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
Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm
Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model
Embedded Value, MCEV, Fair Value, Cash Flow Projections, Business Valuation, Profits, Cash Flows
Basel II, KMV, Asset Correlations, Default Correlations
Copula, Economic Capital, Basel II, Solvency II, Correlations, Value-at-Risk
Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing
comonotonicity, copula, dependence, solvency, Basel II, Solvency II, Value-at-Risk, Tail Value-at-Risk
cost-efficiency, optimal design, Black-Scholes
Stochastic dominance, Moment space, s-convex order, Value-at-Risk
risk measures, coherency, CTE
Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion
Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk
bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints
Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio
Portfolio choice, Omega ratio, Ill-posedness
factor models, risk aggregation, dependence uncertainty, Value-at-Risk
economic capital, aggregation, Solvency II, Basel II, VaR
Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant
Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution
Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints
lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, 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
Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall
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,
conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization
Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis
Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm
Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness
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.
Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty
Breakdown value, High-dimensional data, Regularization, Robust covariance estimation
comontonicity, dependence, copula, correlation, sums of random variables
Preferences, Optimization, Hoeffding-Fréchet bounds.
utility function, Stein's lemma, mean-variance optimization, Multivariate Generalized Hyperbolic distribution (MGH)
default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II
risk measure, coherency, solvency, value-at-risk, subadditive
optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization
Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy
BAC, Covariance, ETF, Python, R
Stochastic Clock, Lévy Markets, Conditional Expectation, Gaussian Quadrature, Margrabe’s Formula
Risk bounds, Value-at-Risk, Pearson correlation, Spearman's rho, Kendall's tau
variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning
Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function
Optimal Portfolio selection, Comonotonicity, asset allocation, Merton, constant mix
Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory
First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure
Cost-efficiency, multivariate utility, multivariate preferences, diversification, systemic risk
Decision analysis, fair allocation of indivisible goods, minimum envy.
Bounds, Dependence, Exponential Dispersion Family
fairness, actuarial pricing, financial pricing, equal utility, (innovative) retirement products
convex order, elicitability, coherence, dependence
Range Value-at-Risk, Value-at-Risk, unimodality, symmetry, risk bounds, Gauss inequality
Stein's lemma, bounds, lognormal, pricing
Coherent risk measure, Expected Shortfall (ES), Value-at-Risk (VaR), model uncertainty
Asian style options, conditional expectation, control variates, stochastic clock
Simulation, random correlation matrices, dependence, multivariate normal
Risk management, Solvency, Comonotonicity, Sample Average Approximation
Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS
Dependence structure, down and up correlation, elliptical distributions, skewnormal distribution
Steins lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality
Collective pension scheme, sharing rules, defined contribution, defined benefit
Expected product, Higher-order moments, Copula, Coskewness, Risk bounds.
Value-at-Risk; Range Value-at-Risk; unimodality; symmetry; right-skewness; T-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
