Pleinlaan 2
Brussels, Brabant 1050
Belgium
http://www.stevenvanduffel.com
Vrije Universiteit Brussel (VUB)
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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London
Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas
Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR
Model Risk, VaR, TVaR, variance, tail dependence, tail correlation
High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF covariation, Localized Hayashi-Yoshida, Index tracking
Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model
Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm
Basel II, KMV, Asset Correlations, Default Correlations
Embedded Value, MCEV, Fair Value, Cash Flow Projections, Business Valuation, Profits, Cash Flows
Copula, Economic Capital, Basel II, Solvency II, Correlations, Value-at-Risk
Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing
cost-efficiency, optimal design, Black-Scholes
comonotonicity, copula, dependence, solvency, Basel II, Solvency II, Value-at-Risk, Tail Value-at-Risk
Stochastic dominance, Moment space, s-convex order, Value-at-Risk
risk measures, coherency, CTE
Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion
Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio
bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints
factor models, risk aggregation, dependence uncertainty, Value-at-Risk
Portfolio choice, Omega ratio, Ill-posedness
economic capital, aggregation, Solvency II, Basel II, VaR
Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant
Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform
Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints
lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform
Conditional distribution, Covariance, Regression
Risk measures, Coherency, Comonotonicity, Lognormal, Pension, Annuities
Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk
Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing
Lognormal, Sum of random variables, Reciprocal Gamma, Annuities, Value-at-Risk
Capital allocation, CTE, risk measure, coherent allocation, elliptical
Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,
Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall
Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution
conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization
Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm
Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis
Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance
Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation
implied Value-at-Risk, model-free simulation under risk-neutral probability, exact simulation, stochastic volatility models, SABR model, Heston model.
Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness
comontonicity, dependence, copula, correlation, sums of random variables
Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty
Breakdown value, High-dimensional data, Regularization, Robust covariance estimation
risk measure, coherency, solvency, value-at-risk, subadditive
BAC, Covariance, ETF, Python, R
Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy
variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning
default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II
Stochastic Clock, Lévy Markets, Conditional Expectation, Gaussian Quadrature, Margrabe’s Formula
Preferences, Optimization, Hoeffding-Fréchet bounds.
optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization
utility function, Stein's lemma, mean-variance optimization, Multivariate Generalized Hyperbolic distribution (MGH)
Optimal Portfolio selection, Comonotonicity, asset allocation, Merton, constant mix
Bounds, Dependence, Exponential Dispersion Family
Cost-efficiency, multivariate utility, multivariate preferences, diversification, systemic risk
Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory
Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function
First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure
Decision analysis, fair allocation of indivisible goods, minimum envy.
convex order, elicitability, coherence, dependence
Stein's lemma, bounds, lognormal, pricing
Risk bounds, Value-at-Risk, Pearson correlation, Spearman's rho, Kendall's tau
Asian style options, conditional expectation, control variates, stochastic clock
fairness, actuarial pricing, financial pricing, equal utility, (innovative) retirement products
Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty
Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS
Risk management, Solvency, Comonotonicity, Sample Average Approximation
Steins lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality
Simulation, random correlation matrices, dependence, multivariate normal
Range Value-at-Risk, Value-at-Risk, unimodality, symmetry, risk bounds, Gauss inequality
Model Risk, Longevity Risk, Insurance pricing, L^p distance, Actuarial value
Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds
