Refereed papers

Last update: November 2019. Note that these papers are not the finally published versions (although close). Please consult the journal.

  • BERNARD, C., CHEN, J.S., VANDUFFEL, S. (2014). Optimal Portfolios under Worst-Case Scenarios. Special issue on Behavioral Finance (edited by Hersh Shefrin), Quantitative Finance 14(4), 657-671. This paper received the 2015 Redington Prize awarded by the Society of Actuaries.                          
  • 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.
  • DHAENE J., VANDUFFEL S, GOOVAERTS, M. (2007). Comontonicity. Tijdschrift voor economie en Management, Vol. LII, 2.
  • 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.
  • CHEN X., DHAENE J., GOOVAERTS M., VANDUFFEL S. (2006). A liability driven approach to asset allocation. Belgian Actuarial Bulletin, 5, 52-56.
  • 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. Review of Business and Economics,  L(1), 103-114.
  • 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.
  • 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. Review of Business and Economics, XLVI, 533-544.