← All authors Roger J. A. Laeven University of Amsterdam (from arXiv:2210.06217, 2022) · ORCID · OpenAlex
49 papers in scope · 49 published · 1 on the econ.EM arXiv · 1,898 citations · h-index 21 (over the papers listed here)
Papers (1 of 49)
Compound multivariate Hawkes processes: Large deviations and rare event simulation
published 2025 · Bernoulli · 1 citations · first circulated 2022
with Raviar Karim, Michel Mandjes
published 2024 · Journal of Econometrics · 3 citations · first circulated 2022
Robust Multiple Stopping—A Duality Approach
published 2024 · Mathematics of Operations Research · 3 citations · first circulated 2020
with John Schoenmakers, Nikolaus Schweizer, Mitja Stadje
Law-invariant return and star-shaped risk measures
published 2024 · Insurance Mathematics and Economics · 7 citations · first circulated 2023
with Emanuela Rosazza Gianin, Marco Zullino
Two-Sample Testing for Tail Copulas with an Application to Equity Indices
published 2023 · Journal of Business and Economic Statistics · 4 citations · first circulated 2021
with Sami Umut Can, J.H.J. Einmahl
Editorial to the virtual special issue on emerging risks and insurance technology
published 2022 · Insurance Mathematics and Economics · 1 citations
with Runhuan Feng, Xin Lin
Systemic risk: Conditional distortion risk measures
published 2021 · Insurance Mathematics and Economics · 8 citations
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics
published 2021 · Insurance Mathematics and Economics · 3 citations
with Moshe A. Milevsky, Matthias Scherer, Rudi Zagst, Xun Yu Zhou
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
published 2021 · Journal of the American Statistical Association · 11 citations · first circulated 2018
with Masako Ikefuji, Jan R. Magnus, Yuan Yue
Dual Moments and Risk Attitudes
published 2021 · Operations Research
with Louis Eeckhoudt
DICE Simplified
published 2020 · Environmental Modeling & Assessment · 6 citations
Goodness-of-fit testing for copulas: A distribution-free approach
published 2020 · Bernoulli · 2 citations · first circulated 2014
with Sami Umut Can, J.H.J. Einmahl, Estáte V. Khmaladze
Dynamic consumption and portfolio choice under prospect theory
published 2020 · Insurance Mathematics and Economics · 27 citations · first circulated 2019
with Servaas van Bilsen
Risk apportionment: The dual story
published 2019 · Journal of Economic Theory · 2 citations
with Louis Eeckhoudt, Harris Schlesinger
Dependent microstructure noise and integrated volatility estimation from high-frequency data
published 2019 · Journal of Econometrics · 14 citations · first circulated 2017
with Z. Merrick Li, Michel Vellekoop
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
published 2019 · Journal of Financial and Quantitative Analysis · 20 citations
with Servaas van Bilsen, A.L. Bovenberg
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures
published 2019 · European Journal of Operational Research · 16 citations
with Fabio Bellini, Emanuela Rosazza Gianin
Expected utility and catastrophic risk in a stochastic economy–climate model
published 2019 · Journal of Econometrics · 22 citations · first circulated 2010
Optimal Stopping Under Uncertainty in Drift and Jump Intensity
published 2018 · Mathematics of Operations Research · 16 citations
with Volker Krätschmer, Marcel Ladkau, John Schoenmakers, Mitja Stadje
In memoriam Marc Goovaerts
published 2018 · Insurance Mathematics and Economics
with Rob Kaas, Sheldon Lin, Qihe Tang, Gordon E. Willmot, Hailiang Yang
Testing for self-excitation in jumps
published 2018 · Journal of Econometrics · 39 citations
IME’s Editorial Board
published 2017 · Insurance Mathematics and Economics · 1 citations
with Rob Kaas, Sheldon S. Lin, Qihe Tang, Gordon E. Willmot, Hailiang Yang, Sheldon Lin
Robust return risk measures
published 2017 · Mathematics and Financial Economics · 36 citations · first circulated 2016
with Fabio Bellini, Emanuela Rosazza Gianin
Estimation of the Continuous and Discontinuous Leverage Effects
