Steven Vanduffel

Finance · 2005–2022

A researcher in the Science corpus: 8 papers; trusts 18 researchers and is trusted by 7 researchers here, as inferred from the citation graph.

Subfields

• Finance — 60 citations into it; #5,043 of 10,518 by trust here, #2,723 by citations
• Management Science and Operations Research — 56 citations into it; #5,229 of 11,946 by trust here, #2,241 by citations
• Economics and Econometrics — 41 citations into it; #14,164 of 23,481 by trust here, #15,581 by citations
• Demography — 34 citations into it
• Statistics and Probability — 15 citations into it
• Ocean Engineering — 5 citations into it

Whom Steven Vanduffel trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jan Dhaene
2. Shaun S. Wang
3. Rob Kaas
4. Marc J. Goovaerts
5. Michel Denuit
6. Samuel Kotz
7. C. Acerbi
8. Alexander J. McNeil
9. Paul Embrechts
10. Zinoviy Landsman

Who trusts Steven Vanduffel overall

1. Paul Embrechts
2. Jan Dhaene
3. Carole Bernard
4. Ruodu Wang
5. Ken Seng Tan
6. Qihe Tang

Papers from Steven Vanduffel's perspective

Ordered by how strongly the researchers Steven Vanduffel trusts endorse each paper. Same corpus, a different order for every researcher.

1. Convex measures of risk and trading constraints (Finance and Stochastics)
2. On law invariant coherent risk measures
3. The Pricing of Options and Corporate Liabilities
4. The Dual Theory of Choice under Risk
5. Quantitative Risk Management: Concepts, Techniques, and Tools
6. Actuarial Theory for Dependent Risks: Measures, Orders and Models
7. Theory of Games and Economic Behavior
8. Arbitrage Theory in Continuous Time
9. Optimal Portfolios with Bounded Capital at Risk
10. Self-Annuitization and Ruin in Retirement

Their papers

• Risk Measures and Comonotonicity: A Review (2006) — 337 citations
• Comonotonic Approximations for Optimal Portfolio Selection Problems (2005) — 92 citations
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (2005) — 74 citations
• Value-at-Risk Bounds with Variance Constraints (2015) — 105 citations
• Optimal Capital Allocation Principles (2005) — 245 citations
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008) — 59 citations
• Robust distortion risk measures (2022) — 53 citations
• A New Approach to Assessing Model Risk in High Dimensions (2015) — 75 citations