Research output per year
Research output per year
- 1 - 50 out of 99 results
Search results
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2025
Can an Actuarially Unfair Tontine Be Optimal?
Bernard, C., Feliciangeli, M. & Vanduffel, S., 2025, (Accepted/In press) In: Geneva Risk and Insurance Review.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions
Bernard, C., Kazzi, R. & Vanduffel, S., 2025, (Accepted/In press) In: North American Actuarial Journal. 19 p.Research output: Contribution to journal › Article › peer-review
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Model uncertainty assessment for symmetric and right-skewed distributions
Bernard, C., Kazzi, R. & Vanduffel, S., 2025, (Accepted/In press) In: Scandinavian Actuarial Journal.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Optimal Payoffs under Smooth Ambiguity
Chen, A., Vanduffel, S. & Wilke, M. C., 1 Feb 2025, In: European Journal of Operational Research. 320, 3, p. 754-764Research output: Contribution to journal › Article › peer-review
Open Access2 Citations (Scopus) -
Robust Assessment of Life Insurance Products
Bernard, C., De Vecchi, C. & Vanduffel, S., 2025, (Accepted/In press) In: Annals of Operations Research.Research output: Contribution to journal › Article › peer-review
Open Access -
2024
Cost-efficiency under Ambiguity
Bernard, C., Junike, G., Lux, T. & Vanduffel, S., 20 Sep 2024, In: Finance and Stochastics. 28, 4, p. 965-997 33 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)8 Downloads (Pure) -
Implied value-at-risk and model-free simulation
Bernard, C., Perchiazzo, A. & Vanduffel, S., May 2024, In: Annals of Operations Research. 336, 1, p. 925–943 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Downloads (Pure) -
Linear Risk Sharing in Intergenerational Pension
Anthropelos, M., Chen, A., Vanduffel, S. & Wilke, M. C., 7 Oct 2024, (Accepted/In press) In: Scandinavian Actuarial Journal.Research output: Contribution to journal › Article › peer-review
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Model Risk Management Risk Bounds under Uncertainty
Rüschendorf, L., Vanduffel, S. & Bernard, C., 2024, 1 ed. Cambridge University Press. 324 p.Research output: Book/Report › Book › Research
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Robust distortion measures
Bernard, C., Pesenti, S. & Vanduffel, S., Jul 2024, In: Mathematical Finance. 34, 3, p. 774-818 45 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile8 Citations (Scopus) -
Socio-Economic Mortality Curves: The Belgium Case
Feliciangeli, M., Vanduffel, S. & Kerkhof, J., 7 Jul 2024, (Submitted).Research output: Working paper › Preprint › peer-review
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Up- and down-correlations in normal variance mixture models
Jonathan Ansari, Tomer Shushi & Vanduffel, S., Feb 2024, In: Statistics & Probability Letters. 205, 6 p., 109949.Research output: Contribution to journal › Article › peer-review
Open Access1 Citation (Scopus) -
2023
A Practical Approach to Quantitative Model Risk Assessment
Bernard, C., Kazzi, R. & Vanduffel, S., 2023, In: Variance (Arlington, Va. Online). 16, 1, p. 1-19 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile110 Downloads (Pure) -
Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance: Math. Econ. 94 (2020) 9–24, (S0167668720300809), (10.1016/j.insmatheco.2020.05.013)]
Bernard, C., Kazzi, R. & Vanduffel, S., Sep 2023, In: Insurance: Mathematics and Economics. 112, p. 110-119 10 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)5 Downloads (Pure) -
Coskewness under dependence uncertainty.
