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Refereed papers

See also my SSRN webpage http://ssrn.com/author=457307 for soft copies


  • VANDUFFEL, S. (2010). Discussion on ''Weighted Pricing Functionals with Applications to Insurance: An Overview", North American Actuarial Journal, In Press
  • DHAENE, J., TSANAKAS, A., VALDEZ, E., VANDUFFEL, S. (2010). Optimal Capital Allocation rules. The Journal of Risk and Insurance, In Press.
  • CHERNIH, A., HERNARD, L., VANDUFFEL, S. (2010). Reconciling Asset Correlations, The Journal of Risk Model Validation, In Press.
  • J. MARIN-SOLANO, O. ROCH, J. DHAENE, C. RIBAS, M.BOSCH-PRINCEP, S. VANDUFFEL. (2010). Buy-and-Hold Strategies AND Comonotonic Approximations. Belgian Actuarial Journal.
  • VANDUFFEL, S. (2010) "Thou shalt buy 'simple' structured products only". Journal of Financial Transformation, Volume 28, page 12-14.
  • VANDUFFEL, S., CHERNIH, A., MAJ, M., SCHOUTENS, W. (2009). A note on the Suboptimality of Path-dependent Pay-offs in Lévy markets. Applied Mathematical Finance, vol. 16(4), pp 315 -- 330.
  • DHAENE, J., DENUIT, M., VANDUFFEL, S. (2009). Correlation order, merging and diversification. Insurance Mathematics and Economics, 45, 325-332.
  • VALDEZ, E., DHAENE, J., MAJ, M.,  VANDUFFEL, S. (2009). Bounds and approximations for sums of dependent log-elliptical random variables. Insurance: Mathematics and Economics, 44, 385-397.
  • SUAREZ, F., VANDUFFEL, S. (2008). A Critical Note on MCEV Calculations Used in the Life Insurance Industry. Belgian Actuarial Bulletin 8(1), p. 54-59.
  • VANDUFFEL, S., SHANG, Z., HENRARD, L., DHAENE, J., VALDEZ, E. (2008). Analytic bounds and approximations for Annuities and Asian options. Insurance: Mathematics and Economics, Vol 42(3) pp 1109-1117.
  • CHERNIH, A., MAJ, M., VANDUFFEL, S. (2008). The Use and abuse of copulas in economic capital calculations. Belgian Actuarial Bulletin 7(1), 19-23.
  • VANDENDORPE, A., HO, N., VANDUFFEL, S., VAN DOOREN, P. (2008). On the parameterisation of the CreditRisk+ model for estimating credit portfolio risk. Insurance: Mathematics and Economics, 42(3) 736–745.
  • VANDUFFEL, S., CHEN, X., DHAENE, J., GOOVAERTS, M., HENRARD, L. (2008). Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221(1), 202-218.
  • DHAENE J., LAEVEN R., VANDUFFEL S., DARKIEWICZ G. GOOVAERTS M. (2008). Can a coherent risk measure be too subadditive? Journal of Risk and Insurance, 75 (2), 365-386.
  • DHAENE J., HENRARD, L., LANDSMAN, Z., VANDENDORPE, A., VANDUFFEL, S. (2008). Some Results on the CTE-based capital allocation rule. Insurance: Mathematics and Economics, 42, 855–863.
  • DHAENE J., GOOVAERTS, M., VANDUFFEL S. (2008). Comontonicity.  Encyclopedia of Quantitative Risk Assessment and Analysis, Melnick, E. and Everitt, B. (eds). John Wiley & Sons Ltd, Chichester, UK, pp. 274-279.
  • VANDUFFEL, S., AVER, B., CHERNIH, A., HENRARD, L., RIBAS, C. (2008). Stress-testing the Impact of Group Dependence on Credit Portfolio Risk, Chapter of the Book “Stress-testing for Financial Institutions – applications, regulations and techniques”, Riskbooks, London, In press.
  • DHAENE J., VANDUFFEL S, GOOVAERTS, M. (2007). Comontonicity. Tijdschrift voor economie en Management, Vol. LII, 2.
  • DHAENE J., VANDUFFEL S., TANG Q., GOOVAERTS M.J., KAAS R., VYNCKE D. (2006). Risk measures and comonotonicity: a review. Stochastic Models, 22, 573-606.
  • SUAREZ, F. , DHAENE, J., HENRARD, L., VANDUFFEL, S. (2006). Basel II: Capital requirements for equity investment portfolios. Belgian Actuarial Bulletin, 5, 37-45.
  • DHAENE J., HENRARD, L., VANDUFFEL S. (2006). Is one Euro of actuaries worth the same as one Euro of financial economists? Belgian Actuarial Bulletin, 5, 59-60.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., KOCH, R., OLIESLAGERS, O., ROMIJN (2006). Consistent Assumptions for Modeling Credit Loss Correlations. Journal of Actuarial Practice, Volume 13, 165-174.
  • CHEN X., DHAENE J., GOOVAERTS M., VANDUFFEL S. (2006). A liability driven approach to asset allocation. Belgian Actuarial Bulletin, 5, 52-56.
  • DHAENE J., GOOVAERTS M.J., LUNDIN M., VANDUFFEL S.  (2006). Aggregating Economic Capital. Belgian Actuarial Bulletin. 5, 14-25.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., KAAS R., VYNCKE D., (2005). Comonotonic approximations for optimal portfolio selection problems. The Journal of Risk and Insurance 72 (2), 253-300.
  • VANDUFFEL S., DHAENE, J., GOOVAERTS, M.J. (2005). On the evaluation of  saving-consumption plans. Journal of Pension Economics and Finance, 4(1), 17-30.
  • DHAENE J., VANDUFFEL S. (2005). Is het discrimineren van verzekerden discriminatie. Belgian Actuarial Bulletin, 57-58.
  • VYNCKE D., GOOVAERTS M., DHAENE J. (2005), VANDUFFEL S. (2005) Optimal portfolio selection for cash-flows with bounded Capital at Risk. Tijdschrift voor management en Economie,  L(1), 103-114.
  • VANDUFFEL S., DHAENE, J., HOEDEMAKERS, T. (2005). Comparing approximations for risk measures of sums of non-independent lognormal random variables. North American Actuarial Journal, 9(4), 71-82.
  • DHAENE J., VANDUFFEL S., TANG Q., GOOVAERTS M.J., KAAS R., VYNCKE D. (2004). Capital requirements, risk measures and comonotonicity. Belgian Actuarial Bulletin, 4, 53-61.
  • DHAENE J., VANDUFFEL S., GOOVAERTS M.J., OLIESLAGERS R., KOCH R. (2003). On the computation of the capital multiplier in the Fortis credit economic capital model, Belgian Actuarial Bulletin, 3, 50-57.
  • VANDUFFEL S., DHAENE J., GOOVAERTS M.J., KAAS R. (2003). The hurdle-race problem. Insurance: Mathematics & Economics, 33(2), 405-414.DHAENE J., GOOVAERTS M.J.,
  • VANDUFFEL S., VYNCKE D., (2001). How to determine the capital requirements for a portfolio of annuity liabilities. Tijdschrift voor Economie en Management, XLVI, 533-544.