Laeven, Roger: search on Z-Library

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1

Entropy Coherent and Entropy Convex Measures of Risk

Laeven, Roger J. A., Stadje, Mitja

Journal:

Mathematics of Operations Research

Year:

2013

Language:

english

File:

PDF, 406 KB

english, 2013

2

Worst case risk measurement: Back to the future?

Marc J. Goovaerts, Rob Kaas, Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 350 KB

english, 2011

3

Actuarial risk measures for financial derivative pricing

Marc J. Goovaerts, Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 343 KB

english, 2008

4

Decision principles derived from risk measures

Marc J. Goovaerts, Rob Kaas, Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 286 KB

english, 2010

5

Consumption and Portfolio Choice under Internal Multiplicative Habit Formation

van Bilsen, Servaas, Bovenberg, A. Lans, Laeven, Roger J. A.

Journal:

Journal of Financial and Quantitative Analysis

Year:

2019

Language:

english

File:

PDF, 1.13 MB

english, 2019

6

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Goovaerts, Marc J., Kaas, Rob, Laeven, Roger J.A., Tang, Qihe, Vernic, Raluca

Journal:

Scandinavian Actuarial Journal

Year:

2005

Language:

english

File:

PDF, 188 KB

english, 2005

7

Optimal Capital Structure for Insurance Companies

Laeven, Roger J. A., Perotti, Enrico C.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 444 KB

english, 2010

8

Dynamic consumption and portfolio choice under prospect theory

van Bilsen, Servaas, Laeven, Roger J.A.

Journal:

Insurance: Mathematics and Economics

Year:

2020

File:

PDF, 1.10 MB

2020

9

In memoriam Marc Goovaerts

Kaas, Rob, Laeven, Roger, Lin, Sheldon, Tang, Qihe, Willmot, Gordon, Yang, Hailiang

Journal:

Insurance: Mathematics and Economics

Year:

2018

Language:

english

File:

PDF, 166 KB

english, 2018

10

Worst VaR scenarios with given marginals and measures of association

Rob Kaas, Roger J.A. Laeven, Roger B. Nelsen

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 10.32 MB

english, 2009

11

Optimal Stopping Under Uncertainty in Drift and Jump Intensity

Krätschmer, Volker, Ladkau, Marcel, Laeven, Roger J. A., Schoenmakers, John G. M., Stadje, Mitja

Journal:

Mathematics of Operations Research

Year:

2018

Language:

english

File:

PDF, 1.07 MB

english, 2018

12

A comonotonic image of independence for additive risk measures

Marc J. Goovaerts, Rob Kaas, Roger J.A. Laeven, Qihe Tang

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 150 KB

english, 2004

13

Managing Economic and Virtual Economic Capital Within Financial Conglomerates

Goovaerts, Marc J., Van den Borre, Eddy, Laeven, Roger J. A.

Journal:

North American Actuarial Journal

Year:

2005

Language:

english

File:

PDF, 288 KB

english, 2005

14

Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level

van Bilsen, Servaas, Laeven, Roger J. A., Nijman, Theo E.

Journal:

Management Science

Year:

2020

File:

PDF, 2.61 MB

2020

15

Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model

Ikefuji, Masako, Laeven, Roger J. A., Muris, Chris, Magnus, J.R.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 425 KB

english, 2010

16

Estimation of the Continuous and Discontinuous Leverage Effects

Aït-Sahalia, Yacine, Fan, Jianqing, Laeven, Roger J. A., Wang, Christina Dan, Yang, Xiye

Journal:

Journal of the American Statistical Association

Year:

2016

Language:

english

File:

PDF, 400 KB

english, 2016

17

In memoriam Marc Goovaerts

Kaas, Rob, Laeven, Roger, Lin, Sheldon, Tang, Qihe, Willmot, Gordon, Yang, Hailiang

Journal:

Insurance: Mathematics and Economics

Year:

2018

Language:

english

File:

PDF, 200 KB

english, 2018

18

A note on additive risk measures in rank-dependent utility

Marc J. Goovaerts, Rob Kaas, Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 247 KB

english, 2010

19

Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market

Sperna Weiland, Rob C., Laeven, Roger J. A., De Jong, Frank

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.21 MB

english, 2017

20

How to Invest and Spend Wealth in Retirement? A Utility-Based Analysis

van Bilsen, Servaas, Bovenberg, A. Lans, Laeven, Roger J. A.

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 1.27 MB

english, 2018

21

Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas

Can, Sami Umut, Einmahl, John H. J., Laeven, Roger J. A.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 836 KB

english, 2017

22

Optimal dividends and ALM under unhedgeable risk

Pelsser, Antoon A.J., Laeven, Roger J.A.

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 500 KB

english, 2013

23

Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures

Bellini, Fabio, Laeven, Roger J.A., Rosazza Gianin, Emanuela

Journal:

European Journal of Operational Research

Year:

2019

Language:

english

File:

PDF, 511 KB

english, 2019

24

Asymptotically distribution-free goodness-of-fit testing for tail copulas

Can, Sami Umut, Einmahl, John H. J., Khmaladze, Estate V., Laeven, Roger J. A.

