Steven Vanduffel

Vrije Universiteit Brussel (VUB)

SCHOLARLY PAPERS

7

DOWNLOADS

468

TOTAL CITATIONS

2

Scholarly Papers (7)

1.

Can an Actuarially Unfair Tontine Be Optimal?

Number of pages: 36 Posted: 10 Jan 2024
Carole Bernard, Marco Feliciangeli and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 120 (474,904)
Citation 2

Abstract:

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Tontine, Actuarial fairness, Sabin rule

2.

An updated version of 'Range Value-at-Risk Bounds for Unimodal Distributions Under Partial Information'

Number of pages: 45 Posted: 05 Mar 2022 Last Revised: 13 Mar 2023
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 104 (524,473)

Abstract:

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Model risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

3.

Improved block rearrangement algorithm

Number of pages: 30 Posted: 06 Sep 2023 Last Revised: 13 Jan 2025
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 93 (564,985)

Abstract:

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Rearrangement algorithm, Block size, Risk bounds, Aggregation risk, Copula, Variance of the sum

Up- and Down-Correlations in Normal Variance Mixture Models

Number of pages: 13 Posted: 25 Apr 2023
Jonathan Ansari, Tomer Shushi and Steven Vanduffel
Independent, Ben-Gurion University of the Negev and Vrije Universiteit Brussel (VUB)
Downloads 20 (1,081,117)

Abstract:

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dependence structure, down and up correlation, elliptical distributions, skew-normal distribution

5.

Multivariate Portfolio Choice Via Quantiles

Number of pages: 40 Posted: 21 Nov 2024
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, University of Milan and Vrije Universiteit Brussel (VUB)
Downloads 66 (684,723)

Abstract:

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decision analysis, multivariate optimal portfolio choice, quantile approach, multivariate utility, cost-efficiency.

6.

Socio-Economic Mortality Curves: The Belgium Case

Number of pages: 47 Posted: 16 May 2024 Last Revised: 07 Jul 2024
Marco Feliciangeli, Jeroen Kerkhof and Steven Vanduffel
Vrije Universiteit Brussel (VUB), Solvay Brussels School of Economics and Management and Vrije Universiteit Brussel (VUB)
Downloads 36 (885,622)

Abstract:

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Mortality, Belgium, Socio-economic life tables, Pension costs

7.

Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions

Number of pages: 27 Posted: 20 Dec 2023
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 29 (950,260)

Abstract:

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Value-at-Risk, risk bounds, unimodality, log-symmetry, model uncertainty