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 5 5 13 530
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 1 13 0 1 7 21
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 4 0 1 3 15
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 4 4 12 18
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 1 2 6 38
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 0 1 2 3
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 3 6 44
Burr Utility 0 0 0 0 2 2 6 11
Burr Utility 0 0 0 5 0 1 5 33
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 0 3 2 3 12 16
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 2 6 23 64
Dual Moments and Risk Attitudes 0 0 0 32 1 1 8 55
Dynamic Return and Star-Shaped Risk Measures via BSDEs 1 1 1 2 1 3 10 22
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 0 2 8 82
Elicitability of Return Risk Measures 0 0 0 8 4 4 9 30
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 3 6 14 50
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 3 5 9 12
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 2 3 5 9 45 55
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 3 4 27 55
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 1 2 11 26
Expected Utility and Catastrophic Risk 0 0 1 42 3 5 15 109
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 13 5 6 16 87
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 1 9 19
Generalized Orlicz premia 0 0 1 1 0 0 7 7
Geometric BSDEs 0 0 0 0 0 3 12 19
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 1 3 7 33
Higher-Order Ambiguity Attitudes 0 0 5 10 4 8 32 42
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 4 4 17 21
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 1 5 2 2 15 24
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 4 4 9 16
Liquidity premium in Solvency II 0 0 0 6 1 1 3 34
Localizing Strictly Proper Scoring Rules 0 0 1 9 5 7 13 28
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 3 5 13 13
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 2 150 4 11 32 531
Mutual excitation in eurozone sovereign CDS 0 0 0 58 2 2 12 199
On Geometrically Convex Risk Measures 0 0 0 7 2 3 8 23
Probability Premium and Attitude Towards Probability 0 0 1 15 1 2 10 37
Quasi-Logconvex Measures of Risk 0 0 0 13 1 2 10 20
Risk Apportionment: The Dual Story 0 0 0 23 2 4 10 49
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 4 5 13 71
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 2 2 6 36
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 5 7 12 32
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 0 5 2 3 15 20
Robust multiple stopping — A duality approach 0 0 0 1 2 4 7 9
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 2 2 6 77
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 7 8 13 19
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 1 4 10 10 4 10 28 28
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 0 0 7 72
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 3 3 6 12
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 3 7 8 12
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 53 5 7 23 143
Total Working Papers 2 5 28 932 120 196 630 3,022

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 3 111
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 3 3 11 121
Actuarial risk measures for financial derivative pricing 0 0 1 52 4 5 11 190
An optimization approach to the dynamic allocation of economic capital 0 0 1 111 1 2 5 256
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 4 4 10 195
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 2 16 2 5 21 83
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 0 2 8 1 2 10 31
Decision principles derived from risk measures 0 0 0 19 5 5 8 104
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 2 9 4 10 39 70
Dual Moments and Risk Attitudes 0 1 1 1 1 4 15 20
Dynamic consumption and portfolio choice under prospect theory 1 1 1 8 3 6 24 74
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 4 2 2 9 21
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 1 4 7 19
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 3 3 8 118
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 4 7 22 23
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 3 4 13 49
Expected utility and catastrophic consumption risk 0 0 0 10 2 3 9 66
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 2 12 1 3 11 109
Law-invariant return and star-shaped risk measures 0 0 0 0 4 4 9 13
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 0 0 6 15
Modeling financial contagion using mutually exciting jump processes 1 2 12 168 2 13 50 591
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 3 4 15 160
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 2 4 10 26
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 4 7 18 63
Pareto utility 0 0 0 17 1 4 15 111
Risk apportionment: The dual story 0 0 1 5 1 4 15 46
Risk measurement with equivalent utility principles 0 1 1 2 1 2 6 15
Robust Multiple Stopping—A Duality Approach 0 0 0 0 0 0 8 8
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 2 5 16 41
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 1 120 1 2 6 256
Systemic risk: Conditional distortion risk measures 0 0 1 4 5 6 13 38
Testing for self-excitation in jumps 0 0 0 25 1 3 11 95
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 0 0 0 0 2 3 4 5
The probability premium: A graphical representation 0 0 0 14 3 4 6 159
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 2 2 5 9
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 1 1 14 124
Worst VaR scenarios: A remark 0 0 1 13 1 2 7 95
Worst case risk measurement: Back to the future? 0 0 0 12 2 2 5 78
Total Journal Articles 2 5 31 884 83 145 476 3,653
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