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 2 5 521
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 1 13 2 3 7 18
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures 0 0 0 4 0 1 1 13
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 1 2 3 9
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 1 2 4 35
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 1 1 1 2
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 2 3 40
Burr Utility 0 0 0 5 0 2 2 30
Burr Utility 0 0 0 0 0 0 0 5
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 3 3 1 1 5 6
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 11 13 19 57
Dual Moments and Risk Attitudes 0 0 0 32 1 3 3 50
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 0 1 3 6 7 19
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 0 23 2 2 6 78
Elicitability of Return Risk Measures 0 0 0 8 1 1 7 25
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 0 3 4 40
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 0 1 1 4
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 1 2 3 6 25 35 45
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 0 18 18 46
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 3 6 8 22
Expected Utility and Catastrophic Risk 0 1 1 42 2 6 8 102
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 13 3 5 7 78
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 3 6 16
Generalized Orlicz premia 0 0 1 1 2 5 6 6
Geometric BSDEs 0 0 0 0 3 6 11 15
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 0 1 2 27
Higher-Order Ambiguity Attitudes 1 2 10 10 3 14 31 31
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 1 5 2 5 9 16
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 2 7 9 13
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 2 2 2 33
Localizing Strictly Proper Scoring Rules 1 1 6 9 2 4 10 19
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 2 3 6 6
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 2 2 150 3 10 16 513
Mutual excitation in eurozone sovereign CDS 0 0 0 58 3 5 9 194
On Geometrically Convex Risk Measures 0 0 0 7 1 4 8 19
Probability Premium and Attitude Towards Probability 1 1 1 15 1 5 7 33
Quasi-Logconvex Measures of Risk 0 0 0 13 2 4 7 17
Risk Apportionment: The Dual Story 0 0 0 23 0 2 3 42
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 2 3 6 62
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 0 2 3 23
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 5 5 3 8 14 14
Robust multiple stopping — A duality approach 0 0 1 1 1 1 3 4
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 1 2 2 8
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 0 1 2 73
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 1 1 5 5 4 7 9 9
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 0 5 5 70
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 0 1 1 5
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 3 3 3 9
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 53 3 6 9 129
Total Working Papers 5 9 41 926 83 227 358 2,691

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 2 2 110
A note on additive risk measures in rank-dependent utility 0 0 0 8 0 1 1 45
A note on weighted premium calculation principles 0 0 0 20 3 4 5 115
Actuarial risk measures for financial derivative pricing 1 1 2 52 1 5 7 184
An optimization approach to the dynamic allocation of economic capital 0 0 1 111 1 1 4 254
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 1 3 3 188
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 3 16 6 9 17 75
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 1 2 8 1 5 6 27
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 2 12 18 47
Dual Moments and Risk Attitudes 0 0 0 0 2 3 3 8
Dynamic consumption and portfolio choice under prospect theory 0 0 0 7 2 4 8 57
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 4 3 3 5 17
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 0 2 4 15
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 1 4 5 115
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 1 5 7 7
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 4 7 42
Expected utility and catastrophic consumption risk 0 0 0 10 2 3 7 62
Expected utility and catastrophic risk in a stochastic economy–climate model 0 1 2 12 2 4 5 103
Law-invariant return and star-shaped risk measures 0 0 0 0 1 2 7 8
Managing Economic and Virtual Economic Capital Within Financial Conglomerates 0 0 0 1 2 5 6 14
Modeling financial contagion using mutually exciting jump processes 0 3 10 166 2 17 38 571
Mutual excitation in Eurozone sovereign CDS 1 1 1 48 2 5 8 151
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 2 3 5 21
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 4 7 10 54
Pareto utility 0 0 0 17 2 6 11 106
Risk apportionment: The dual story 0 0 2 5 2 5 10 40
Risk measurement with equivalent utility principles 0 0 0 1 1 1 2 11
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 1 3 3 28
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 0 3 10 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 1 1 1 2
The probability premium: A graphical representation 0 0 0 14 0 0 4 155
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 0 1 2 5
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 1 6 9 117
Worst VaR scenarios: A remark 0 1 2 13 1 2 5 92
Worst case risk measurement: Back to the future? 0 0 0 12 0 1 3 74
Total Journal Articles 2 11 30 879 52 147 261 3,392
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