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Risk measures and comonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003329684

A note on optimal lower bound approximations for risk measures of sums of lognormals

Vanduffel, Steven; Chen, X.; Dhaene, Jan; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003610847

Comonotonicity

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J. - In: Tijdschrift voor economie en management 52 (2007) 2, pp. 265-278

Persistent link: https://www.econbiz.de/10003503081

Comparing approximations for risk measures of sums of non-independent lognormal random variables

Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004

Persistent link: https://www.econbiz.de/10002153412

Closed-form approximations for constant continuous annuities

Vanduffel, Steven; Dhaene, Jan; Valdez, Emiliano - 2005

Persistent link: https://www.econbiz.de/10002723917

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

A model-free approach to multivariate option pricing

Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155

Persistent link: https://www.econbiz.de/10012549100

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414

Upper bounds for strictly concave distortion risk measures on moment spaces

Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151

Persistent link: https://www.econbiz.de/10011929851