Details about Roger J. A. Laeven

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

Last updated 2019-08-12. Update your information in the RePEc Author Service.

Short-id: pla400

Working Papers

2019

1. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
2. Systemic Risk: Conditional Distortion Risk Measures
   Papers, arXiv.org

2018

3. Dual Moments and Risk Attitudes
   Papers, arXiv.org
4. Earthquake risk embedded in property prices: Evidence from five Japanese cities
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2017

5. Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
   Discussion Paper, Tilburg University, Center for Economic Research
6. Risk Apportionment: The Dual Story
   Papers, arXiv.org View citations (3)

2016

7. Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
   Papers, arXiv.org View citations (3)
   See also Journal Article in Insurance: Mathematics and Economics (2016)

2015

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

2014

9. Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
   Discussion Paper, Tilburg University, Center for Economic Research
10. Expected Utility and Catastrophic Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
11. Mutual excitation in eurozone sovereign CDS
    SAFE Working Paper Series, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt View citations (28)
    See also Journal Article in Journal of Econometrics (2014)

2011

12. Entropy Coherent and Entropy Convex Measures of Risk
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
    See also Journal Article in Mathematics of Operations Research (2013)
13. Liquidity premium in Solvency II
    Other publications TiSEM, Tilburg University, School of Economics and Management
14. 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 (3)

2010

15. Burr Utility
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
16. Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
    Discussion Paper, Tilburg University, Center for Economic Research View citations (10)
17. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (55)
    See also Journal Article in Journal of Financial Economics (2015)
18. Scrap Value Functions in Dynamic Decision Problems
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

2004

19. A Comonotonic Image of Independence for Additive Risk Measures
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
    See also Journal Article in Insurance: Mathematics and Economics (2004)

Journal Articles

2018

1. Testing for self-excitation in jumps
   Journal of Econometrics, 2018, 203, (2), 256-266 View citations (1)

2017

2. Estimation of the Continuous and Discontinuous Leverage Effects
   Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (11)

2016

3. Robust optimal risk sharing and risk premia in expanding pools
   Insurance: Mathematics and Economics, 2016, 70, (C), 182-195 View citations (3)
   See also Working Paper (2016)

2015

4. Expected utility and catastrophic consumption risk
   Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 View citations (4)
5. Modeling financial contagion using mutually exciting jump processes
   Journal of Financial Economics, 2015, 117, (3), 585-606 View citations (86)
   See also Working Paper (2010)
6. The probability premium: A graphical representation
   Economics Letters, 2015, 136, (C), 39-41 View citations (1)

2014

7. Mutual excitation in Eurozone sovereign CDS
   Journal of Econometrics, 2014, 183, (2), 151-167 View citations (29)
   See also Working Paper (2014)
8. Robust Portfolio Choice and Indifference Valuation
   Mathematics of Operations Research, 2014, 39, (4), 1109-1141 View citations (9)

2013

9. Entropy Coherent and Entropy Convex Measures of Risk
   Mathematics of Operations Research, 2013, 38, (2), 265-293 View citations (8)
   See also Working Paper (2011)
10. Optimal dividends and ALM under unhedgeable risk
    Insurance: Mathematics and Economics, 2013, 53, (3), 515-523
11. Pareto utility
    Theory and Decision, 2013, 75, (1), 43-57 View citations (9)

2012

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

2011

13. Worst case risk measurement: Back to the future?
    Insurance: Mathematics and Economics, 2011, 49, (3), 380-392 View citations (7)

2010

14. A note on additive risk measures in rank-dependent utility
    Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (9)
15. Decision principles derived from risk measures
    Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (27)

2009

16. 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 (6)
17. Worst VaR scenarios with given marginals and measures of association
    Insurance: Mathematics and Economics, 2009, 44, (2), 146-158 View citations (16)
18. Worst VaR scenarios: A remark
    Insurance: Mathematics and Economics, 2009, 44, (2), 159-163 View citations (8)

2008

19. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (35)
20. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (23)

2006

21. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1/2006), 25 View citations (29)

2005

22. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 View citations (2)
23. Some asymptotic results for sums of dependent random variables, with actuarial applications
    Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 View citations (10)

2004

24. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 View citations (33)
    See also Working Paper (2004)
25. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (30)