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 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 16 0 2 6 38
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 0 4 12 18
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 0 6 44
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 0 0 2 3
Burr Utility 0 0 0 5 0 1 5 33
Burr Utility 0 0 0 0 0 2 6 11
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 0 3 0 3 12 16
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 1 7 24 65
Dual Moments and Risk Attitudes 0 0 0 32 0 1 8 55
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 1 1 2 3 5 13 25
Earthquake risk embedded in property prices: Evidence from five Japanese cities 1 1 1 24 5 6 13 87
Elicitability of Return Risk Measures 0 0 0 8 0 4 8 30
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 0 3 9 12
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 3 8 17 53
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 2 3 0 9 45 55
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 1 4 28 56
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 0 1 11 26
Expected Utility and Catastrophic Risk 0 0 1 42 1 5 16 110
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 0 1 9 19
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 13 0 6 16 87
Generalized Orlicz premia 0 0 1 1 0 0 7 7
Geometric BSDEs 0 0 0 0 0 2 12 19
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 2 5 9 35
Higher-Order Ambiguity Attitudes 0 0 5 10 1 6 33 43
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 1 5 0 2 15 24
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 0 4 17 21
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 0 4 9 16
Liquidity premium in Solvency II 0 0 0 6 0 1 3 34
Localizing Strictly Proper Scoring Rules 0 0 1 9 0 6 13 28
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 1 1 0 5 13 13
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 2 150 1 8 32 532
Mutual excitation in eurozone sovereign CDS 0 0 0 58 1 3 12 200
On Geometrically Convex Risk Measures 0 0 0 7 3 5 11 26
Probability Premium and Attitude Towards Probability 0 0 1 15 0 1 10 37
Quasi-Logconvex Measures of Risk 0 0 0 13 0 2 10 20
Risk Apportionment: The Dual Story 0 0 0 23 1 5 11 50
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 0 5 13 71
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 0 2 6 36
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 0 6 12 32
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 0 5 0 2 15 20
Robust multiple stopping — A duality approach 0 0 0 1 1 4 8 10
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 1 9 14 20
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 0 2 6 77
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 0 4 10 10 1 9 29 29
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 7 0 4 8 12
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 3 6 12
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 1 53 0 7 22 143
Total Working Papers 1 6 29 933 26 191 652 3,048

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 4 112
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 0 3 11 121
Actuarial risk measures for financial derivative pricing 0 0 1 52 0 5 11 190
An optimization approach to the dynamic allocation of economic capital 0 0 1 111 0 2 5 256
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 0 4 10 195
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 2 16 0 3 21 83
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 0 1 8 1 2 10 32
Decision principles derived from risk measures 0 0 0 19 1 6 9 105
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 2 9 0 9 39 70
Dual Moments and Risk Attitudes 0 1 1 1 0 2 15 20
Dynamic consumption and portfolio choice under prospect theory 0 1 1 8 4 9 27 78
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 1 4 1 3 10 22
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 0 0 2 2 5 9 21
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 2 5 10 120
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 1 8 22 24
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 3 13 49
Expected utility and catastrophic consumption risk 0 0 0 10 0 3 9 66
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 2 12 2 4 13 111
Law-invariant return and star-shaped risk measures 0 0 0 0 1 5 10 14
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 0 2 11 168 3 14 50 594
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 0 4 14 160
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 1 5 11 27
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 6 18 63
Pareto utility 0 0 0 17 1 5 16 112
Risk apportionment: The dual story 0 0 1 5 2 6 17 48
Risk measurement with equivalent utility principles 0 0 1 2 0 1 5 15
Robust Multiple Stopping—A Duality Approach 1 1 1 1 3 3 11 11
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 0 5 16 41
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 1 120 0 1 6 256
Systemic risk: Conditional distortion risk measures 0 0 1 4 4 9 17 42
Testing for self-excitation in jumps 0 0 0 25 1 2 12 96
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 0 0 0 0 1 4 5 6
The probability premium: A graphical representation 0 0 0 14 1 5 6 160
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 0 2 5 9
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 0 1 14 124
Worst VaR scenarios: A remark 0 0 1 13 0 1 7 95
Worst case risk measurement: Back to the future? 0 0 0 12 0 2 5 78
Total Journal Articles 1 5 30 885 33 159 500 3,686
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