Steven Vanduffel

Information about the author Steven Vanduffel will soon be added to the site.

Found 3 papers in total

Value-at-Risk Bounds With Variance Constraints

2017

We study bounds on the Value‐at‐Risk (VaR) of a portfolio when besides...

Financial Bounds for Insurance Claims

2014

In this article, insurance claims are priced using an indifference pricing principle....

Optimal Capital Allocation Principles

2012

This article develops a unifying framework for allocating the aggregate capital of a...

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