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 2 3 5 521
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 1 1 13 1 2 10 16
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 1 2 33
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 1 1 2 8
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 38
Burr Utility 0 0 0 0 0 0 0 5
Burr Utility 0 0 0 5 1 1 1 29
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 3 3 0 1 5 5
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 1 2 7 45
Dual Moments and Risk Attitudes 0 0 0 32 2 2 2 49
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 0 1 1 1 2 14
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 0 1 4 76
Elicitability of Return Risk Measures 0 0 0 8 0 2 7 24
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 0 0 0 3
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 1 1 2 38
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 1 2 6 12 17 26
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 3 3 4 31
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 2 3 4 18
Expected Utility and Catastrophic Risk 1 1 1 42 1 3 3 97
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 1 13 2 4 6 75
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 2 4 5 15
Generalized Orlicz premia 0 0 1 1 1 1 2 2
Geometric BSDEs 0 0 0 0 2 2 8 11
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 0 0 2 26
Higher-Order Ambiguity Attitudes 1 3 9 9 7 11 24 24
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 0 2 3 6
Higher-Order Risk Attitudes for Non-Expected Utility 0 1 1 5 1 2 5 12
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 2 2 4 9
Liquidity premium in Solvency II 0 0 0 6 0 0 0 31
Localizing Strictly Proper Scoring Rules 0 0 6 8 2 2 11 17
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 0 0 3 3
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 1 1 149 4 7 13 507
Mutual excitation in eurozone sovereign CDS 0 0 0 58 2 3 6 191
On Geometrically Convex Risk Measures 0 0 1 7 0 0 5 15
Probability Premium and Attitude Towards Probability 0 0 0 14 0 0 3 28
Quasi-Logconvex Measures of Risk 0 0 0 13 0 1 3 13
Risk Apportionment: The Dual Story 0 0 0 23 0 1 1 40
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 0 1 4 59
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 1 1 1 31
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 1 2 2 22
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 5 5 1 2 7 7
Robust multiple stopping — A duality approach 0 0 1 1 0 0 3 3
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 1 2 3 73
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 1 1 1 7
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 0 4 4 4 1 3 3 3
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 2 2 2 67
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 0 0 6
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 0 0 0 4
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 53 1 2 4 124
Total Working Papers 3 11 38 920 56 97 212 2,520

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 1 1 1 109
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 1 1 111
Actuarial risk measures for financial derivative pricing 0 0 1 51 2 2 4 181
An optimization approach to the dynamic allocation of economic capital 0 0 1 111 0 0 4 253
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 1 1 1 186
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 2 3 16 1 3 10 67
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 1 1 2 8 2 2 3 24
Decision principles derived from risk measures 0 0 0 19 3 3 3 99
Dependent microstructure noise and integrated volatility estimation from high-frequency data 1 2 2 9 6 8 13 41
Dual Moments and Risk Attitudes 0 0 0 0 0 0 1 5
Dynamic consumption and portfolio choice under prospect theory 0 0 0 7 0 0 5 53
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 1 2 4 0 2 3 14
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 0 1 3 13
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 1 54 3 4 5 114
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 1 1 3 3
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 1 6 39
Expected utility and catastrophic consumption risk 0 0 0 10 0 1 5 59
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 1 11 0 0 2 99
Law-invariant return and star-shaped risk measures 0 0 0 0 0 1 5 6
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 1 1 2 10
Modeling financial contagion using mutually exciting jump processes 3 6 12 166 4 8 30 558
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 2 2 5 148
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 0 2 2 18
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 3 3 8 50
Pareto utility 0 0 0 17 2 4 7 102
Risk apportionment: The dual story 0 1 2 5 1 3 6 36
Risk measurement with equivalent utility principles 0 0 0 1 0 0 1 10
Robust Multiple Stopping—A Duality Approach 0 0 0 0 0 3 4 4
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 2 2 2 27
Some asymptotic results for sums of dependent random variables, with actuarial applications 1 1 1 120 2 3 4 253
Systemic risk: Conditional distortion risk measures 1 1 1 4 2 2 10 29
Testing for self-excitation in jumps 0 0 0 25 0 1 3 86
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 0 14 0 1 6 155
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 0 41 3 4 7 114
Worst VaR scenarios: A remark 1 1 2 13 1 1 4 91
Worst case risk measurement: Back to the future? 0 0 0 12 0 0 2 73
Total Journal Articles 8 16 31 876 44 72 182 3,289
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