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Details about Roger J. A. Laeven

Homepage:http://www.rogerlaeven.com/
Workplace:CentER Graduate School for Economics and Business, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
Afdeling Kwantitatieve Economie (Department of Quantitative Economics), Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Finance Group, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Amsterdam School of Economics, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)

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

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pla400


Jump to Journal Articles

Working Papers

2024

  1. Geometric BSDEs
    Papers, arXiv.org Downloads
  2. On Geometrically Convex Risk Measures
    Papers, arXiv.org Downloads

2023

  1. A Rank-Dependent Theory for Decision under Risk and Ambiguity
    Papers, arXiv.org Downloads
  2. Dynamic Return and Star-Shaped Risk Measures via BSDEs
    Papers, arXiv.org Downloads View citations (4)
  3. Elicitability of Return Risk Measures
    Papers, arXiv.org Downloads View citations (1)
  4. Law-Invariant Return and Star-Shaped Risk Measures
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Law-invariant return and star-shaped risk measures, Insurance: Mathematics and Economics, Elsevier (2024) Downloads (2024)

2022

  1. Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Papers, arXiv.org (2022) Downloads View citations (1)
  2. Quasi-Logconvex Measures of Risk
    Papers, arXiv.org Downloads

2021

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

    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) Downloads (2024)

2020

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

2019

  1. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    See also Journal Article Dependent microstructure noise and integrated volatility estimation from high-frequency data, Journal of Econometrics, Elsevier (2020) Downloads View citations (2) (2020)
  2. Systemic Risk: Conditional Distortion Risk Measures
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Systemic risk: Conditional distortion risk measures, Insurance: Mathematics and Economics, Elsevier (2022) Downloads View citations (11) (2022)

2018

  1. Dual Moments and Risk Attitudes
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Dual Moments and Risk Attitudes, Operations Research, INFORMS (2022) Downloads (2022)
  2. Earthquake risk embedded in property prices: Evidence from five Japanese cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    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) Downloads View citations (3) (2022)

2017

  1. Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2017) Downloads
  2. Risk Apportionment: The Dual Story
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article Risk apportionment: The dual story, Journal of Economic Theory, Elsevier (2020) Downloads View citations (6) (2020)

2016

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

2015

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

2014

  1. Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2014) Downloads
  2. Expected Utility and Catastrophic Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  3. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (62)
    See also Journal Article Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics, Elsevier (2014) Downloads View citations (59) (2014)

2011

  1. Entropy Coherent and Entropy Convex Measures of Risk
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (14)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2011) Downloads View citations (1)
  2. Liquidity premium in Solvency II
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
  3. 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 Downloads View citations (5)

2010

  1. Burr Utility
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) Downloads View citations (2)
  2. Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (16)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) Downloads View citations (12)

    See also Journal Article Expected utility and catastrophic risk in a stochastic economy–climate model, Journal of Econometrics, Elsevier (2020) Downloads View citations (15) (2020)
  3. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (59)
    See also Journal Article Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics, Elsevier (2015) Downloads View citations (226) (2015)
  4. Scrap Value Functions in Dynamic Decision Problems
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) Downloads View citations (2)

2004

  1. A Comonotonic Image of Independence for Additive Risk Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (44)
    See also Journal Article A comonotonic image of independence for additive risk measures, Insurance: Mathematics and Economics, Elsevier (2004) Downloads View citations (45) (2004)

Journal Articles

2024

  1. Law-invariant return and star-shaped risk measures
    Insurance: Mathematics and Economics, 2024, 117, (C), 140-153 Downloads
    See also Working Paper Law-Invariant Return and Star-Shaped Risk Measures, Papers (2023) Downloads View citations (2) (2023)
  2. Two-Sample Testing for Tail Copulas with an Application to Equity Indices
    Journal of Business & Economic Statistics, 2024, 42, (1), 147-159 Downloads
    See also Working Paper Two-Sample Testing for Tail Copulas with an Application to Equity Indices, Discussion Paper (2021) Downloads (2021)

