Roger J. A. Laeven

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Affiliations

• Universiteit van Tilburg / School of Economics and Management / CentER Graduate School for Economics and Business (weight: 20%)
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  • location:
• Universiteit van Amsterdam / Faculteit Economie en Bedrijfskunde / Afdeling Kwantitatieve Economie (weight: 20%)
  • EDIRC entry
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• Universiteit van Amsterdam / Faculteit Economie en Bedrijfskunde / Finance Group (weight: 20%)
  • EDIRC entry
  • location:
• Universiteit van Amsterdam / Faculteit Economie en Bedrijfskunde / Amsterdam School of Economics (weight: 20%)
  • EDIRC entry
  • location:
• Universiteit van Amsterdam / Faculteit Economie en Bedrijfskunde (weight: 20%)
  • EDIRC entry
  • location:

Research profile

author of:

• Risk Aversion in the Small and in the Large under Rank-Dependent Utility (RePEc:arx:papers:1512.08037)
  by Louis R. Eeckhoudt & Roger J. A. Laeven
• Robust Optimal Risk Sharing and Risk Premia in Expanding Pools (RePEc:arx:papers:1601.06979)
  by Thomas Knispel & Roger J. A. Laeven & Gregor Svindland
• Dual Moments and Risk Attitudes (RePEc:arx:papers:1612.03347)
  by Louis R. Eeckhoudt & Roger J. A. Laeven
• Risk Apportionment: The Dual Story (RePEc:arx:papers:1712.02182)
  by Louis R. Eeckhoudt & Roger J. A. Laeven & Harris Schlesinger
• Systemic Risk: Conditional Distortion Risk Measures (RePEc:arx:papers:1901.04689)
  by Jan Dhaene & Roger J. A. Laeven & Yiying Zhang
• Robust Multiple Stopping -- A Pathwise Duality Approach (RePEc:arx:papers:2006.01802)
  by Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje
• Probability Premium and Attitude Towards Probability (RePEc:arx:papers:2105.00054)
  by Louis R. Eeckhoudt & Roger J. A. Laeven
• Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes (RePEc:arx:papers:2106.03560)
  by Raviar Karim & Roger J. A. Laeven & Michel Mandjes
• Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures (RePEc:arx:papers:2107.01730)
  by Thomas Knispel & Roger J. A. Laeven & Gregor Svindland
• Quasi-Logconvex Measures of Risk (RePEc:arx:papers:2208.07694)
  by Roger J. A. Laeven & Emanuela Rosazza Gianin
• Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation (RePEc:arx:papers:2210.06217)
  by H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov
• Elicitability of Return Risk Measures (RePEc:arx:papers:2302.13070)
  by Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven
• Dynamic Return and Star-Shaped Risk Measures via BSDEs (RePEc:arx:papers:2307.03447)
  by Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino
• Law-Invariant Return and Star-Shaped Risk Measures (RePEc:arx:papers:2310.19552)
  by Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino
• A Rank-Dependent Theory for Decision under Risk and Ambiguity (RePEc:arx:papers:2312.05977)
  by Roger J. A. Laeven & Mitja Stadje
• On Geometrically Convex Risk Measures (RePEc:arx:papers:2403.06188)
  by Mucahit Aygun & Fabio Bellini & Roger J. A. Laeven
• Can a Coherent Risk Measure Be Too Subadditive? (RePEc:bla:jrinsu:v:75:y:2008:i:2:p:365-386)
  by J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts
• Risk measurement with equivalent utility principles (RePEc:bpj:strimo:v:24:y:2006:i:1:p:1-25:n:2)
  by Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger
• Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data (RePEc:cam:camdae:1952)
  by Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H.
• Consumption and Portfolio Choice under Internal Multiplicative Habit Formation (RePEc:cup:jfinqa:v:55:y:2020:i:7:p:2334-2371_9)
  by van Bilsen, Servaas & Bovenberg, A. Lans & Laeven, Roger J. A.
• Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model (RePEc:dpr:wpaper:0825)
  by Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris
• The probability premium: A graphical representation (RePEc:eee:ecolet:v:136:y:2015:i:c:p:39-41)
  by Eeckhoudt, Louis R. & Laeven, Roger J.A.
• Mutual excitation in Eurozone sovereign CDS (RePEc:eee:econom:v:183:y:2014:i:2:p:151-167)
  by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana
