Roger J. A. Laeven

Available identifiers

zbMath Open laeven.roger-j-aMaRDI QIDQ365781

List of research outcomes

Publication	Date of Publication	Type
Two-Sample Testing for Tail Copulas with an Application to Equity Indices	2024-03-06	Paper
Optimal Stopping with Randomly Arriving Opportunities to Stop	2023-11-18	Paper
Law-Invariant Return and Star-Shaped Risk Measures	2023-10-30	Paper
Dynamic Return and Star-Shaped Risk Measures via BSDEs	2023-07-07	Paper
Delayed Hawkes birth-death processes	2023-06-22	Paper
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities	2023-03-09	Paper
Elicitability of Return Risk Measures	2023-02-25	Paper
Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation	2022-11-30	Paper
Dual Moments and Risk Attitudes	2022-08-05	Paper
Quasi-Logconvex Measures of Risk	2022-07-25	Paper
Systemic risk: conditional distortion risk measures	2022-03-10	Paper
Large deviations asymptotics for unbounded additive functionals of diffusion processes	2022-02-22	Paper
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures	2021-07-04	Paper
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures	2021-06-07	Paper
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes	2021-06-07	Paper
Goodness-of-fit testing for copulas: a distribution-free approach	2020-10-07	Paper
Robust Multiple Stopping -- A Pathwise Duality Approach	2020-06-02	Paper
Dependent microstructure noise and integrated volatility estimation from high-frequency data	2020-05-21	Paper
Dynamic consumption and portfolio choice under prospect theory	2020-03-20	Paper
Optimal Stopping Under Uncertainty in Drift and Jump Intensity	2020-03-12	Paper
Risk apportionment: the dual story	2020-01-20	Paper
Expected utility and catastrophic risk in a stochastic economy-climate model	2019-12-19	Paper
The probability premium: a graphical representation	2018-08-31	Paper
Testing for self-excitation in jumps	2018-03-22	Paper
Robust return risk measures	2018-03-01	Paper
Robust optimal risk sharing and risk premia in expanding pools	2016-12-13	Paper
Risk Aversion in the Small and in the Large under Rank-Dependent Utility	2015-12-25	Paper
Expected utility and catastrophic consumption risk	2015-09-14	Paper
Asymptotically distribution-free goodness-of-fit testing for tail copulas	2015-05-11	Paper
Robust Portfolio Choice and Indifference Valuation	2015-04-24	Paper
Mutual excitation in Eurozone sovereign CDS	2014-11-24	Paper
Entropy Coherent and Entropy Convex Measures of Risk	2014-07-11	Paper
Optimal dividends and ALM under unhedgeable risk	2014-06-23	Paper
A note on weighted premium calculation principles	2014-04-14	Paper
Pareto utility	2013-09-09	Paper
https://portal.mardi4nfdi.de/entity/Q2895138	2012-07-02	Paper
A note on additive risk measures in rank-dependent utility	2012-02-10	Paper
Decision principles derived from risk measures	2012-02-10	Paper
Worst case risk measurement: back to the future?	2011-12-21	Paper
Worst VaR scenarios with given marginals and measures of association	2009-05-12	Paper
Worst VaR scenarios: A remark	2009-05-12	Paper
Actuarial risk measures for financial derivative pricing	2009-01-28	Paper
Managing Economic and Virtual Economic Capital Within Financial Conglomerates	2008-08-12	Paper
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance	2007-12-16	Paper
Risk measurement with equivalent utility principles	2007-01-30	Paper
Some asymptotic results for sums of dependent random variables, with actuarial applications	2006-01-10	Paper
A comonotonic image of independence for additive risk measures	2005-08-05	Paper
An optimization approach to the dynamic allocation of economic capital	2005-01-13	Paper

Research outcomes over time

Doctoral students

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