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 0 5 517
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 0 12 0 0 8 14
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 4 0 0 0 12
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 0 0 1 32
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 0 0 1 6
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 2 38
Burr Utility 0 0 0 0 0 0 0 5
Burr Utility 0 0 0 5 0 0 0 28
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 3 3 0 0 4 4
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 0 1 3 41
Dual Moments and Risk Attitudes 0 0 0 32 0 0 1 47
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 0 1 0 0 0 12
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 0 0 2 74
Elicitability of Return Risk Measures 0 0 0 8 1 1 6 22
Entropy Coherent and Entropy Convex Measures of Risk 0 0 1 1 0 0 1 3
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 0 0 2 36
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 0 1 0 0 3 10
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 0 0 3 28
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 0 0 3 15
Expected Utility and Catastrophic Risk 0 0 1 41 0 0 1 94
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 1 13 0 0 4 71
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 0 0 10
Geometric BSDEs 0 0 0 0 0 0 7 7
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 0 0 2 26
Higher-Order Ambiguity Attitudes 0 1 5 5 0 2 10 10
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 4 4 0 1 9 9
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 5 5 0 0 4 4
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 0 0 3 7
Liquidity premium in Solvency II 0 0 0 6 0 0 0 31
Localizing Strictly Proper Scoring Rules 0 5 8 8 0 6 15 15
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 0 0 0 0 0 0
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 1 2 9 500
Mutual excitation in eurozone sovereign CDS 0 0 0 58 1 2 3 188
On Geometrically Convex Risk Measures 0 0 2 7 0 1 7 15
Probability Premium and Attitude Towards Probability 0 0 1 14 0 0 3 27
Quasi-Logconvex Measures of Risk 0 0 0 13 0 0 0 10
Risk Apportionment: The Dual Story 0 0 0 23 0 0 1 39
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 0 0 4 58
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 2 8 0 0 2 30
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 0 0 0 20
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 5 5 5 0 4 5 5
Robust multiple stopping — A duality approach 0 0 1 1 0 0 2 2
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 0 0 1 71
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 0 0 0 6
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 0 0 2 65
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 0 0 0 4
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 0 0 6
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 0 52 1 1 1 121
Total Working Papers 0 11 39 904 4 21 140 2,396

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 0 108
A note on additive risk measures in rank-dependent utility 0 0 0 8 0 0 0 44
A note on weighted premium calculation principles 0 0 0 20 0 0 1 110
Actuarial risk measures for financial derivative pricing 0 0 2 51 0 1 4 179
An optimization approach to the dynamic allocation of economic capital 0 0 0 110 0 0 2 251
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 0 0 185
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 1 1 14 0 3 5 62
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 1 1 1 7 1 1 1 22
Decision principles derived from risk measures 0 0 0 19 0 0 1 96
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 0 7 0 1 4 31
Dual Moments and Risk Attitudes 0 0 0 0 0 0 2 5
Dynamic consumption and portfolio choice under prospect theory 0 0 0 7 1 1 5 51
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 3 0 0 1 12
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 0 0 2 12
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 1 54 0 0 1 110
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 1 2 2 2
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 9 0 1 4 36
Expected utility and catastrophic consumption risk 0 0 1 10 0 0 5 57
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 0 10 0 0 2 98
Law-invariant return and star-shaped risk measures 0 0 0 0 0 1 4 4
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 0 0 1 9
Modeling financial contagion using mutually exciting jump processes 1 1 11 157 3 7 32 544
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 1 3 5 146
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 0 0 0 16
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 1 3 45
Pareto utility 0 0 1 17 0 1 2 96
Risk apportionment: The dual story 0 0 1 4 0 0 2 31
Risk measurement with equivalent utility principles 0 0 0 1 1 1 1 10
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 0 0 0 25
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 0 119 0 0 1 250
Systemic risk: Conditional distortion risk measures 0 0 0 3 0 2 8 25
Testing for self-excitation in jumps 0 0 1 25 0 0 2 84
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 0 0 0 0 0 0 0 1
The probability premium: A graphical representation 0 0 1 14 1 1 8 154
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 0 0 1 4
Worst VaR scenarios with given marginals and measures of association 0 0 1 41 0 0 4 110
Worst VaR scenarios: A remark 0 1 1 12 0 1 1 88
Worst case risk measurement: Back to the future? 0 0 0 12 0 0 2 73
Total Journal Articles 2 4 25 855 9 28 119 3,186
2 registered items for which data could not be found
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