Details about Roger J. A. Laeven
E-mail: |
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Homepage: | http://www.rogerlaeven.com/
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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)
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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
Jump to Journal Articles
Working Papers
2021
- Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures
Papers, arXiv.org
- Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
Papers, arXiv.org
- Probability Premium and Attitude Towards Probability
Papers, arXiv.org
- Robust Multiple Stopping -- A Pathwise Duality Approach
Papers, arXiv.org
- 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
- Goodness-of-fit testing for copulas: A distribution-free approach
Other publications TiSEM, Tilburg University, School of Economics and Management
2019
- 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)
- Systemic Risk: Conditional Distortion Risk Measures
Papers, arXiv.org View citations (2)
See also Journal Article in Insurance: Mathematics and Economics (2022)
2018
- Dual Moments and Risk Attitudes
Papers, arXiv.org View citations (1)
- 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
- 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)
- Risk Apportionment: The Dual Story
Papers, arXiv.org View citations (3)
See also Journal Article in Journal of Economic Theory (2020)
2016
- 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
- Risk Aversion in the Small and in the Large under Rank-Dependent Utility
Papers, arXiv.org
2014
- 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)
- Expected Utility and Catastrophic Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
- 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
- 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)
- Liquidity premium in Solvency II
Other publications TiSEM, Tilburg University, School of Economics and Management
- 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
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- Systemic risk: Conditional distortion risk measures
Insurance: Mathematics and Economics, 2022, 102, (C), 126-145 
See also Working Paper (2019)
2021
- Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
European Journal of Operational Research, 2021, 291, (2), 438-446
2020
- Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level
Management Science, 2020, 66, (9), 3927-3955 View citations (8)
- Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
Journal of Financial and Quantitative Analysis, 2020, 55, (7), 2334-2371
- 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)
- Dynamic consumption and portfolio choice under prospect theory
Insurance: Mathematics and Economics, 2020, 91, (C), 224-237 View citations (5)
- 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)
- Risk apportionment: The dual story
Journal of Economic Theory, 2020, 185, (C) View citations (4)
See also Working Paper (2017)
2018
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity
Mathematics of Operations Research, 2018, 43, (4), 1177-1209 View citations (4)
- Testing for self-excitation in jumps
Journal of Econometrics, 2018, 203, (2), 256-266 View citations (4)
2017
- Estimation of the Continuous and Discontinuous Leverage Effects
Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (23)
2016
- 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
- Expected utility and catastrophic consumption risk
Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 View citations (10)
- 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)
- The probability premium: A graphical representation
Economics Letters, 2015, 136, (C), 39-41 View citations (5)
2014
- Mutual excitation in Eurozone sovereign CDS
Journal of Econometrics, 2014, 183, (2), 151-167 View citations (51)
See also Working Paper (2014)
- Robust Portfolio Choice and Indifference Valuation
Mathematics of Operations Research, 2014, 39, (4), 1109-1141 View citations (31)
2013
- 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)
- Optimal dividends and ALM under unhedgeable risk
Insurance: Mathematics and Economics, 2013, 53, (3), 515-523
- Pareto utility
Theory and Decision, 2013, 75, (1), 43-57 View citations (11)
2012
- A note on weighted premium calculation principles
Insurance: Mathematics and Economics, 2012, 51, (2), 379-381
2011
- Worst case risk measurement: Back to the future?
Insurance: Mathematics and Economics, 2011, 49, (3), 380-392 View citations (15)
2010
- A note on additive risk measures in rank-dependent utility
Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (13)
- Decision principles derived from risk measures
Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (35)
2009
- 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)
- Worst VaR scenarios with given marginals and measures of association
Insurance: Mathematics and Economics, 2009, 44, (2), 146-158 View citations (21)
- Worst VaR scenarios: A remark
Insurance: Mathematics and Economics, 2009, 44, (2), 159-163 View citations (11)
2008
- Actuarial risk measures for financial derivative pricing
Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (46)
- Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (27)
2006
- Risk measurement with equivalent utility principles
Statistics & Risk Modeling, 2006, 24, (1), 1-25 View citations (40)
2005
- Managing Economic and Virtual Economic Capital Within Financial Conglomerates
North American Actuarial Journal, 2005, 9, (3), 77-89 View citations (17)
- 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
- 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)
- An optimization approach to the dynamic allocation of economic capital
Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (44)
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