven
1
2020
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
1
2021
Aggregating economic capital. Zbl 1398.91680
Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S.
1
2005
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
A new efficiency test for ranking investments: application to hedge fund performance. Zbl 1418.91452
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
1
2019
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
1
2021
The minimum regularized covariance determinant estimator. Zbl 1436.62197
Boudt, Kris; Rousseeuw, Peter J.; Vanduffel, Steven; Verdonck, Tim
5
2020
On the construction of optimal payoffs. Zbl 1444.91201
Rüschendorf, L.; Vanduffel, Steven
3
2020
Correlation matrices with average constraints. Zbl 1450.62058
Tuitman, Jan; Vanduffel, Steven; Yao, Jing
1
2020
On the computation of Wasserstein barycenters. Zbl 07163065
Puccetti, Giovanni; Rüschendorf, Ludger; Vanduffel, Steven
1
2020
Optimal strategies under omega ratio. Zbl 1431.91353
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
3
2019
A new efficiency test for ranking investments: application to hedge fund performance. Zbl 1418.91452
Bernard, Carole; Vanduffel, Steven; Ye, Jiang
1
2019
Upper bounds for strictly concave distortion risk measures on moment spaces. Zbl 1416.91167
Cornilly, D.; Rüschendorf, L.; Vanduffel, Steven
4
2018
Block rearranging elements within matrix columns to minimize the variability of the row sums. Zbl 1384.90041
Boudt, Kris; Jakobsons, Edgars; Vanduffel, Steven
4
2018
Rearrangement algorithm and maximum entropy. Zbl 1404.91135
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
2
2018
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
Reduction of value-at-risk bounds via independence and variance information. Zbl 1401.91185
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; Vanduffel, Steven
13
2017
A Stein type lemma for the multivariate generalized hyperbolic distribution. Zbl 1403.91265
Vanduffel, Steven; Yao, Jing
7
2017
Impact of flexible periodic premiums on variable annuity guarantees. Zbl 1414.91165
Bernard, Carole; Cui, Zhenyu; Vanduffel, Steven
3
2017
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
Optimal payoffs under state-dependent preferences. Zbl 1398.91503
Bernard, Carole; Moraux, Franck; Rüschendorf, Ludger; Vanduffel, Steven
12
2015
Rationalizing investors’ choices. Zbl 1320.91132
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
8
2015
Some Stein-type inequalities for multivariate elliptical distributions and applications. Zbl 1314.60068
Landsman, Zinoviy; Vanduffel, Steven; Yao, Jing
7
2015
Quantile of a mixture with application to model risk assessment. Zbl 1355.60019
Bernard, Carole; Vanduffel, Steven
4
2015
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection. Zbl 1304.91181
Bernard, C.; Vanduffel, S.
8
2014
Optimal claims with fixed payoff structure. Zbl 1331.91156
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven
6
2014
Optimal portfolios under worst-case scenarios. Zbl 1308.91136
Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven
5
2014
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
A note on Stein’s lemma for multivariate elliptical distributions. Zbl 1432.62152
Landsman, Zinoviy; Vanduffel, Steven; Yao, Jing
9
2013
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given. Zbl 1327.60047
Cheung, Ka Chun; Vanduffel, Steven
6
2013
A note on ‘Improved Fréchet bounds and model-free pricing of multi-asset options’ by Tankov (2011). Zbl 1259.60022
Bernard, Carole; Jiang, Xiao; Vanduffel, Steven
16
2012
An explicit option-based strategy that outperforms dollar cost averaging. Zbl 1282.91349
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz
8
2012
A provisioning problem with stochastic payments. Zbl 1253.91202
Pagnoncelli, Bernardo K.; Vanduffel, Steven
4
2012
Improving the design of financial products in a multidimensional Black-Scholes market. Zbl 1213.91135
Bernard, Carole; Maj, Mateusz; Vanduffel, Steven
4
2011
Bounds for some general sums of random variables. Zbl 1207.62119
Landsman, Zinoviy; Vanduffel, Steven
3
2011
Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven
18
2009
A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim
10
2009
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
33
2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R.
30
2008
Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550
Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A.
13
2008
On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk. Zbl 1152.91608
Vandendorpe, Antoine; Ho, Ngoc-Diep; Vanduffel, Steven; Van Dooren, Paul
12
2008
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
135
2006
Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187
Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven
1
2006
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
26
2005
Aggregating economic capital. Zbl 1398.91680
Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S.
1
2005
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
7
2004
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert
2
2003
all top 5