2022

  1. Dual Moments and Risk Attitudes
    Operations Research, 2022, 70, (3), 1330-1341 Downloads
    See also Working Paper Dual Moments and Risk Attitudes, Papers (2018) Downloads View citations (1) (2018)
  2. Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
    Journal of the American Statistical Association, 2022, 117, (537), 82-93 Downloads View citations (3)
    See also Working Paper Earthquake risk embedded in property prices: Evidence from five Japanese cities, Tinbergen Institute Discussion Papers (2018) Downloads (2018)
  3. Systemic risk: Conditional distortion risk measures
    Insurance: Mathematics and Economics, 2022, 102, (C), 126-145 Downloads View citations (11)
    See also Working Paper Systemic Risk: Conditional Distortion Risk Measures, Papers (2019) Downloads View citations (2) (2019)

2021

  1. Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
    European Journal of Operational Research, 2021, 291, (2), 438-446 Downloads View citations (10)

2020

  1. Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level
    Management Science, 2020, 66, (9), 3927-3955 Downloads View citations (12)
  2. Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
    Journal of Financial and Quantitative Analysis, 2020, 55, (7), 2334-2371 Downloads View citations (1)
  3. Dependent microstructure noise and integrated volatility estimation from high-frequency data
    Journal of Econometrics, 2020, 215, (2), 536-558 Downloads View citations (2)
    See also Working Paper Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, Cambridge Working Papers in Economics (2019) Downloads View citations (1) (2019)
  4. Dynamic consumption and portfolio choice under prospect theory
    Insurance: Mathematics and Economics, 2020, 91, (C), 224-237 Downloads View citations (7)
  5. Expected utility and catastrophic risk in a stochastic economy–climate model
    Journal of Econometrics, 2020, 214, (1), 110-129 Downloads View citations (15)
    See also Working Paper Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model, Discussion Paper (2010) Downloads View citations (16) (2010)
  6. Risk apportionment: The dual story
    Journal of Economic Theory, 2020, 185, (C) Downloads View citations (6)
    See also Working Paper Risk Apportionment: The Dual Story, Papers (2017) Downloads View citations (3) (2017)

2018

  1. Optimal Stopping Under Uncertainty in Drift and Jump Intensity
    Mathematics of Operations Research, 2018, 43, (4), 1177-1209 Downloads View citations (7)
  2. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 Downloads View citations (14)

2017

  1. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 Downloads View citations (30)

2016

  1. Robust optimal risk sharing and risk premia in expanding pools
    Insurance: Mathematics and Economics, 2016, 70, (C), 182-195 Downloads View citations (4)
    See also Working Paper Robust Optimal Risk Sharing and Risk Premia in Expanding Pools, Papers (2016) Downloads View citations (4) (2016)

2015

  1. Expected utility and catastrophic consumption risk
    Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 Downloads View citations (10)
  2. Modeling financial contagion using mutually exciting jump processes
    Journal of Financial Economics, 2015, 117, (3), 585-606 Downloads View citations (226)
    See also Working Paper Modeling Financial Contagion Using Mutually Exciting Jump Processes, NBER Working Papers (2010) Downloads View citations (59) (2010)
  3. The probability premium: A graphical representation
    Economics Letters, 2015, 136, (C), 39-41 Downloads View citations (5)

2014

  1. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 Downloads View citations (59)
    See also Working Paper Mutual excitation in eurozone sovereign CDS, SAFE Working Paper Series (2014) Downloads View citations (62) (2014)

2013

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

2012

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

2011

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

2010

  1. A note on additive risk measures in rank-dependent utility
    Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 Downloads View citations (14)
  2. Decision principles derived from risk measures
    Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 Downloads View citations (38)

2009

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

2008

  1. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 Downloads View citations (47)
  2. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 Downloads View citations (28)

2006

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

2005

  1. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 Downloads View citations (18)
  2. Some asymptotic results for sums of dependent random variables, with actuarial applications
    Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 Downloads View citations (12)
  3. The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
    Scandinavian Actuarial Journal, 2005, 2005, (6), 446-461 Downloads View citations (1)

2004

  1. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 Downloads View citations (45)
    See also Working Paper A Comonotonic Image of Independence for Additive Risk Measures, Tinbergen Institute Discussion Papers (2004) Downloads View citations (44) (2004)
  2. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 Downloads View citations (46)
 
Page updated 2024-07-14