Steven Vanduffel

TL;DR: In this paper, the authors introduce a framework for portfolio selection within which state-dependent preferences can be accommodated, assuming that investors care about the distribution of final wealth and its interaction with some benchmark.

TL;DR: In this article, the authors use an indifference pricing principle to derive lower bounds for claims' prices, and these bounds correspond to the market prices of some explicitly known financial payoffs, and have to be corrected by a covariance term which reflects the interaction between the insurance claim and the financial market.

TL;DR: In this paper, the authors show that the discounted expected value is no longer valid as a classical lower bound for insurance prices in general: it has to be corrected by a covariance term that reflects the interaction between the insurance claim and the financial market.

TL;DR: In this article, the influence of the dependence between random losses on the shortfall and on the diversification benefit that arises from merging these losses was investigated, and it was shown that increasing dependence between losses, expressed in terms of correlation order, has an increasing effect on the mismatch.

TL;DR: Brown et al. as discussed by the authors derived a Stein-type inequality for the multivariate Student's t -distribution and generalized their result to the family of generalized hyperbolic distributions and derived a lower bound for the variance of a function of a random variable.