Details about Roger J. A. Laeven

Access statistics for papers by Roger J. A. Laeven.

Last updated 2022-05-23. Update your information in the RePEc Author Service.

Short-id: pla400

Working Papers

2021

1. Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures
   Papers, arXiv.org
2. Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
   Papers, arXiv.org
3. Probability Premium and Attitude Towards Probability
   Papers, arXiv.org
4. Robust Multiple Stopping -- A Pathwise Duality Approach
   Papers, arXiv.org
5. Two-Sample Testing for Tail Copulas with an Application to Equity Indices
   Other publications TiSEM, Tilburg University, School of Economics and Management
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2021)

2020

6. Goodness-of-fit testing for copulas: A distribution-free approach
   Other publications TiSEM, Tilburg University, School of Economics and Management

2019

7. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   See also Journal Article in Journal of Econometrics (2020)
8. Systemic Risk: Conditional Distortion Risk Measures
   Papers, arXiv.org View citations (2)
   See also Journal Article in Insurance: Mathematics and Economics (2022)

2018

9. Dual Moments and Risk Attitudes
   Papers, arXiv.org View citations (1)
10. Earthquake risk embedded in property prices: Evidence from five Japanese cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of the American Statistical Association (2022)

2017

11. Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2017)
12. Risk Apportionment: The Dual Story
    Papers, arXiv.org View citations (3)
    See also Journal Article in Journal of Economic Theory (2020)

2016

13. Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
    Papers, arXiv.org View citations (4)
    See also Journal Article in Insurance: Mathematics and Economics (2016)

2015

14. Risk Aversion in the Small and in the Large under Rank-Dependent Utility
    Papers, arXiv.org

2014

15. Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2014)
16. Expected Utility and Catastrophic Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
17. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (51)
    See also Journal Article in Journal of Econometrics (2014)

2011

18. Entropy Coherent and Entropy Convex Measures of Risk
    Discussion Paper, Tilburg University, Center for Economic Research View citations (14)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2011) View citations (1)
    See also Journal Article in Mathematics of Operations Research (2013)
19. Liquidity premium in Solvency II
    Other publications TiSEM, Tilburg University, School of Economics and Management
20. Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (4)

2010

21. Burr Utility
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (2)
22. Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (12)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (16)
    See also Journal Article in Journal of Econometrics (2020)
23. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
    See also Journal Article in Journal of Financial Economics (2015)
24. Scrap Value Functions in Dynamic Decision Problems
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) View citations (2)

2004

25. A Comonotonic Image of Independence for Additive Risk Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (43)
    See also Journal Article in Insurance: Mathematics and Economics (2004)

Journal Articles

2022

1. Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
   Journal of the American Statistical Association, 2022, 117, (537), 82-93
   See also Working Paper (2018)
2. Systemic risk: Conditional distortion risk measures
   Insurance: Mathematics and Economics, 2022, 102, (C), 126-145
   See also Working Paper (2019)

2021

3. Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
   European Journal of Operational Research, 2021, 291, (2), 438-446

2020

4. Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level
   Management Science, 2020, 66, (9), 3927-3955 View citations (8)
5. Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
   Journal of Financial and Quantitative Analysis, 2020, 55, (7), 2334-2371
6. Dependent microstructure noise and integrated volatility estimation from high-frequency data
   Journal of Econometrics, 2020, 215, (2), 536-558 View citations (1)
   See also Working Paper (2019)
7. Dynamic consumption and portfolio choice under prospect theory
   Insurance: Mathematics and Economics, 2020, 91, (C), 224-237 View citations (5)
8. Expected utility and catastrophic risk in a stochastic economy–climate model
   Journal of Econometrics, 2020, 214, (1), 110-129 View citations (10)
   See also Working Paper (2010)
9. Risk apportionment: The dual story
   Journal of Economic Theory, 2020, 185, (C) View citations (4)
   See also Working Paper (2017)

2018

10. Optimal Stopping Under Uncertainty in Drift and Jump Intensity
    Mathematics of Operations Research, 2018, 43, (4), 1177-1209 View citations (4)
11. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 View citations (4)

2017

12. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (23)

2016

13. Robust optimal risk sharing and risk premia in expanding pools
    Insurance: Mathematics and Economics, 2016, 70, (C), 182-195 View citations (4)
    See also Working Paper (2016)

2015

14. Expected utility and catastrophic consumption risk
    Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 View citations (10)
15. Modeling financial contagion using mutually exciting jump processes
    Journal of Financial Economics, 2015, 117, (3), 585-606 View citations (174)
    See also Working Paper (2010)
16. The probability premium: A graphical representation
    Economics Letters, 2015, 136, (C), 39-41 View citations (5)

2014

17. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 View citations (51)
    See also Working Paper (2014)
18. Robust Portfolio Choice and Indifference Valuation
    Mathematics of Operations Research, 2014, 39, (4), 1109-1141 View citations (31)

2013

19. Entropy Coherent and Entropy Convex Measures of Risk
    Mathematics of Operations Research, 2013, 38, (2), 265-293 View citations (23)
    See also Working Paper (2011)
20. Optimal dividends and ALM under unhedgeable risk
    Insurance: Mathematics and Economics, 2013, 53, (3), 515-523
21. Pareto utility
    Theory and Decision, 2013, 75, (1), 43-57 View citations (11)

2012

22. A note on weighted premium calculation principles
    Insurance: Mathematics and Economics, 2012, 51, (2), 379-381

2011

23. Worst case risk measurement: Back to the future?
    Insurance: Mathematics and Economics, 2011, 49, (3), 380-392 View citations (15)

2010

24. A note on additive risk measures in rank-dependent utility
    Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (13)
25. Decision principles derived from risk measures
    Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (35)

2009

26. Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
    Insurance: Mathematics and Economics, 2009, 44, (2), 143-145 View citations (7)
27. Worst VaR scenarios with given marginals and measures of association
    Insurance: Mathematics and Economics, 2009, 44, (2), 146-158 View citations (21)
28. Worst VaR scenarios: A remark
    Insurance: Mathematics and Economics, 2009, 44, (2), 159-163 View citations (11)

2008

29. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (46)
30. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (27)

2006

31. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1), 1-25 View citations (40)

2005

32. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 View citations (17)
33. Some asymptotic results for sums of dependent random variables, with actuarial applications
    Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 View citations (12)

2004

34. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 View citations (44)
    See also Working Paper (2004)
35. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (44)