| Risk measures and comonotonicity: a review J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, Q Tang, D Vyncke Stochastic models 22 (4), 573-606, 2006 | 387 | 2006 |
| Optimal capital allocation principles J Dhaene, A Tsanakas, EA Valdez, S Vanduffel Journal of Risk and Insurance 79 (1), 1-28, 2012 | 294 | 2012 |
| Can a coherent risk measure be too subadditive? J Dhaene, RJA Laeven, S Vanduffel, G Darkiewicz, MJ Goovaerts Journal of Risk and Insurance 75 (2), 365-386, 2008 | 181 | 2008 |
| Value‐at‐risk bounds with variance constraints C Bernard, L Rüschendorf, S Vanduffel Journal of Risk and Insurance 84 (3), 923-959, 2017 | 120 | 2017 |
| Some results on the CTE-based capital allocation rule J Dhaene, L Henrard, Z Landsman, A Vandendorpe, S Vanduffel Insurance: Mathematics and Economics 42 (2), 855-863, 2008 | 106 | 2008 |
| Comonotonic approximations for optimal portfolio selection problems J Dhaene, S Vanduffel, MJ Goovaerts, R Kaas, D Vyncke Journal of Risk and Insurance 72 (2), 253-300, 2005 | 93 | 2005 |
| Comparing approximations for risk measures of sums of nonindependent lognormal random variables S Vanduffel, T Hoedemakers, J Dhaene North American Actuarial Journal 9 (4), 71-82, 2005 | 90 | 2005 |
| Explicit representation of cost-efficient strategies C Bernard 1, PP Boyle 2, S Vanduffel 3 Finance 35 (2), 5-55, 2014 | 87 | 2014 |
| The minimum regularized covariance determinant estimator K Boudt, PJ Rousseeuw, S Vanduffel, T Verdonck Statistics and Computing 30 (1), 113-128, 2020 | 85 | 2020 |
| A new approach to assessing model risk in high dimensions C Bernard, S Vanduffel Journal of Banking & Finance 58, 166-178, 2015 | 79 | 2015 |
| On the parameterization of the CreditRisk+ model for estimating credit portfolio risk A Vandendorpe, ND Ho, S Vanduffel, P Van Dooren Insurance: Mathematics and Economics 42 (2), 736-745, 2008 | 72 | 2008 |
| Optimal approximations for risk measures of sums of lognormals based on conditional expectations S Vanduffel, X Chen, J Dhaene, M Goovaerts, L Henrard, R Kaas Journal of Computational and Applied Mathematics 221 (1), 202-218, 2008 | 66 | 2008 |
| Solvency capital, risk measures and comonotonicity: a review J Dhaene, S Vanduffel, Q Tang, M Goovaerts, R Kaas, D Vyncke Open Access publications from Katholieke Universiteit Leuven, 2004 | 60 | 2004 |
| How robust is the value-at-risk of credit risk portfolios? C Bernard, L Rüschendorf, S Vanduffel, J Yao The European Journal of Finance 23 (6), 507-534, 2017 | 57 | 2017 |
| Risk bounds for factor models C Bernard, L Rüschendorf, S Vanduffel, R Wang Finance and Stochastics 21, 631-659, 2017 | 55 | 2017 |
| Measuring portfolio risk under partial dependence information C Bernard, M Denuit, S Vanduffel Journal of Risk and Insurance 85 (3), 843-863, 2018 | 54 | 2018 |
| Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection C Bernard, S Vanduffel European Journal of operational research 234 (2), 469-480, 2014 | 51 | 2014 |
| Capital requirements, risk measures and comonotonicity J Dhaene, S Vanduffel, Q Tang, MJ Goovaerts, R Kaas, D Vyncke Belgian Actuarial Bulletin 4 (1), 53-61, 2004 | 47 | 2004 |
| Bounds and approximations for sums of dependent log-elliptical random variables EA Valdez, J Dhaene, M Maj, S Vanduffel Insurance: Mathematics and Economics 44 (3), 385-397, 2009 | 45 | 2009 |
| Asset correlations: a literature review and analysis of the impact of dependent loss given defaults A Chernih, S Vanduffel, L Henrard Katholieke University Leuven 48 (17), 1-15, 2006 | 45 | 2006 |
Dhaene JanOrdinary Professor Actuarial Science, KU Leuven在 kuleuven.be 的电子邮件经过验证
