| 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 | 420 | 2006 |
| Optimal capital allocation principles J Dhaene, A Tsanakas, EA Valdez, S Vanduffel Journal of Risk and Insurance 79 (1), 1-28, 2012 | 317 | 2012 |
| The minimum regularized covariance determinant estimator K Boudt, PJ Rousseeuw, S Vanduffel, T Verdonck Statistics and computing 30 (1), 113-128, 2020 | 216 | 2020 |
| 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 | 195 | 2008 |
| Value‐at‐risk bounds with variance constraints C Bernard, L Rüschendorf, S Vanduffel Journal of Risk and Insurance 84 (3), 923-959, 2017 | 131 | 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 | 115 | 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 | 101 | 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 | 98 | 2005 |
| Explicit representation of cost-efficient strategies C Bernard, PP Boyle, S Vanduffel Finance 35 (2), 5-55, 2014 | 94 | 2014 |
| A new approach to assessing model risk in high dimensions C Bernard, S Vanduffel Journal of Banking & Finance 58, 166-178, 2015 | 87 | 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 | 76 | 2008 |
| Robust distortion risk measures C Bernard, SM Pesenti, S Vanduffel Mathematical Finance 34 (3), 774-818, 2024 | 73 | 2024 |
| Solvency capital, risk measures and comonotonicity: a review J Dhaene, S Vanduffel, Q Tang, M Goovaerts, R Kaas, D Vyncke DTEW Research Report 0416, 1-33, 2004 | 69 | 2004 |
| 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 | 68 | 2008 |
| Risk bounds for factor models C Bernard, L Rüschendorf, S Vanduffel, R Wang Finance and Stochastics 21 (3), 631-659, 2017 | 64 | 2017 |
| Measuring portfolio risk under partial dependence information C Bernard, M Denuit, S Vanduffel Journal of Risk and Insurance 85 (3), 843-863, 2018 | 63 | 2018 |
| 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 | 63 | 2017 |
| 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 | 59 | 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 | 53 | 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 | 48 | 2009 |
Dhaene JanOrdinary Professor Actuarial Science, KU LeuvenVerified email at kuleuven.be
