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My research interests include topics related to Insurance mathematics and Finance, in particular:
Model Risk Assessment, with a focus on regulatory Risk measures.
Dependence modelling and uncertainty.
Optimal Portfolio choice and its relation with stochastic dominance rules.
Insurance Pricing.
Publications :
C. De Vecchi, M. Nendel and J. Streicher (2025) Upper comonotonicity and risk aggregation under dependence uncertainty. Mathematical Finance (Published version, open acess).
C. De Vecchi and M. Scherer (2025). Pricing insurance contracts with an existing portfolio as background risk. Insurance: Mathematics and Economics (Published version, open acess).
V. Bignozzi and C. De Vecchi (2025). Risk bounds under tail uncertainty. Decisions in Economics and Finance (Published version, open acess).
C. Bernard, C. De Vecchi and S. Vanduffel (2024). Robust assessment of life insurance products. Annals of Operation Research. (Published version open acess)
C. Bernard, C. De Vecchi and S. Vanduffel (2023). The impact of correlation on (Range) Value-at-Risk. Scandinavian Actuarial Journal. (Published version) (available at SSRN)
C. Bernard, C. De Vecchi and S. Vanduffel (2021). When do two- and three-fund theorems hold? Quantitative Finance. (Published version)(available at SSRN)
Working Papers:
C. De Vecchi and M. Scherer (2025). On expectiles and almost stochastic dominance. (available at SSRN)
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