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Details about Roger J. A. Laeven

E-mail:
Homepage:http://www.rogerlaeven.com/
Workplace: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)
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)
CentER Graduate School for Economics and Business, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

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

Last updated 2021-06-03. Update your information in the RePEc Author Service.

Short-id: pla400


Jump to Journal Articles

Working Papers

2021

  1. Probability Premium and Attitude Towards Probability
    Papers, arXiv.org Downloads

2020

  1. Goodness-of-fit testing for copulas: A distribution-free approach
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
  2. Robust Multiple Stopping -- A Pathwise Duality Approach
    Papers, arXiv.org 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
    See also Journal Article in Journal of Econometrics (2020)
  2. Systemic Risk: Conditional Distortion Risk Measures
    Papers, arXiv.org Downloads View citations (2)

2018

  1. Dual Moments and Risk Attitudes
    Papers, arXiv.org Downloads View citations (1)
  2. Earthquake risk embedded in property prices: Evidence from five Japanese cities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

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 in Journal of Economic Theory (2020)

2016

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

2015

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

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 (40)
    See also Journal Article in Journal of Econometrics (2014)

2011

  1. Entropy Coherent and Entropy Convex Measures of Risk
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) Downloads View citations (13)

    See also Journal Article in Mathematics of Operations Research (2013)
  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 (4)

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
    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 (15)

    See also Journal Article in Journal of Econometrics (2020)
  3. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)
    See also Journal Article in Journal of Financial Economics (2015)
  4. Scrap Value Functions in Dynamic Decision Problems
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) Downloads

2004

  1. A Comonotonic Image of Independence for Additive Risk Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (22)
    See also Journal Article in Insurance: Mathematics and Economics (2004)

Journal Articles

2021

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

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 (2)
  2. Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
    Journal of Financial and Quantitative Analysis, 2020, 55, (7), 2334-2371 Downloads
  3. Dependent microstructure noise and integrated volatility estimation from high-frequency data
    Journal of Econometrics, 2020, 215, (2), 536-558 Downloads
    See also Working Paper (2019)
  4. Dynamic consumption and portfolio choice under prospect theory
    Insurance: Mathematics and Economics, 2020, 91, (C), 224-237 Downloads View citations (3)
  5. Expected utility and catastrophic risk in a stochastic economy–climate model
    Journal of Econometrics, 2020, 214, (1), 110-129 Downloads View citations (9)
    See also Working Paper (2010)
  6. Risk apportionment: The dual story
    Journal of Economic Theory, 2020, 185, (C) Downloads View citations (2)
    See also Working Paper (2017)

2018

  1. Optimal Stopping Under Uncertainty in Drift and Jump Intensity
    Mathematics of Operations Research, 2018, 43, (4), 1177-1209 Downloads View citations (1)
  2. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 Downloads View citations (3)

2017

  1. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 Downloads View citations (18)

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 (2016)

2015

  1. Expected utility and catastrophic consumption risk
    Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 Downloads View citations (8)
  2. Modeling financial contagion using mutually exciting jump processes
    Journal of Financial Economics, 2015, 117, (3), 585-606 Downloads View citations (142)
    See also Working Paper (2010)
  3. The probability premium: A graphical representation
    Economics Letters, 2015, 136, (C), 39-41 Downloads View citations (4)

2014

  1. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 Downloads View citations (41)
    See also Working Paper (2014)
  2. Robust Portfolio Choice and Indifference Valuation
    Mathematics of Operations Research, 2014, 39, (4), 1109-1141 Downloads View citations (24)

2013

  1. Entropy Coherent and Entropy Convex Measures of Risk
    Mathematics of Operations Research, 2013, 38, (2), 265-293 Downloads View citations (17)
    See also Working Paper (2011)
  2. Optimal dividends and ALM under unhedgeable risk
    Insurance: Mathematics and Economics, 2013, 53, (3), 515-523 Downloads
  3. 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 (12)

2010

  1. A note on additive risk measures in rank-dependent utility
    Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 Downloads View citations (10)
  2. Decision principles derived from risk measures
    Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 Downloads View citations (29)

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 (6)
  2. Worst VaR scenarios with given marginals and measures of association
    Insurance: Mathematics and Economics, 2009, 44, (2), 146-158 Downloads View citations (19)
  3. Worst VaR scenarios: A remark
    Insurance: Mathematics and Economics, 2009, 44, (2), 159-163 Downloads View citations (10)

2008

  1. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 Downloads View citations (43)
  2. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 Downloads View citations (24)

2006

  1. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1), 1-25 Downloads View citations (32)

2005

  1. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 Downloads View citations (4)
  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)

2004

  1. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 Downloads View citations (40)
    See also Working Paper (2004)
  2. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 Downloads View citations (40)
 
Page updated 2021-08-01