published 2016 · Journal of the American Statistical Association · 72 citations · first circulated 2013
Robust optimal risk sharing and risk premia in expanding pools
published 2016 · Insurance Mathematics and Economics · 11 citations
with Thomas Knispel, Gregor Svindland
The probability premium: A graphical representation
published 2015 · Economics Letters · 3 citations
with Louis Eeckhoudt
Modeling financial contagion using mutually exciting jump processes
published 2015 · Journal of Financial Economics · 582 citations · first circulated 2009
with Yacine Aït-Sahalia, Julio Cacho-Diaz
Premium Calculation and Insurance Pricing
published 2014 · Wiley StatsRef: Statistics Reference Online · 30 citations · first circulated 2008
with Marc Goovaerts
Robust Portfolio Choice and Indifference Valuation
published 2014 · Mathematics of Operations Research · 20 citations
with Mitja Stadje
Mutual excitation in Eurozone sovereign CDS
published 2014 · Journal of Econometrics · 115 citations
Optimal dividends and ALM under unhedgeable risk
published 2013 · Insurance Mathematics and Economics · 2 citations · first circulated 2010
with Antoon Pelsser
Transform analysis and asset pricing for diffusion processes: a recursvie approach
published 2012 · The Journal of Computational Finance · 3 citations
with Marc Goovaerts, Zhaoning Shang
A note on weighted premium calculation principles
published 2012 · Insurance Mathematics and Economics · 1 citations
with Marek Kałuszka, Andrzej Okolewski
Pareto utility
published 2012 · Theory and Decision · 20 citations
Worst case risk measurement: Back to the future?
published 2011 · Insurance Mathematics and Economics · 26 citations
with Marc Goovaerts, Rob Kaas
Decision principles derived from risk measures
published 2010 · Insurance Mathematics and Economics · 48 citations
with Marc Goovaerts, Rob Kaas
A note on additive risk measures in rank-dependent utility
published 2010 · Insurance Mathematics and Economics · 31 citations
with Marc Goovaerts, Rob Kaas
Worst VaR scenarios with given marginals and measures of association
published 2009 · Insurance Mathematics and Economics · 52 citations
with Rob Kaas, Roger B. Nelsen
Worst VaR scenarios: A remark
published 2008 · Insurance Mathematics and Economics · 18 citations · first circulated 2005
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
published 2008 · Insurance Mathematics and Economics · 21 citations
with Christian Genest, Hans U. Gerber, Marc Goovaerts
Can a Coherent Risk Measure Be Too Subadditive?
published 2008 · Journal of Risk & Insurance · 112 citations
Actuarial risk measures for financial derivative pricing
published 2007 · Insurance Mathematics and Economics · 84 citations · first circulated 2006
with Marc Goovaerts
Risk measurement with equivalent utility principles
published 2006 · Statistics & Risk Modeling · 70 citations
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
published 2005 · Scandinavian Actuarial Journal · 106 citations · first circulated 2004
with Marc Goovaerts, Rob Kaas, Qihe Tang, Raluca Vernic
Some asymptotic results for sums of dependent random variables, with actuarial applications
published 2005 · Insurance Mathematics and Economics · 28 citations
with Marc Goovaerts, Tom Hoedemakers
Managing Economic and Virtual Economic Capital Within Financial Conglomerates
published 2005 · North American Actuarial Journal · 38 citations
with Marc Goovaerts, Eddy Van Den Borre
A comonotonic image of independence for additive risk measures
published 2004 · Insurance Mathematics and Economics · 69 citations
with Marc Goovaerts, Rob Kaas, Qihe Tang
An optimization approach to the dynamic allocation of economic capital
published 2004 · Insurance Mathematics and Economics · 92 citations
with Marc Goovaerts
An optimization approach to the allocation of economic capital
published 2003 · Insurance Mathematics and Economics · 2 citations
with Marc Goovaerts
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