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 0 12 530
A Rank-Dependent Theory for Decision under Risk and Ambiguity 0 0 0 13 0 0 6 21
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures 0 0 0 4 0 1 4 16
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 16 0 1 7 39
Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas 0 0 0 1 0 0 11 18
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 35 0 1 7 45
Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas 0 0 0 0 0 0 2 3
Burr Utility 0 0 0 5 1 1 6 34
Burr Utility 0 0 0 0 0 0 6 11
Characteristic Function-Based Factor Modeling of Affine Jump-Diffusions using Options 3 5 5 5 2 5 5 5
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty 0 0 0 3 1 1 13 17
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data 0 0 0 40 0 0 22 65
Dual Moments and Risk Attitudes 0 0 0 32 2 2 10 57
Dynamic Return and Star-Shaped Risk Measures via BSDEs 0 0 1 2 2 3 15 28
Earthquake risk embedded in property prices: Evidence from five Japanese cities 0 0 1 24 5 6 17 93
Elicitability of Return Risk Measures 0 0 0 8 0 1 8 31
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 12 0 0 16 53
Entropy Coherent and Entropy Convex Measures of Risk 0 0 0 1 1 1 10 13
Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation 0 0 1 3 0 1 42 56
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation 0 0 0 26 2 2 30 58
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes 0 0 0 4 1 1 12 27
Expected Utility and Catastrophic Risk 0 0 1 42 1 3 17 113
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 0 1 1 7 20
Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model 0 0 0 13 1 2 18 89
Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures 0 0 0 0 2 2 2 2
Generalized Orlicz premia 0 0 0 1 1 1 7 8
Geometric BSDEs 0 0 0 0 1 2 12 21
Goodness-of-fit testing for copulas: A distribution-free approach 0 0 0 15 0 0 9 35
Higher-Order Ambiguity Attitudes 0 0 3 10 1 9 36 52
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 1 1 16 22
Higher-Order Risk Attitudes for Non-Expected Utility 0 0 0 5 1 1 14 25
Law-Invariant Return and Star-Shaped Risk Measures 0 0 0 1 1 1 10 17
Liquidity premium in Solvency II 0 0 0 6 0 1 4 35
Localizing Strictly Proper Scoring Rules 0 0 1 9 1 1 14 29
Measuring Financial Resilience Using Backward Stochastic Differential Equations 0 0 0 1 1 1 11 14
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 3 151 3 10 40 542
Mutual excitation in eurozone sovereign CDS 0 0 0 58 2 2 13 202
On Geometrically Convex Risk Measures 0 0 0 7 1 1 12 27
Probability Premium and Attitude Towards Probability 0 0 1 15 0 0 9 37
Quasi-Logconvex Measures of Risk 0 0 0 13 0 0 7 20
Risk Apportionment: The Dual Story 0 0 0 23 0 1 11 51
Risk Aversion in the Small and in the Large under Rank-Dependent Utility 0 0 0 32 1 1 13 72
Robust Multiple Stopping -- A Pathwise Duality Approach 0 0 0 8 1 2 8 38
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools 0 0 0 20 0 1 12 33
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities 0 0 0 5 1 1 16 21
Robust multiple stopping — A duality approach 0 0 0 1 0 0 7 10
Scrap Value Functions in Dynamic Decision Problems 0 0 0 7 0 1 6 78
Scrap Value Functions in Dynamic Decision Problems 0 0 0 0 0 0 14 20
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices 0 0 6 10 2 3 30 32
Systemic Risk: Conditional Distortion Risk Measures 0 0 0 18 1 1 8 73
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 7 0 0 8 12
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 5 0 1 7 13
Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model 0 0 0 53 0 1 22 144
Total Working Papers 3 6 23 939 42 79 681 3,127

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 0 4 112
A note on additive risk measures in rank-dependent utility 0 0 0 8 1 1 2 46
A note on weighted premium calculation principles 0 0 0 20 0 0 10 121
Actuarial risk measures for financial derivative pricing 0 0 1 52 1 1 12 191
An optimization approach to the dynamic allocation of economic capital 0 0 0 111 0 2 5 258
Can a Coherent Risk Measure Be Too Subadditive? 0 0 0 33 1 1 11 196
Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level 0 0 0 16 0 1 18 84
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation 0 0 1 8 0 0 10 32
Decision principles derived from risk measures 0 0 0 19 0 1 10 106
Dependent microstructure noise and integrated volatility estimation from high-frequency data 0 0 1 9 0 0 36 70
Dual Moments and Risk Attitudes 0 0 1 1 0 0 15 20
Dynamic consumption and portfolio choice under prospect theory 0 0 1 8 1 4 29 82
Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures 0 0 0 4 0 2 10 24
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities 0 1 1 3 1 3 11 24
Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance 0 0 0 54 2 2 12 122
Estimating option pricing models using a characteristic function-based linear state space representation 0 0 0 0 2 3 25 27
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 4 15 53
Expected utility and catastrophic consumption risk 0 0 0 10 0 0 7 66
Expected utility and catastrophic risk in a stochastic economy–climate model 0 0 1 12 2 2 14 113
IME’s editorial board, IME’s editorial office and the IME award 2025 0 0 0 0 1 1 1 1
Law-invariant return and star-shaped risk measures 0 0 0 0 0 0 8 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 9 170 4 13 55 607
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 1 1 15 161
Optimal Stopping Under Uncertainty in Drift and Jump Intensity 0 0 0 5 0 2 11 29
Optimal dividends and ALM under unhedgeable risk 0 0 0 8 0 0 16 63
Pareto utility 0 0 0 17 6 7 19 119
Risk apportionment: The dual story 0 0 1 5 1 3 17 51
Risk measurement with equivalent utility principles 0 0 1 2 0 1 6 16
Robust Multiple Stopping—A Duality Approach 0 0 1 1 0 0 7 11
Robust optimal risk sharing and risk premia in expanding pools 0 0 0 2 0 0 16 41
Some asymptotic results for sums of dependent random variables, with actuarial applications 0 0 1 120 0 0 5 256
Star-shaped and dynamic return risk measures via BSDEs 0 1 1 1 0 3 3 3
Systemic risk: Conditional distortion risk measures 0 1 2 5 2 5 20 47
Testing for self-excitation in jumps 0 1 1 26 0 2 12 98
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance 0 0 0 0 0 0 5 6
The probability premium: A graphical representation 0 0 0 14 0 1 7 161
Two-Sample Testing for Tail Copulas with an Application to Equity Indices 0 0 0 1 0 1 6 10
Worst VaR scenarios with given marginals and measures of association 0 0 0 41 0 1 14 125
Worst VaR scenarios: A remark 0 0 1 13 0 0 5 95
Worst case risk measurement: Back to the future? 0 0 0 12 0 0 5 78
Total Journal Articles 0 6 26 891 26 68 515 3,754
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