Details about Roger J. A. Laeven

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

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pla400

Working Papers

2025

1. Higher-Order Ambiguity Attitudes
   Papers, arXiv.org
2. Robust Optimization of Rank-Dependent Models with Uncertain Probabilities
   Papers, arXiv.org

2024

3. A Rank-Dependent Theory for Decision under Risk and Ambiguity
   Papers, arXiv.org
4. Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty
   Papers, arXiv.org
5. Geometric BSDEs
   Papers, arXiv.org
6. Higher-Order Risk Attitudes for Non-Expected Utility
   Discussion Paper, Tilburg University, Center for Economic Research
7. On Geometrically Convex Risk Measures
   Papers, arXiv.org

2023

8. Dynamic Return and Star-Shaped Risk Measures via BSDEs
   Papers, arXiv.org View citations (5)
9. Elicitability of Return Risk Measures
   Papers, arXiv.org View citations (1)
10. Floods and financial stability: Scenario-based evidence from below sea level
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
11. Law-Invariant Return and Star-Shaped Risk Measures
    Papers, arXiv.org View citations (2)
    See also Journal Article Law-invariant return and star-shaped risk measures, Insurance: Mathematics and Economics, Elsevier (2024) View citations (2) (2024)

2022

12. Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Papers, arXiv.org (2022) View citations (1)
    See also Journal Article Estimating option pricing models using a characteristic function-based linear state space representation, Journal of Econometrics, Elsevier (2024) (2024)
13. Quasi-Logconvex Measures of Risk
    Papers, arXiv.org

2021

14. Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures
    Papers, arXiv.org
15. Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
    Papers, arXiv.org
16. Probability Premium and Attitude Towards Probability
    Papers, arXiv.org
17. Robust Multiple Stopping -- A Pathwise Duality Approach
    Papers, arXiv.org
18. Two-Sample Testing for Tail Copulas with an Application to Equity Indices
    Discussion Paper, Tilburg University, Center for Economic Research
    See also Journal Article Two-Sample Testing for Tail Copulas with an Application to Equity Indices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)

2019

19. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    See also Journal Article Dependent microstructure noise and integrated volatility estimation from high-frequency data, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)
20. Systemic Risk: Conditional Distortion Risk Measures
    Papers, arXiv.org View citations (2)
    See also Journal Article Systemic risk: Conditional distortion risk measures, Insurance: Mathematics and Economics, Elsevier (2022) View citations (15) (2022)

2018

21. Dual Moments and Risk Attitudes
    Papers, arXiv.org View citations (1)
    See also Journal Article Dual Moments and Risk Attitudes, Operations Research, INFORMS (2022) View citations (1) (2022)
22. Earthquake risk embedded in property prices: Evidence from five Japanese cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (7) (2022)

2017

23. Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
    Discussion Paper, Tilburg University, Center for Economic Research
24. Risk Apportionment: The Dual Story
    Papers, arXiv.org View citations (3)
    See also Journal Article Risk apportionment: The dual story, Journal of Economic Theory, Elsevier (2020) View citations (11) (2020)

2016

25. Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
    Papers, arXiv.org View citations (5)
    See also Journal Article Robust optimal risk sharing and risk premia in expanding pools, Insurance: Mathematics and Economics, Elsevier (2016) View citations (4) (2016)

2015

26. Risk Aversion in the Small and in the Large under Rank-Dependent Utility
    Papers, arXiv.org View citations (1)

2014

27. Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
    Discussion Paper, Tilburg University, Center for Economic Research
28. Expected Utility and Catastrophic Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
29. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (63)
    See also Journal Article Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics, Elsevier (2014) View citations (60) (2014)

2011

30. Entropy Coherent and Entropy Convex Measures of Risk
    Discussion Paper, Tilburg University, Center for Economic Research View citations (14)
31. Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model
    ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (5)

2010

32. Burr Utility
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
33. Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
    Discussion Paper, Tilburg University, Center for Economic Research View citations (16)
    See also Journal Article Expected utility and catastrophic risk in a stochastic economy–climate model, Journal of Econometrics, Elsevier (2020) View citations (16) (2020)
34. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (60)
    See also Journal Article Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics, Elsevier (2015) View citations (248) (2015)
35. Scrap Value Functions in Dynamic Decision Problems
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

2004

36. A Comonotonic Image of Independence for Additive Risk Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (45)
    See also Journal Article A comonotonic image of independence for additive risk measures, Insurance: Mathematics and Economics, Elsevier (2004) View citations (45) (2004)

