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 0 164 0 4 8 525
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 1 13 0 4 6 20
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 4 0 1 2 14
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 0 2 4 36
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 0 6 8 14
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 3 4 6 44
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 1 2 2 3
Burr Utility 0 0 0 5 0 2 4 32
Burr Utility 0 0 0 0 0 4 4 9
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 0 3 0 8 9 13
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 0 12 18 58
Dual Moments and Risk Attitudes 0 0 0 32 0 5 7 54
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 0 1 1 4 8 20
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 1 5 7 81
Elicitability of Return Risk Measures 0 0 0 8 0 2 5 26
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 1 5 9 45
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 2 5 6 9
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 2 3 0 7 36 46
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 1 6 24 52
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 1 6 10 25
Expected Utility and Catastrophic Risk 0 0 1 42 1 5 11 105
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 13 0 6 10 81
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 2 8 18
Generalized Orlicz premia 0 0 1 1 0 3 7 7
Geometric BSDEs 0 0 0 0 1 5 10 17
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 0 3 4 30
Higher-Order Ambiguity Attitudes 0 1 6 10 3 9 29 37
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 1 5 0 8 14 22
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 0 6 13 17
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 0 3 5 12
Liquidity premium in Solvency II 0 0 0 6 0 2 2 33
Localizing Strictly Proper Scoring Rules 0 1 6 9 1 5 13 22
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 0 4 8 8
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 2 150 4 14 26 524
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 6 11 197
On Geometrically Convex Risk Measures 0 0 0 7 1 3 7 21
Probability Premium and Attitude Towards Probability 0 1 1 15 1 4 9 36
Quasi-Logconvex Measures of Risk 0 0 0 13 0 3 8 18
Risk Apportionment: The Dual Story 0 0 0 23 0 3 6 45
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 0 6 8 66
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 0 3 4 34
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 1 3 6 26
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 5 5 1 7 17 18
Robust multiple stopping — A duality approach 0 0 0 1 1 3 4 6
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 0 4 5 11
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 0 2 4 75
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 0 2 6 6 2 15 20 20
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 0 2 7 72
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 3 3 9
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 3 3 4 8
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 53 0 10 16 136
Total Working Papers 0 6 34 927 31 249 482 2,857

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 1 2 110
A note on additive risk measures in rank-dependent utility 0 0 0 8 0 0 1 45
A note on weighted premium calculation principles 0 0 0 20 0 6 8 118
Actuarial risk measures for financial derivative pricing 0 1 1 52 0 2 7 185
An optimization approach to the dynamic allocation of economic capital 0 0 1 111 0 1 3 254
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 4 6 191
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 3 16 2 11 21 80
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 0 2 8 1 4 9 30
Decision principles derived from risk measures 0 0 0 19 0 0 3 99
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 2 9 1 16 31 61
Dual Moments and Risk Attitudes 0 0 0 0 2 12 13 18
Dynamic consumption and portfolio choice under prospect theory 0 0 0 7 1 14 19 69
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 4 0 5 7 19
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 1 1 4 16
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 0 1 5 115
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 0 10 16 16
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 5 11 46
Expected utility and catastrophic consumption risk 0 0 0 10 0 3 6 63
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 2 12 1 6 9 107
Law-invariant return and star-shaped risk measures 0 0 0 0 0 2 6 9
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 0 3 6 15
Modeling financial contagion using mutually exciting jump processes 0 0 10 166 2 11 43 580
Mutual excitation in Eurozone sovereign CDS 0 1 1 48 0 7 13 156
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 0 3 6 22
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 1 7 13 57
Pareto utility 0 0 0 17 0 3 12 107
Risk apportionment: The dual story 0 0 1 5 0 4 11 42
Risk measurement with equivalent utility principles 1 1 1 2 1 4 5 14
Robust Multiple Stopping—A Duality Approach 0 0 0 0 0 4 8 8
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 0 9 11 36
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 1 120 1 2 5 255
Systemic risk: Conditional distortion risk measures 0 0 1 4 1 3 10 33
Testing for self-excitation in jumps 0 0 0 25 2 8 10 94
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 0 0 0 0 0 1 1 2
The probability premium: A graphical representation 0 0 0 14 0 0 2 155
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 0 2 3 7
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 0 7 13 123
Worst VaR scenarios: A remark 0 0 2 13 1 3 7 94
Worst case risk measurement: Back to the future? 0 0 0 12 0 2 3 76
Total Journal Articles 1 3 29 880 19 187 369 3,527
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