Bernard, C., Chen, J., Rüschendorf, L. & Vanduffel, S., 5 May 2023, In: Statistics & Probability Letters. 199, 8 p., 109853.Research output: Contribution to journal › Letter › peer-review
Open AccessFile30 Downloads (Pure) -
ETF Basket-Adjusted Covariance estimation
Boudt, K., Dragun, K., Sauri, O. & Vanduffel, S., Aug 2023, In: Journal of Econometrics. 235, 2, p. 1144-1171 28 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile32 Downloads (Pure) -
On the unfairness of actuarial fair annuities
Chen, A. & Vanduffel, S., 24 May 2023, In: Decisions in Economics and Finance. 22 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)39 Downloads (Pure) -
Optimal Multivariate Financial Decision Making
Bernard, C., De Gennaro, L. & Vanduffel, S., 16 May 2023, In: European Journal of Operational Research. 307, 1, p. 468-483 16 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)42 Downloads (Pure) -
The impact of correlation on (Range) Value-at-Risk
Bernard, C., De Vecchi, C. & Vanduffel, S., 2023, In: Scandinavian Actuarial Journal. 2023, 6, p. 531-564 34 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)62 Downloads (Pure) -
2022
Fair allocation of indivisible goods with minimum inequality or minimum envy
Cornilly, D., Puccetti, G., Rüschendorf, L. & Vanduffel, S., 1 Mar 2022, In: European Journal of Operational Research. 297, 2, p. 741-752 12 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile4 Citations (Scopus)119 Downloads (Pure) -
On some synchronization problems with multiple instances
Cornilly, D., Puccetti, G., Rüschendorf, L. & Vanduffel, S., 15 Jan 2022, In: Journal of Computational and Applied Mathematics. 400, 113697.Research output: Contribution to journal › Article › peer-review
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The optimal payoff for a yaari investor
Boudt, K., Dragun, K. & Vanduffel, S., 28 Jul 2022, In: Quantitative Finance. 22, 10, p. 1839-1852 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)10 Downloads (Pure) -
2021
A model-free approach to multivariate option pricing
Bernard, C., Bondarenko, O. & Vanduffel, S., Jul 2021, In: Review of Derivatives Research. 24, 2, p. 135–155 21 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)49 Downloads (Pure) -
When do two- or three-fund separation theorems hold?
Bernard, C., De Vecchi, C. & Vanduffel, S., 2021, In: Quantitative Finance. 21, 11, p. 1869-1883 15 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)103 Downloads (Pure) -
2020
On the computation of Wasserstein barycenters
Puccetti, G., Rüschendorf, L. & Vanduffel, S., 1 Mar 2020, In: Journal of Multivariate Analysis. 176, 16 p., 104581.Research output: Contribution to journal › Article › peer-review
16 Citations (Scopus) -
On the construction of optimal payoffs
Vanduffel, S. & Rüschendorf, L., 1 Jun 2020, In: Decisions in Economics and Finance. 43, 1, p. 129-153 25 p.Research output: Contribution to journal › Article › peer-review
15 Citations (Scopus) -
Optimal Insurance in the Presence of Multiple Policyholders
Bernard, C., Liu, F. & Vanduffel, S., Dec 2020, In: Journal of Economic and Behavioral Optimization. 180, 1, p. 638-656 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile11 Citations (Scopus)34 Downloads (Pure) -
Range Value-at-Risk bounds for unimodal distributions under partial information
Bernard, C., Kazzi, R. & Vanduffel, S., Sep 2020, In: Insurance: Mathematics and Economics. 94, 1, p. 9-24 15 p.Research output: Contribution to journal › Article › peer-review
14 Citations (Scopus) -
The minimum regularized covariance determinant estimator
Boudt, K., Rousseeuw, P. J., Vanduffel, S. & Verdonck, T., Feb 2020, In: Statistics and Computing. 30, 1, p. 113-128 16 p.Research output: Contribution to journal › Article › peer-review
49 Citations (Scopus) -
The variance implied conditional correlation
Algaba, A., Boudt, K. & Vanduffel, S., 11 Feb 2020, In: The European Journal of Finance. 26, 2-3, p. 200-222 23 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
2019
A new efficiency test for ranking investments: Application to hedge fund performance
Bernard, C., Ye, J. & Vanduffel, S., Aug 2019, In: Economics Letters. 181, 1, p. 203-207 5 p.Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus) -
Closed-form approximations for spread options in Levy markets
Van Belle, J., Vanduffel, S. & Yao, J., May 2019, In: Applied Stochastic Models in Business and Industry. 35, 3, p. 732-746 15 p.Research output: Contribution to journal › Article › peer-review
