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- Publications
- Influence
Risk Measures and Comonotonicity: A Review
- J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, Q. Tang, D. Vyncke
- Mathematics
- 22 November 2006
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special… Expand
Optimal Capital Allocation Principles
- J. Dhaene, Andreas Tsanakas, Emiliano A. Valdez, S. Vanduffel
- Economics
- 1 October 2005
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted… Expand
Value-at-Risk Bounds with Variance Constraints
- Carole Bernard, L. Rüschendorf, S. Vanduffel
- Mathematics
- 29 March 2015
Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when… Expand
Some Results on the Cte Based Capital Allocation Rule
- J. Dhaene, L. Henrard, Z. Landsman, A. Vandendorpe, S. Vanduffel
- Economics
- 1 April 2008
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universitat Munchen] introduces a capital allocation principle where the capital allocated to each… Expand
Asset Correlations : A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults
- A. Chernih, S. Vanduffel, L. Henrard
- 2006
The Basel II Accord outlines a general framework for determining regulatory capital requirements for credit risk portfolios. Different obligors usually operate in dependent socio-economic… Expand
- 24
- 6
Comonotonic Approximations for Optimal Portfolio Selection Problems
- J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, D. Vyncke
- Economics
- 1 June 2005
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal… Expand
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
- Carole Bernard, Z. Cui, S. Vanduffel
- Economics
- 2 January 2017
In this article, we study the fair fee of a flexible premium variable annuity (FPVA), in which the policyholder can choose to pay periodic premiums during the accumulation phase instead of a single… Expand
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
- K. Cheung, S. Vanduffel
- Mathematics
- 1 March 2013
In this paper, we establish several relations between convex order, variance order, and comonotonicity. In the first part, we extend Cheung (2008b) to show that when the marginal distributions are… Expand
Capital requirements, risk measures and comonotonicity
- J. Dhaene, S. Vanduffel, Q. Tang, M. Goovaerts, R. Kaas, D. Vyncke
- Business
- 2004
In this paper we examine and summarize proper- ties of several well-known risk measures, with special atten- tion given to the class of distortion risk measures. We inves- tigate the relationship… Expand
- 36
- 5
- PDF
Discussion on 'Weighted Pricing Functionals With Applications to Insurance: An Overview'
- S. Vanduffel
- Economics
- 2 July 2010
The authors are to be congratulated with this timely and well written overview paper on weighted pricing functionals. In Section 5 the authors analyse Stein-type arguments for assessing pricing… Expand