• Testing for self-excitation in jumps (RePEc:eee:econom:v:203:y:2018:i:2:p:256-266)
  by Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye
• Expected utility and catastrophic risk in a stochastic economy–climate model (RePEc:eee:econom:v:214:y:2020:i:1:p:110-129)
  by Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (RePEc:eee:econom:v:215:y:2020:i:2:p:536-558)
  by Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H.
• Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures (RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446)
  by Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela
• Systemic risk: Conditional distortion risk measures (RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145)
  by Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying
• An optimization approach to the dynamic allocation of economic capital (RePEc:eee:insuma:v:35:y:2004:i:2:p:299-319)
  by Laeven, Roger J. A. & Goovaerts, Marc J.
• A comonotonic image of independence for additive risk measures (RePEc:eee:insuma:v:35:y:2004:i:3:p:581-594)
  by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe
• Some asymptotic results for sums of dependent random variables, with actuarial applications (RePEc:eee:insuma:v:37:y:2005:i:2:p:154-172)
  by Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom
• Actuarial risk measures for financial derivative pricing (RePEc:eee:insuma:v:42:y:2008:i:2:p:540-547)
  by Goovaerts, Marc J. & Laeven, Roger J.A.
• Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance (RePEc:eee:insuma:v:44:y:2009:i:2:p:143-145)
  by Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A.
• Worst VaR scenarios with given marginals and measures of association (RePEc:eee:insuma:v:44:y:2009:i:2:p:146-158)
  by Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B.
• Worst VaR scenarios: A remark (RePEc:eee:insuma:v:44:y:2009:i:2:p:159-163)
  by Laeven, Roger J.A.
• A note on additive risk measures in rank-dependent utility (RePEc:eee:insuma:v:47:y:2010:i:2:p:187-189)
  by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
• Decision principles derived from risk measures (RePEc:eee:insuma:v:47:y:2010:i:3:p:294-302)
  by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
• Worst case risk measurement: Back to the future? (RePEc:eee:insuma:v:49:y:2011:i:3:p:380-392)
  by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A.
• A note on weighted premium calculation principles (RePEc:eee:insuma:v:51:y:2012:i:2:p:379-381)
  by Kaluszka, M. & Laeven, R.J.A. & Okolewski, A.
• Optimal dividends and ALM under unhedgeable risk (RePEc:eee:insuma:v:53:y:2013:i:3:p:515-523)
  by Pelsser, Antoon A.J. & Laeven, Roger J.A.
• Expected utility and catastrophic consumption risk (RePEc:eee:insuma:v:64:y:2015:i:c:p:306-312)
  by Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris
• Robust optimal risk sharing and risk premia in expanding pools (RePEc:eee:insuma:v:70:y:2016:i:c:p:182-195)
  by Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor
• Dynamic consumption and portfolio choice under prospect theory (RePEc:eee:insuma:v:91:y:2020:i:c:p:224-237)
  by van Bilsen, Servaas & Laeven, Roger J.A.
• Risk apportionment: The dual story (RePEc:eee:jetheo:v:185:y:2020:i:c:s0022053119301218)
  by Eeckhoudt, Louis R. & Laeven, Roger J.A. & Schlesinger, Harris
• Modeling financial contagion using mutually exciting jump processes (RePEc:eee:jfinec:v:117:y:2015:i:3:p:585-606)
  by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.
• Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level (RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3927-3955)
  by Servaas van Bilsen & Roger J. A. Laeven & Theo E. Nijman
• Unknown item RePEc:inm:ormoor:v:38:y:2013:i:2:p:265-293 (article)
• Unknown item RePEc:inm:ormoor:v:39:y:2014:i:4:p:1109-1141 (article)
• Optimal Stopping Under Uncertainty in Drift and Jump Intensity (RePEc:inm:ormoor:v:43:y:2018:i:4:p:1177-1209)
  by Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje
• Dual Moments and Risk Attitudes (RePEc:inm:oropre:v:70:y:2022:i:3:p:1330-1341)
  by Louis R. Eeckhoudt & Roger J. A. Laeven
