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Laeven, Roger J. A.'s
Scholarly Papers
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Total
Downloads
1,363 |
Total
Citations
29 |
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1.
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Denuit, Michel
Catholic University of Louvain Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Kaas, Rob
University of Amsterdam - Faculty of Economics & Econometrics (FEE) Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER
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330
(43,146)
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11
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Risk measures, Theories for decision under uncertainty, Axiomatic characterization, Equivalent utility, Risk aversion
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2.
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Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER
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248
(59,812)
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5
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Derivative pricing, Stochastic ordering, Esscher transform, Girsanov's Theorem, Comonotonicity, Equivalent martingale measure, Feynman-Kac integration
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3.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Perotti, Enrico C.
University of Amsterdam - Finance Group
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226
(66,056)
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Risk Management, Insolvency Risk, Surplus Capital, Insurance Premium, External Financing, Capital Market Imperfections, Charter Value
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4.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER
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145
(101,017)
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Non-additive measure, choquet integral, comonotonicity, multiple priors
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5.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER
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135
(107,343)
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1
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Dependent Risks, Value-at-Risk, Copulas, Worst Case Scenarios, Comonotonicity
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6.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Pelsser, Antoon
Maastricht University
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75
(162,856)
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Optimal dividends, ALM, Unhedgeable risk, Stochastic control
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7.
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Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Stadje, Mitja
Tilburg University - Department of Econometrics & Operations Research
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16 Mar 11
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Last Revised:
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20 Apr 11
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53
(195,455)
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Multiple priors, Variational and homothetic preferences, Robustness, Convex
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8.
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Ikefuji, Masako
University of Southern Denmark-Department of Environmental and Business Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Muris, Chris
affiliation not provided to SSRN Magnus, J.R.
Tilburg University, CentER
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52
(197,216)
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Economy-climate models, Catastrophe, Expected utility, Heavy tails, Power utility
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9.
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Ait-Sahalia, Yacine
Princeton University - Department of Economics Cacho-Diaz, Julio
Princeton University - Department of Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER
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40
(220,071)
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12
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10.
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Ikefuji, Masako
University of Southern Denmark-Department of Environmental and Business Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Magnus, J.R.
Tilburg University, CentER Muris, Chris
affiliation not provided to SSRN
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32
(238,293)
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economy-climate models, catastrophe, expected utility, heavytails, power utility
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11.
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Ikefuji, Masako
University of Southern Denmark-Department of Environmental and Business Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Magnus, J.R.
Tilburg University, CentER Muris, Chris
affiliation not provided to SSRN
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27
(252,167)
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Scrap value function, Dynamic optimization, Computation, Short horizon
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12.
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Ikefuji, Masako
University of Southern Denmark-Department of Environmental and Business Economics Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Magnus, J.R.
Tilburg University, CentER Muris, Chris
affiliation not provided to SSRN
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Cardinal scale, Utility function, Harmonic absolute risk aversion
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13.
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Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Kaas, Rob
University of Amsterdam - Faculty of Economics & Econometrics (FEE) Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Tang, Qihe
University of Amsterdam - Amsterdam School of Economics (ASE) Vernic, Raluca
Ovidius University of Constanta
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Asymptotics, (Log) elliptical distribution, (Log) normal variance-mean mixed distribution, Pareto-like distribution, Tail probability
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14.
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A Comonotonic Image of Independence for Additive Risk Measures
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Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Kaas, Rob
University of Amsterdam - Faculty of Economics & Econometrics (FEE) Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Tang, Qihe
University of Amsterdam - Amsterdam School of Economics (ASE)
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Posted:
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22 Mar 04
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Last Revised:
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04 Mar 06
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Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Kaas, Rob
University of Amsterdam - Faculty of Economics & Econometrics (FEE) Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Tang, Qihe
University of Amsterdam - Amsterdam School of Economics (ASE)
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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity
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Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Kaas, Rob
University of Amsterdam - Faculty of Economics & Econometrics (FEE) Laeven, Roger J. A.
Tilburg University - Department of Econometrics and Operations Research, and CentER Tang, Qihe
University of Amsterdam - Amsterdam School of Economics (ASE)
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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity
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Records 1 -
14
of 14 matches
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