10 Citations (Scopus) -
Equivalent distortion risk measures on moment spaces
Cornilly, D. & Vanduffel, S., 1 Mar 2019, In: Statistics and Probability Letters. 146, p. 187-192 6 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Optimal portfolio choice with benchmarks
Bernard, C., De Staelen, R. H. & Vanduffel, S., 29 Jul 2019, In: Journal of the Operational Research Society. 70, 10, p. 1600-1621 22 p.Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus) -
Optimal strategies under Omega ratio
Bernard, C., Vanduffel, S. & Ye, J., 1 Jun 2019, In: European Journal of Operational Research. 275, 2, p. 755-767 13 p., 275.Research output: Contribution to journal › Article › peer-review
19 Citations (Scopus) -
Option Implied Dependence
Vanduffel, S., Mar 2019, Canadian Derivatives Institute, (Documents de Recherche; vol. DR_19, no. 2).Research output: Working paper
File78 Downloads (Pure) -
2018
Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums
Boudt, K., Jakobsons, E. & Vanduffel, S., 1 Mar 2018, In: 4OR. 16, 1, p. 31-50 20 p.Research output: Contribution to journal › Article › peer-review
10 Citations (Scopus) -
Measuring Portfolio Risk Under Partial Dependence Information
Bernard, C., Denuit, M. & Vanduffel, S., Sep 2018, In: Journal of Risk and Insurance. 85, 3, p. 843-863 21 p.Research output: Contribution to journal › Article › peer-review
21 Citations (Scopus) -
Optimal portfolios under a correlation constraint
Bernard, C., Cornilly, D. & Vanduffel, S., 4 Mar 2018, In: Quantitative Finance. 18, 3, p. 333-345 13 p.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus) -
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY
Bernard, C., Vanduffel, S. & Ye, J., 1 May 2018, In: International Journal of Theoretical and Applied Finance. 21, 3, 1850013.Research output: Contribution to journal › Article › peer-review
2 Citations (Scopus) -
Rearrangement algorithm and maximum entropy
Bernard, C., Bondarenko, O. & Vanduffel, S., Feb 2018, In: Annals of Operations Research. 261, 1-2, p. 107-134 28 p.Research output: Contribution to journal › Article › peer-review
Open Access10 Citations (Scopus) -
Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D., Rüschendorf, L. & Vanduffel, S., 1 Sep 2018, In: Insurance: Mathematics and Economics. 82, p. 141-151 11 p.Research output: Contribution to journal › Article › peer-review
15 Citations (Scopus) -
2017
A stein type lemma for the multivariate generalized hyperbolic distribution
Vanduffel, S. & Yao, J., 1 Sep 2017, In: European Journal of Operational Research. 261, 261, p. 606-612 7 p.Research output: Contribution to journal › Article › peer-review
11 Citations (Scopus) -
How robust is the value-at-risk of credit risk portfolios?
Bernard, C., Rüschendorf, L. & Vanduffel, S., Apr 2017, In: The European Journal of Finance. 23, 6, p. 507-534 28 p.Research output: Contribution to journal › Article › peer-review
30 Citations (Scopus) -
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
Bernard, C., Cui, Z. & Vanduffel, S., 2 Jan 2017, In: North American Actuarial Journal. 21, 1, p. 63-86 24 p.Research output: Contribution to journal › Article › peer-review
16 Citations (Scopus) -
My introduction to copulas
Durante, F., Puccetti, G., Scherer, M. & Vanduffel, S., 2017, In: Dependence Modelling. 5, 1, p. 88-98 11 p.Research output: Contribution to journal › Article › peer-review
Open Access5 Citations (Scopus) -
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, G., Rüschendorf, L., Small, D. & Vanduffel, S., 16 Mar 2017, In: Scandinavian Actuarial Journal. 2017, 3, p. 245-266 22 p.Research output: Contribution to journal › Article › peer-review
22 Citations (Scopus) -
Risk Bounds for Factor Models
Bernard, C., Rüschendorf, L., Vanduffel, S. & Wang, R., Jul 2017, In: Finance & Stochastics. 21, 3, p. 631-659Research output: Contribution to journal › Article › peer-review
27 Citations (Scopus) -
Value-at-Risk Bounds with Variance Constraints
Bernard, C., Rüschendorf, L. & Vanduffel, S., Sep 2017, In: The Journal of Risk and Insurance. 84, 3, p. 923-959 37 p.Research output: Contribution to journal › Article › peer-review
43 Citations (Scopus) -
2016
Distributions with given marginals: the beginnings
Durante, F., Puccetti, G., Scherer, M. & Vanduffel, S., 2016, In: Dependence Modelling. 4, p. 237-250 14 p.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus)