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 3 5 521
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 1 13 0 1 9 16
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 4 1 1 1 13
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 0 1 2 8
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 1 2 3 34
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 2 2 3 40
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 0 0 0 1
Burr Utility 0 0 0 0 0 0 0 5
Burr Utility 0 0 0 5 1 2 2 30
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 3 8 46
Dual Moments and Risk Attitudes 0 0 0 32 0 2 2 49
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 0 1 2 3 4 16
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 0 0 4 76
Elicitability of Return Risk Measures 0 0 0 8 0 1 6 24
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 1 1 1 4
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 2 3 4 40
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 1 1 2 3 13 25 29 39
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 15 18 18 46
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 1 4 5 19
Expected Utility and Catastrophic Risk 0 1 1 42 3 4 6 100
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 1 3 6 16
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 1 13 0 4 5 75
Generalized Orlicz premia 0 0 1 1 2 3 4 4
Geometric BSDEs 0 0 0 0 1 3 9 12
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 1 1 3 27
Higher-Order Ambiguity Attitudes 0 2 9 9 4 12 28 28
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 1 5 2 3 7 14
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 5 5 8 11
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 0 2 4 9
Liquidity premium in Solvency II 0 0 0 6 0 0 0 31
Localizing Strictly Proper Scoring Rules 0 0 5 8 0 2 9 17
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 1 1 4 4
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 1 149 3 8 14 510
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 2 6 191
On Geometrically Convex Risk Measures 0 0 1 7 3 3 8 18
Probability Premium and Attitude Towards Probability 0 0 0 14 4 4 6 32
Quasi-Logconvex Measures of Risk 0 0 0 13 2 2 5 15
Risk Apportionment: The Dual Story 0 0 0 23 2 2 3 42
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 1 1 4 60
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 0 1 1 31
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 1 2 3 23
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 5 5 4 6 11 11
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 0 1 2 73
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 0 1 1 7
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 0 0 4 4 2 3 5 5
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 3 5 5 70
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 1 1 1 5
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 1 53 2 4 6 126
Total Working Papers 1 5 38 921 88 162 288 2,608

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 1 109
A note on additive risk measures in rank-dependent utility 0 0 0 8 1 1 1 45
A note on weighted premium calculation principles 0 0 0 20 1 1 2 112
Actuarial risk measures for financial derivative pricing 0 0 1 51 2 4 6 183
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 2 2 187
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 3 16 2 3 11 69
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 1 2 8 2 4 5 26
Decision principles derived from risk measures 0 0 0 19 0 3 3 99
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 1 2 9 4 11 16 45
Dual Moments and Risk Attitudes 0 0 0 0 1 1 1 6
Dynamic consumption and portfolio choice under prospect theory 0 0 0 7 2 2 7 55
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 4 0 0 2 14
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 2 2 4 15
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 0 4 4 114
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 3 4 6 6
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 2 3 7 41
Expected utility and catastrophic consumption risk 0 0 0 10 1 1 6 60
Expected utility and catastrophic risk in a stochastic economy–climate model 1 1 2 12 2 2 4 101
Law-invariant return and star-shaped risk measures 0 0 0 0 1 1 6 7
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 2 3 4 12
Modeling financial contagion using mutually exciting jump processes 0 5 10 166 11 17 37 569
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 1 3 6 149
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 1 1 3 19
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 3 7 50
Pareto utility 0 0 0 17 2 4 9 104
Risk apportionment: The dual story 0 1 2 5 2 4 8 38
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 0 4 4
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 0 2 2 27
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 1 1 120 0 2 3 253
Systemic risk: Conditional distortion risk measures 0 1 1 4 1 3 11 30
Testing for self-excitation in jumps 0 0 0 25 0 0 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 4 155
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 1 1 2 5
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 2 5 9 116
Worst VaR scenarios: A remark 0 1 2 13 0 1 4 91
Worst case risk measurement: Back to the future? 0 0 0 12 1 1 3 74
Total Journal Articles 1 12 28 877 51 101 218 3,340
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