Journal:

The Annals of Statistics

Year:

2015

Language:

english

File:

PDF, 493 KB

english, 2015

25

Entropy Coherent and Entropy Convex Measures of Risk

Laeven, Roger J. A., Stadje, Mitja

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 423 KB

english, 2011

26

Expected utility and catastrophic consumption risk

Ikefuji, Masako, Laeven, Roger J.A., Magnus, Jan R., Muris, Chris

Journal:

Insurance: Mathematics and Economics

Year:

2015

Language:

english

File:

PDF, 422 KB

english, 2015

27

Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas

Can, Sami Umut, Einmahl, John H. J., Khmaladze, Estate V., Laeven, Roger J. A.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 614 KB

english, 2014

28

Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market

Sperna Weiland, Rob C., Laeven, Roger J. A., De Jong, Frank

Journal:

SSRN Electronic Journal

Year:

2017

File:

PDF, 1.21 MB

2017

29

Modeling financial contagion using mutually exciting jump processes

Aït-Sahalia, Yacine, Cacho-Diaz, Julio, Laeven, Roger J.A.

Journal:

Journal of Financial Economics

Year:

2015

Language:

english

File:

PDF, 1.79 MB

english, 2015

30

Testing for self-excitation in jumps

Boswijk, H. Peter, Laeven, Roger J.A., Yang, Xiye

Journal:

Journal of Econometrics

Year:

2018

Language:

english

File:

PDF, 622 KB

english, 2018

31

The probability premium: A graphical representation

Eeckhoudt, Louis R., Laeven, Roger J.A.

Journal:

Economics Letters

Year:

2015

Language:

english

File:

PDF, 368 KB

english, 2015

32

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Goovaerts, Marc, Kaas, Rob, Laeven, Roger J. A., Tang, Qihe, Vernic, Raluca

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 182 KB

english, 2004

33

Estimation of the Continuous and Discontinuous Leverage Effects

Ait-Sahalia, Yacine, Fan, Jianqing, Laeven, Roger J. A., Wang, Christina Dan, Yang, Xiye

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 754 KB

english, 2014

34

Dependent microstructure noise and integrated volatility estimation from high-frequency data

Li, Z. Merrick, Laeven, Roger J.A., Vellekoop, Michel H.

Journal:

Journal of Econometrics

Year:

2019

Language:

english

File:

PDF, 917 KB

english, 2019

35

Robust Portfolio Choice and Indifference Valuation

Laeven, Roger J. A., Stadje, Mitja

Journal:

Mathematics of Operations Research

Year:

2014

Language:

english

File:

PDF, 506 KB

english, 2014

36

Robust optimal risk sharing and risk premia in expanding pools

Knispel, Thomas, Laeven, Roger J.A., Svindland, Gregor

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 597 KB

english, 2016

37

Robust Return Risk Measures

Bellini, Fabio, Laeven, Roger J. A., Rosazza Gianin, Emanuela

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 536 KB

english, 2016

38

Some asymptotic results for sums of dependent random variables, with actuarial applications

Roger J.A. Laeven, Marc J. Goovaerts, Tom Hoedemakers

Journal:

Insurance: Mathematics and Economics

Year:

2005

Language:

english

File:

PDF, 268 KB

english, 2005

39

Risk measurement with equivalent utility principles

Denuit, Michel, Dhaene, Jan, Goovaerts, Marc, Kaas, Rob, Laeven, Roger

Journal:

Statistics & Decisions

Year:

2006

Language:

english

File:

PDF, 230 KB

english, 2006

40

Pareto utility

Masako Ikefuji, Roger J. A. Laeven, Jan R. Magnus, Chris Muris

Journal:

Theory and Decision

Year:

2013

Language:

english

File:

PDF, 311 KB

english, 2013

41

An optimization approach to the dynamic allocation of economic capital

Roger J.A. Laeven, Marc J. Goovaerts

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 412 KB

english, 2004

42

Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance

Christian Genest, Hans U. Gerber, Marc J. Goovaerts, Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 509 KB

english, 2009

43

Mutual Excitation in Eurozone Sovereign CDS

Ait-Sahalia, Yacine, Laeven, Roger J. A., Pelizzon, Loriana

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 2.05 MB

english, 2014

44

Scrap Value Functions in Dynamic Decision Problems

Ikefuji, Masako, Laeven, Roger J. A., Magnus, J.R., Muris, Chris

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 338 KB

english, 2010

45

Worst VaR scenarios: A remark

Roger J.A. Laeven

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 896 KB

english, 2009

46

IME’s Editorial Board

Kaas, Rob, Laeven, Roger, Lin, Sheldon, Tang, Qihe, Willmot, Gordon, Yang, Hailiang

Journal:

Insurance: Mathematics and Economics

Year:

2017

Language:

english

File:

PDF, 258 KB

english, 2017

47

Optimal Dividends and ALM Under Unhedgeable Risk

Laeven, Roger J. A., Pelsser, Antoon A. J.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 405 KB

english, 2010

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