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 0 0 0 162 1 2 6 498
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 0 1 7 26
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 0 2 34
Burr Utility 0 0 0 2 0 0 1 21
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 2 37 1 1 10 19
Dual Moments and Risk Attitudes 0 0 2 28 0 0 6 34
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 1 21 3 7 25 49
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 9 0 0 3 27
Expected Utility and Catastrophic Risk 0 0 1 34 0 0 12 69
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 9 1 3 9 51
Goodness-of-fit testing for copulas: a distribution-free approach 0 0 11 11 1 2 9 9
Liquidity premium in Solvency II 0 0 1 5 0 1 6 25
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 6 129 2 3 21 421
Mutual excitation in eurozone sovereign CDS 1 1 2 56 3 4 11 169
Risk Apportionment: The Dual Story 0 0 2 19 0 0 11 28
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 1 32 2 2 4 48
Robust Multiple Stopping -- A Pathwise Duality Approach 0 1 1 1 3 9 9 9
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 1 20 0 0 2 16
Scrap Value Functions in Dynamic Decision Problems 0 0 0 6 0 2 15 57
Systemic Risk: Conditional Distortion Risk Measures 0 0 3 12 3 3 20 32
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 51 2 4 7 106
Total Working Papers 1 2 35 695 22 44 196 1,748


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 2 5 98
A note on additive risk measures in rank-dependent utility 0 0 0 8 0 0 4 41
A note on weighted premium calculation principles 0 1 3 15 2 9 27 85
Actuarial risk measures for financial derivative pricing 0 0 0 45 0 0 3 158
An optimization approach to the dynamic allocation of economic capital 0 0 1 102 0 0 5 229
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 31 0 1 5 172
Decision principles derived from risk measures 0 0 2 16 0 0 5 82
Dependent microstructure noise and integrated volatility estimation from high-frequency data 2 2 2 2 2 4 5 5
Dynamic consumption and portfolio choice under prospect theory 0 0 0 0 0 5 7 7
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 2 3 43 1 3 6 90
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 0 0 0 5 9
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 1 0 1 7 10
Expected utility and catastrophic consumption risk 0 0 1 7 0 0 9 44
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 1 1 1 7 17 17
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 0 0 0 2 2
Modeling financial contagion using mutually exciting jump processes 1 5 18 90 5 20 85 334
Mutual excitation in Eurozone sovereign CDS 1 1 2 38 3 3 15 105
Optimal dividends and ALM under unhedgeable risk 0 0 0 7 0 0 1 34
Pareto utility 0 0 1 13 0 0 8 70
Risk apportionment: The dual story 0 0 1 1 1 4 7 7
Risk measurement with equivalent utility principles 0 0 3 12 1 1 11 48
Robust Portfolio Choice and Indifference Valuation 0 1 1 1 0 1 2 9
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 1 0 0 4 16
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 0 119 0 0 3 247
Testing for self-excitation in jumps 1 2 4 10 1 2 11 42
The probability premium: A graphical representation 0 0 3 8 1 7 24 80
Worst VaR scenarios with given marginals and measures of association 0 0 1 38 0 1 3 99
Worst VaR scenarios: A remark 0 0 1 11 0 2 10 76
Worst case risk measurement: Back to the future? 0 0 0 10 0 0 5 63
Total Journal Articles 5 14 49 652 18 73 301 2,279


Statistics updated 2020-09-04