Journal Articles

2024

1. Estimating option pricing models using a characteristic function-based linear state space representation
   Journal of Econometrics, 2024, 244, (1)
   See also Working Paper Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation, Tinbergen Institute Discussion Papers (2022) (2022)
2. Law-invariant return and star-shaped risk measures
   Insurance: Mathematics and Economics, 2024, 117, (C), 140-153 View citations (2)
   See also Working Paper Law-Invariant Return and Star-Shaped Risk Measures, Papers (2023) View citations (2) (2023)
3. Two-Sample Testing for Tail Copulas with an Application to Equity Indices
   Journal of Business & Economic Statistics, 2024, 42, (1), 147-159 View citations (1)
   See also Working Paper Two-Sample Testing for Tail Copulas with an Application to Equity Indices, Discussion Paper (2021) (2021)

2022

4. Dual Moments and Risk Attitudes
   Operations Research, 2022, 70, (3), 1330-1341 View citations (1)
   See also Working Paper Dual Moments and Risk Attitudes, Papers (2018) View citations (1) (2018)
5. Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
   Journal of the American Statistical Association, 2022, 117, (537), 82-93 View citations (7)
   See also Working Paper Earthquake risk embedded in property prices: Evidence from five Japanese cities, Tinbergen Institute Discussion Papers (2018) (2018)
6. Systemic risk: Conditional distortion risk measures
   Insurance: Mathematics and Economics, 2022, 102, (C), 126-145 View citations (15)
   See also Working Paper Systemic Risk: Conditional Distortion Risk Measures, Papers (2019) View citations (2) (2019)

2021

7. Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
   European Journal of Operational Research, 2021, 291, (2), 438-446 View citations (11)

2020

8. Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level
   Management Science, 2020, 66, (9), 3927-3955 View citations (17)
9. Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
   Journal of Financial and Quantitative Analysis, 2020, 55, (7), 2334-2371 View citations (2)
10. Dependent microstructure noise and integrated volatility estimation from high-frequency data
    Journal of Econometrics, 2020, 215, (2), 536-558 View citations (4)
    See also Working Paper Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, Cambridge Working Papers in Economics (2019) View citations (1) (2019)
11. Dynamic consumption and portfolio choice under prospect theory
    Insurance: Mathematics and Economics, 2020, 91, (C), 224-237 View citations (9)
12. Expected utility and catastrophic risk in a stochastic economy–climate model
    Journal of Econometrics, 2020, 214, (1), 110-129 View citations (16)
    See also Working Paper Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model, Discussion Paper (2010) View citations (16) (2010)
13. Risk apportionment: The dual story
    Journal of Economic Theory, 2020, 185, (C) View citations (11)
    See also Working Paper Risk Apportionment: The Dual Story, Papers (2017) View citations (3) (2017)

2018

14. Optimal Stopping Under Uncertainty in Drift and Jump Intensity
    Mathematics of Operations Research, 2018, 43, (4), 1177-1209 View citations (9)
15. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 View citations (15)

2017

16. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (34)

2016

17. 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 Robust Optimal Risk Sharing and Risk Premia in Expanding Pools, Papers (2016) View citations (5) (2016)

2015

18. Expected utility and catastrophic consumption risk
    Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 View citations (11)
19. Modeling financial contagion using mutually exciting jump processes
    Journal of Financial Economics, 2015, 117, (3), 585-606 View citations (248)
    See also Working Paper Modeling Financial Contagion Using Mutually Exciting Jump Processes, NBER Working Papers (2010) View citations (60) (2010)
20. The probability premium: A graphical representation
    Economics Letters, 2015, 136, (C), 39-41 View citations (5)

2014

21. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 View citations (60)
    See also Working Paper Mutual excitation in eurozone sovereign CDS, SAFE Working Paper Series (2014) View citations (63) (2014)

2013

22. Optimal dividends and ALM under unhedgeable risk
    Insurance: Mathematics and Economics, 2013, 53, (3), 515-523
23. Pareto utility
    Theory and Decision, 2013, 75, (1), 43-57 View citations (11)

2012

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

2011

25. Worst case risk measurement: Back to the future?
    Insurance: Mathematics and Economics, 2011, 49, (3), 380-392 View citations (16)

2010

26. A note on additive risk measures in rank-dependent utility
    Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (15)
27. Decision principles derived from risk measures
    Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (39)

2009

28. 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 (8)
29. Worst VaR scenarios with given marginals and measures of association
    Insurance: Mathematics and Economics, 2009, 44, (2), 146-158 View citations (23)
30. Worst VaR scenarios: A remark
    Insurance: Mathematics and Economics, 2009, 44, (2), 159-163 View citations (12)

2008

31. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (49)
32. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (30)

2006

33. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1), 1-25 View citations (43)

2005

34. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 View citations (18)
35. Some asymptotic results for sums of dependent random variables, with actuarial applications
    Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 View citations (12)
36. The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
    Scandinavian Actuarial Journal, 2005, 2005, (6), 446-461 View citations (2)

2004

37. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 View citations (45)
    See also Working Paper A Comonotonic Image of Independence for Additive Risk Measures, Tinbergen Institute Discussion Papers (2004) View citations (45) (2004)
38. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (47)