Access Statistics for Roger J. A. Laeven

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comonotonic Image of Independence for Additive Risk Measures 1 1 1 164 1 1 2 507
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 3 0 0 1 8
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 0 0 0 30
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 1 1 0 0 1 5
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 0 0 0 1
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 0 1 36
Burr Utility 0 0 0 0 0 0 0 5
Burr Utility 0 0 0 3 0 0 0 25
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 1 39 1 2 6 32
Dual Moments and Risk Attitudes 0 1 1 31 0 1 3 44
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 1 22 0 0 4 68
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 0 0 0 1 2
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 11 0 1 1 33
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 0 0 0 0 0
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 2 2 1 1 4 7
Expected Utility and Catastrophic Risk 1 2 4 38 1 2 8 85
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 0 1 10
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 11 0 0 2 64
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 2 15 0 0 3 23
Liquidity premium in Solvency II 0 0 1 6 1 2 3 30
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 2 6 141 0 5 19 463
Mutual excitation in eurozone sovereign CDS 0 0 0 57 0 0 1 182
Probability Premium and Attitude Towards Probability 0 1 1 13 0 1 2 21
Quasi-Logconvex Measures of Risk 11 11 11 11 2 2 2 2
Risk Apportionment: The Dual Story 0 1 2 23 0 1 3 36
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 0 0 0 53
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 5 0 0 4 26
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 0 0 2 20
Scrap Value Functions in Dynamic Decision Problems 0 0 0 6 0 2 4 66
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 0 1 1 5
Systemic Risk: Conditional Distortion Risk Measures 0 0 2 16 1 2 7 55
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 2 7 0 0 2 4
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 0 0 5
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 0 52 0 0 3 117
Total Working Papers 13 19 38 785 8 24 91 2,070


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comonotonic image of independence for additive risk measures 0 0 0 22 0 0 0 107
A note on additive risk measures in rank-dependent utility 0 0 0 8 0 0 2 44
A note on weighted premium calculation principles 0 1 2 18 1 2 4 100
Actuarial risk measures for financial derivative pricing 0 0 1 48 0 0 4 170
An optimization approach to the dynamic allocation of economic capital 0 0 2 107 1 2 6 244
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 0 3 184
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 3 7 2 3 14 42
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 0 0 4 1 1 3 19
Decision principles derived from risk measures 0 0 1 19 0 0 3 93
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 1 4 1 2 4 23
Dynamic consumption and portfolio choice under prospect theory 0 0 4 7 0 2 14 41
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 0 2 1 1 3 9
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 1 1 0 0 3 3
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 1 46 0 1 2 98
Entropy Coherent and Entropy Convex Measures of Risk 0 0 1 1 0 0 3 18
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 3 0 0 10 27
Expected utility and catastrophic consumption risk 0 0 0 8 0 0 1 51
Expected utility and catastrophic risk in a stochastic economy–climate model 1 1 3 7 1 4 21 74
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 1 1 0 0 1 7
Modeling financial contagion using mutually exciting jump processes 3 4 12 122 6 11 39 440
Mutual excitation in Eurozone sovereign CDS 0 0 1 41 0 0 6 130
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 1 1 1 5 2 2 4 13
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 0 1 41
Pareto utility 0 0 1 15 0 0 4 82
Risk apportionment: The dual story 0 0 0 2 0 1 6 24
Risk measurement with equivalent utility principles 0 0 1 1 0 0 3 8
Robust Portfolio Choice and Indifference Valuation 0 0 1 2 1 1 6 20
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 1 0 1 1 22
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 0 119 0 0 0 249
Systemic risk: Conditional distortion risk measures 0 0 1 1 2 2 9 9
Testing for self-excitation in jumps 2 3 7 20 3 8 17 72
The probability premium: A graphical representation 0 0 1 13 0 2 10 137
Worst VaR scenarios with given marginals and measures of association 0 1 1 39 0 1 2 104
Worst VaR scenarios: A remark 0 0 0 11 2 2 4 85
Worst case risk measurement: Back to the future? 0 0 0 10 0 0 1 67
Total Journal Articles 7 11 49 756 24 49 214 2,857


Statistics updated 2022-11-05