Steven Vanduffel

Steven Vanduffel is a professor in Finance, Insurance and Risk Management at Vrije Universiteit Brussel (VUB) - Solvay Business School. By training he has MSc degrees in mathematics and actuarial sciences from the KULeuven and a PhD from the University of Amsterdam (2005).

His research topics are in the field of insurance and financial mathematics/economics with a current emphasis on designing and implementing real-world pension solutions, risk assessment under uncertainty, estimation of option implied dependence with applications, and the optimal design of insurance portfolios.

Steven has published on these topics in insurance and (financial) mathematics journals including Journal of Risk and Insurance, Finance and Stochastics, Journal of Banking and Finance, Insurance: Mathematics and Economics, Journal of Mathematical Economics, and Journal of Economic Behaviour and Organization.

He was awarded the Robert C. Witt Award (2018), the Redington Prize (2015), the PRMIA Award for new frontiers in Risk Management (2014), the Johan de Witt Prize (2012), the SCOR-EGRIE Young Economist Best Paper Award (2011), and the Lloyds Science of Risk Prize, (2011). He is member of the editorial board of Astin Bulletin as well as an associate editor with European Actuarial Journal and Dependence Modeling.

TEACHING

Insurance

Finance & Stochastics

Advanced Finance

International Finance

RESEARCH

Model Risk Assessment

Dependence Modelling

Portfolio Choice

Risk Theory

Pension Solutions

Optimal Design of Insurance Portfolios

KEY PUBLICATIONS

Cornilly, D., Puccetti, G., Rüschendorf, L., & Vanduffel, S. (2022). Fair allocation of indivisible goods with minimum inequality or minimum envy. European Journal of Operational Research, 297(2), 741–752. https://doi.org/10.1016/j.ejor.2021.06.020

Bernard, C., Rüschendorf, L., Vanduffel, S., & Wang, R. (2017). Risk Bounds for Factor Models. Finance & Stochastics, 21(3), 631-659. https://doi.org/10.1007/s00780-017-0328-4

Bernard, C., Rüschendorf, L., & Vanduffel, S. (2017). Value-at-Risk Bounds with Variance Constraints. The Journal of Risk and Insurance, 84(3), 923-959. https://doi.org/10.1111/jori.12108

Bernard, C., Chen, J. S., & Vanduffel, S. (2015). Rationalizing Investors' choices. Journal of Mathematical Economics, 59, 10-23. https://doi.org/10.1016/j.jmateco.2015.05.002

Bernard, C., Boyle, P. P., & Vanduffel, S. (2014). Explicit Representation of Cost-Efficient Strategies. Finance, 35(2), 5-55. http://dx.doi.org/10.2139/ssrn.1561272