Cited by 467 Authors

38 Vanduffel, Steven
21 Dhaene, Jan
18 Rüschendorf, Ludger
17 Bernard, Carole L.
16 Cheung, Ka Chun
14 Wang, Ruodu
13 Landsman, Zinoviy M.
10 Furman, Edward
10 Yao, Jing
9 Tang, Qihe
7 Goovaerts, Marc J.
7 Linders, Daniël
7 Lo, Ambrose
7 Puccetti, Giovanni
7 Zitikis, Ričardas
5 Boonen, Tim J.
5 Cossette, Hélène
5 Durante, Fabrizio
5 Guillen, Montserrat
5 Kim, Joseph Hyun Tae
5 Marceau, Étienne
5 Yin, Chuancun
4 Ahn, Jae Youn
4 Ansari, Jonathan
4 Deelstra, Griselda
4 Denuit, Michel M.
4 Henrard, Luc
4 Maj, Mateusz
4 Papapantoleon, Antonis
4 Shushi, Tomer
4 Wolf, Viktor
4 Yang, Jingping
3 Bolancé, Catalina
3 Cui, Wei
3 Feng, Runhuan
3 Fernández-Sánchez, Juan
3 Hoedemakers, Tom
3 Hu, Taizhong
3 Kukush, Oleksandr Georgiĭovych
3 Laeven, Roger J. A.
3 Lux, Thibaut
3 Pitselis, Georgios
3 Saunders, David Claude
3 Schoutens, Wim
3 Sordo, Miguel Ángel
3 Tan, Ken Seng
3 Valdez, Emiliano A.
3 Vernic, Raluca
3 Weng, Chengguo
3 Yang, Fan
3 Ye, Jiang
3 Yuan, Zhongyi
2 Ahcan, Ales
2 Arias García, J. J.
2 Asimit, Alexandru V.
2 Balbás, Alejandro
2 Bäuerle, Nicole
2 Bondarenko, Oleg
2 Boyle, Phelim P.
2 Cai, Jun
2 Campi, Marco Claudio
2 Chen, Jit Seng
2 Cornilly, Dries
2 Cui, Zhenyu
2 De Baets, Bernard
2 Diallo, Ibrahima
2 Elbassioni, Khaled M.
2 Garatti, Simone
2 Gijbels, Irène
2 Hashorva, Enkelejd
2 He, Xuedong
2 Ignatieva, Katja
2 Jakobsons, Edgars
2 Jiang, Long
2 Joe, Harry
2 Kaas, Rob
2 Kountzakis, Christos E.
2 Kuznetsov, Alexey
2 Kye, Yisub
2 Ledwina, Teresa
2 Lee, Woojoo
2 Lin, Hongcan
2 Liu, Xiaoming
2 Lu, Zhiyi
2 Ma, Yong-Ki
2 Makov, Udi E.
2 Mamon, Rogemar S.
2 Mao, Tiantian
2 Mesiar, Radko
2 Nguyen, Trung Thanh
2 Nielsen, Jens Perch
2 Perman, Mihael
2 Quesada-Molina, José Juan
2 Recchia, Raffaella
2 Robert, Christian Yann
2 Scherer, Matthias
2 Scutellà, Maria Grazia
2 Song, Yongsheng
2 Su, Jianxi
2 Swan, Yvik C.
...and 367 more Authors
all top 5

Cited in 87 Serials

112 Insurance Mathematics & Economics
18 Journal of Computational and Applied Mathematics
15 Dependence Modeling
14 Scandinavian Actuarial Journal
14 ASTIN Bulletin
14 North American Actuarial Journal
13 European Journal of Operational Research
7 Statistics & Probability Letters
7 Communications in Statistics. Theory and Methods
6 International Journal of Theoretical and Applied Finance
5 Annals of Operations Research
4 Applied Mathematical Finance
4 Quantitative Finance
3 Journal of Applied Probability
3 International Journal of Approximate Reasoning
3 Methodology and Computing in Applied Probability
3 SIAM Journal on Financial Mathematics
2 Fuzzy Sets and Systems
2 Journal of Theoretical Probability
2 Linear Algebra and its Applications
2 Mathematical Programming. Series A. Series B
2 Bernoulli
2 Mathematical Problems in Engineering
2 Stochastic Models
2 4OR
2 Mathematics and Financial Economics
2 Advances in Mathematical Physics
2 European Actuarial Journal
2 Statistics and Computing
2 AIMS Mathematics
1 Advances in Applied Probability
1 Discrete Applied Mathematics
1 Information Processing Letters
1 Journal of Mathematical Analysis and Applications
1 Journal of Mathematical Physics
1 Psychometrika
1 Theory of Probability and its Applications
1 The Annals of Probability
1 Applied Mathematics and Optimization
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Economic Theory
1 Journal of Mathematical Economics
1 Journal of Multivariate Analysis
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Metron
1 Operations Research
1 SIAM Journal on Control and Optimization
1 Systems & Control Letters
1 Operations Research Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 Journal of Economic Dynamics & Control
1 Science in China. Series A
1 Economics Letters
1 Japan Journal of Industrial and Applied Mathematics
1 The Annals of Applied Probability
1 Computational Mathematics and Mathematical Physics
1 Economic Quality Control
1 Communications in Statistics. Simulation and Computation
1 International Journal of Computer Mathematics
1 Journal of Statistical Computation and Simulation
1 Computational Statistics and Data Analysis
1 Journal of Computer and Systems Sciences International
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Finance and Stochastics
1 Mathematical Finance
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Journal of Applied Statistics
1 Lobachevskii Journal of Mathematics
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Journal of Applied Mathematics
1 Review of Derivatives Research
1 Statistical Methods and Applications
1 Journal of the Korean Statistical Society
1 Probability Surveys
1 Advances in Decision Sciences
1 Statistics & Risk Modeling
1 Communications in Mathematics and Statistics
1 Open Mathematics
1 Probability, Uncertainty and Quantitative Risk

Citations by Year