Corrado De Vecchi

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

  • Vrije Universiteit Brussel (VUB)

SCHOLARLY PAPERS

3

DOWNLOADS

416

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (3)

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1.

When Do Two- or Three-Fund Separation Theorems Hold?

Number of pages: 30 Posted: 20 Nov 2020
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 212 (275,318)
Citation 2

Abstract:

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Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis

2.

The Impact of Correlation on (Range) Value-at-Risk

Number of pages: 42 Posted: 14 Dec 2021
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 171 (334,368)
Citation 2

Abstract:

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Risk bounds, Value-at-Risk, Pearson correlation, Spearman's rho, Kendall's tau

3.

Robust assessment of life insurance products

Number of pages: 31 Posted: 29 Apr 2022
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 33 (860,729)

Abstract:

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Model Risk, Longevity Risk, Insurance pricing, L^p distance, Actuarial value