• Pareto utility (RePEc:kap:theord:v:75:y:2013:i:1:p:43-57)
  by Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris
• Modeling Financial Contagion Using Mutually Exciting Jump Processes (RePEc:nbr:nberwo:15850)
  by Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven
• Estimation of the Continuous and Discontinuous Leverage Effects (RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1744-1758)
  by Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang
• Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities (RePEc:taf:jnlasa:v:117:y:2022:i:537:p:82-93)
  by Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices (RePEc:taf:jnlbes:v:42:y:2024:i:1:p:147-159)
  by Sami Umut Can & John H. J. Einmahl & Roger J. A. Laeven
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (RePEc:taf:sactxx:v:2005:y:2005:i:6:p:446-461)
  by Marc Goovaerts & Rob Kaas & Roger Laeven & Qihe Tang & Raluca Vernic
• Managing Economic and Virtual Economic Capital Within Financial Conglomerates (RePEc:taf:uaajxx:v:9:y:2005:i:3:p:77-89)
  by Marc Goovaerts & Eddy Van den Borre & Roger Laeven
• A Comonotonic Image of Independence for Additive Risk Measures (RePEc:tin:wpaper:20040030)
  by Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang
• Expected Utility and Catastrophic Risk (RePEc:tin:wpaper:20140133)
  by Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris
• Earthquake risk embedded in property prices: Evidence from five Japanese cities (RePEc:tin:wpaper:20180061)
  by Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Yuan Yue
• Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation (RePEc:tin:wpaper:20220075)
  by H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov
• Entropy Coherent and Entropy Convex Measures of Risk (RePEc:tiu:tiucen:08f59c7c-7302-47f9-9a9b-b606762fd2f7)
  by Laeven, R.J.A. & Stadje, M.A.
• Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas (RePEc:tiu:tiucen:0ec969ab-46e6-4228-b44d-40d52aaf3aab)
  by Can, S.U. & Einmahl, J.H.J. & Khmaladze, E.V. & Laeven, R.J.A.
• Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model (RePEc:tiu:tiucen:52cbee73-e1dc-4ed3-8ec9-61bd0090c3da)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices (RePEc:tiu:tiucen:65a9e694-665d-4671-aaf1-4e2093fcec17)
  by Can, S.U. & Einmahl, John & Laeven, Roger
• Scrap Value Functions in Dynamic Decision Problems (RePEc:tiu:tiucen:94a6f785-0395-4b35-9c57-744ad3cafa92)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Burr Utility (RePEc:tiu:tiucen:fddee215-edea-4800-ba72-d1848113d888)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas (RePEc:tiu:tiucen:feb9a064-2a9f-47d6-a02b-7e5bfeeb9a63)
  by Can, S.U. & Einmahl, John & Laeven, R.J.A.
• Entropy Coherent and Entropy Convex Measures of Risk (RePEc:tiu:tiutis:08f59c7c-7302-47f9-9a9b-b606762fd2f7)
  by Laeven, R.J.A. & Stadje, M.A.
• Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas (RePEc:tiu:tiutis:0ec969ab-46e6-4228-b44d-40d52aaf3aab)
  by Can, S.U. & Einmahl, J.H.J. & Khmaladze, E.V. & Laeven, R.J.A.
• Goodness-of-fit testing for copulas: A distribution-free approach (RePEc:tiu:tiutis:211b2be9-b46e-41e2-9b95-18fa92cfda8c)
  by Can, S.U. & Einmahl, John & Laeven, R.J.A.
• Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model (RePEc:tiu:tiutis:52cbee73-e1dc-4ed3-8ec9-61bd0090c3da)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices (RePEc:tiu:tiutis:65a9e694-665d-4671-aaf1-4e2093fcec17)
  by Can, S.U. & Einmahl, John & Laeven, Roger
• Scrap Value Functions in Dynamic Decision Problems (RePEc:tiu:tiutis:94a6f785-0395-4b35-9c57-744ad3cafa92)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Liquidity premium in Solvency II (RePEc:tiu:tiutis:cee19911-ef98-48ef-97d5-b2bd474c53a2)
  by Laeven, R.J.A.
• Burr Utility (RePEc:tiu:tiutis:fddee215-edea-4800-ba72-d1848113d888)
  by Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M.
• Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas (RePEc:tiu:tiutis:feb9a064-2a9f-47d6-a02b-7e5bfeeb9a63)
  by Can, S.U. & Einmahl, John & Laeven, R.J.A.
• Mutual excitation in eurozone sovereign CDS (RePEc:zbw:safewp:51)
  by Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana