Eeckhoudt, L. and Laeven, R. (2022). Dual moments and risk attitudes Operations Research, 70(3):1330--1341.
Roger Laeven
University
University of Amsterdam
E-mail
Research field
Accounting and Finance
Interests
Econometrics
Website
Biography
Prof. dr. Roger J. A. Laeven (1979) has been Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam, since 2011. He is the Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM). He serves as Editor of Insurance: Mathematics and Economics. He has been a part-time Professor in Quantitative Risk Management at KU Leuven since 2016. Roger holds an MSc (Fields: Actuarial Science and Econometrics, With highest honors) and a PhD (Fields: Actuarial Science and Econometrics, With highest honors), both from the University of Amsterdam. In 2004, he was a visiting research fellow at the London School of Economics, Department of Statistics, and from 2007-date he is a visiting research fellow at Princeton University, Bendheim Center for Finance. From 2001-2005, he was a part-time consultant for Mercer Oliver Wyman, and from 2007-2011, he was a tenured Associate Professor at Tilburg University.
Key publications
van Bilsen, S., Laeven, R. and Nijman, T. (2020). Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level Management Science, 66(9):3927–3955.
Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R. (2015). Modeling financial contagion using mutually exciting jump processes Journal of Financial Economics, 117(3):585--606.
Can, S., Einmahl, J., Khmaladze, E. and Laeven, R. (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas The Annals of Statistics, 43(2):878--902.
Publications
Can, S., Laeven, R. and Einmahl, JohnH.J. (2024). Two-Sample Testing for Tail Copulas with an Application to Equity Indices Journal of Business and Economic Statistics, 42(1):.
Boswijk, H.Peter, Laeven, RogerJ.A. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):.
Laeven, R., Schoenmakers, J., Schweizer, N. and Stadje, M. (2023). Robust multiple stopping --- A duality approach Mathematics of Operations Research, :.
Eeckhoudt, L. and Laeven, R. (2022). Dual moments and risk attitudes Operations Research, 70(3):1330--1341.
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Yue, Y. (2022). Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities Journal of the American Statistical Association, 117(537):82--93.
Bellini, F., Laeven, R. and Rosazza Gianin, E. (2021). Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures European Journal of Operational Research, 291(2):438--446.
Li, Z., Laeven, R. and Vellekoop, M. (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data Journal of Econometrics, 215(2):536--558.
van Bilsen, S., Bovenberg, A. and Laeven, R. (2020). Consumption and Portfolio Choice under Internal Multiplicative Habit Formation Journal of Financial and Quantitative Analysis, 55(7):2334 -- 2371.
van Bilsen, S., Laeven, R. and Nijman, T. (2020). Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level Management Science, 66(9):3927–3955.
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Muris, C. (2020). Expected utility and catastrophic risk in a stochastic economy–climate model Journal of Econometrics, 214(1):110--129.
Eeckhoudt, L., Laeven, R. and Schlesinger, H. (2020). Risk apportionment: The dual story Journal of Economic Theory, 185:.
Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
Krätschmer, V., Ladkau, M., Laeven, R., Schoenmakers, J. and Stadje, M. (2018). Optimal stopping under uncertainty in drift and jump intensity Mathematics of Operations Research, 43(4):1177--1209.
Aït-Sahalia, Y., Fan, J., Laeven, R., Wang, C. and Yang, X. (2017). Estimation of the Continuous and Discontinuous Leverage Effects Journal of the American Statistical Association, 112(520):1744--1758.
Eeckhoudt, L. and Laeven, R. (2015). The probability premium: a graphical representation Economics Letters, 136:39--41.
Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R. (2015). Modeling financial contagion using mutually exciting jump processes Journal of Financial Economics, 117(3):585--606.
Can, S., Einmahl, J., Khmaladze, E. and Laeven, R. (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas The Annals of Statistics, 43(2):878--902.
Aït-Sahalia, Y., Laeven, R. and Pelizzon, L. (2014). Mutual excitation in Eurozone sovereign CDS Journal of Econometrics, 183(2):151--167.
Laeven, R. and Stadje, M. (2014). Robust portfolio choice and indifference valuation Mathematics of Operations Research, 39(4):1109--1141.
Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Muris, C. (2013). Pareto utility Theory and Decision, 75(1):43--57.
Laeven, R. and Stadje, M. (2013). Entropy coherent and entropy convex measures of risk Mathematics of Operations Research, 38(2):265--293.
Dhaene, J., Laeven, R., Vanduffel, S., Darkiewicz, G. and Goovaerts, M. (2008). Can a coherent risk measure be too subadditive? The Journal of Risk and Insurance, 75(2):365--386.