Roger J. A. Laeven

University of Amsterdam - Department of Quantitative Economics (KE)

Valckenierstraat 65-67

Amsterdam, 1018 XE

Netherlands

http://www.rogerlaeven.com

SCHOLARLY PAPERS

29

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32

CROSSREF CITATIONS

48

Scholarly Papers (29)

1.

Optimal Capital Structure for Insurance Companies

Netspar Discussion Paper No. 11/2010-073
Number of pages: 38 Posted: 24 Dec 2010
Roger J. A. Laeven and Enrico C. Perotti
University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Finance Group
Downloads 668 (41,737)
Citation 1

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Risk Management, Insolvency Risk, Surplus Capital, Insurance Premium, External Financing, Capital Market Imperfections, Charter Value

2.

Risk Measurement with Equivalent Utility Principles

Number of pages: 26 Posted: 02 Feb 2006
Michel Denuit, Jan Dhaene, Marc Goovaerts, Rob Kaas and Roger J. A. Laeven
Catholic University of Louvain, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 384 (83,279)
Citation 2

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Risk measures, Theories for decision under uncertainty, Axiomatic characterization, Equivalent utility, Risk aversion

3.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 378 (84,856)
Citation 6

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

Number of pages: 47 Posted: 25 Nov 2014 Last Revised: 01 Dec 2017
Servaas van Bilsen, Roger J. A. Laeven and Theo Nijman
University of Amsterdam - Department of Quantitative Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Tilburg University School of Economics and Management
Downloads 203 (162,342)
Citation 2

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Loss Aversion, Endogenous Reference Level, Prospect Theory, Optimal Consumption Choice, Optimal Portfolio Choice

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

Netspar Discussion Paper No. 11/2014-048
Number of pages: 47 Posted: 19 Dec 2014 Last Revised: 01 Dec 2017
Servaas van Bilsen, Roger J. A. Laeven and Theo Nijman
University of Amsterdam - Department of Quantitative Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Tilburg University School of Economics and Management
Downloads 145 (218,296)
Citation 3

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Loss Aversion; Endogenous Reference Level; Prospect Theory; Optimal Consumption Choice; Optimal Portfolio Choice

5.

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

30th Australasian Finance and Banking Conference 2017
Number of pages: 81 Posted: 08 Jun 2017 Last Revised: 20 Oct 2017
Rob C. Sperna Weiland, Roger J. A. Laeven and Frank De Jong
University of Amsterdam Business School, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Department of Finance
Downloads 295 (111,896)
Citation 2

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Credit risk, Liquidity risk, Corporate bonds, Mutually exciting processes, Jumps, MCMC

6.

Mutual Excitation in Eurozone Sovereign CDS

SAFE Working Paper No. 51
Number of pages: 36 Posted: 19 May 2014 Last Revised: 02 Jun 2014
Yacine Ait-Sahalia, Roger J. A. Laeven and Loriana Pelizzon
Princeton University - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 283 (116,943)
Citation 5

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CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response

7.

Actuarial Risk Measures for Financial Derivative Pricing

Number of pages: 15 Posted: 05 Mar 2006
Marc Goovaerts and Roger J. A. Laeven
Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 280 (118,322)
Citation 4

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Derivative pricing, Stochastic ordering, Esscher transform, Girsanov's Theorem, Comonotonicity, Equivalent martingale measure, Feynman-Kac integration

8.

Robust Return Risk Measures

Mathematics and Financial Economics, pp. 1-28, 2017, DOI: 10.1007/s11579-017-0188-x
Number of pages: 32 Posted: 23 Aug 2016 Last Revised: 13 Jun 2017
Fabio Bellini, Roger J. A. Laeven and Emanuela Rosazza Gianin
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Amsterdam - Department of Quantitative Economics (KE) and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 181 (180,479)
Citation 1

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Orlicz premium, Shortfall risk, Robustness, Ambiguity averse preferences, Orlicz norms and spaces, Convex risk measures, Positive homogeneity

9.

Worst VAR Scenarios: A Remark

Number of pages: 9 Posted: 01 Mar 2006
Roger J. A. Laeven
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 160 (200,728)
Citation 1

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Dependent Risks, Value-at-Risk, Copulas, Worst Case Scenarios, Comonotonicity

10.

An Axiomatic Characterization of the Upper and Lower Choquet Expectation

Number of pages: 9 Posted: 10 Aug 2004
Roger J. A. Laeven
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 150 (211,919)

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Non-additive measure, choquet integral, comonotonicity, multiple priors

11.

Consumption and Portfolio Choice under Internal Multiplicative Habit Formation

Number of pages: 51 Posted: 27 Dec 2017 Last Revised: 28 Dec 2018
Servaas van Bilsen, A. Lans Bovenberg and Roger J. A. Laeven
University of Amsterdam - Department of Quantitative Economics, Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 126 (243,142)
Citation 2

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Internal Habit Formation, Epstein-Zin Utility, Pathwise Approximation Technique, Return Smoothing, Life-Cycle Investment

12.

Labor Income Risk and Stock Returns: The Role of Horizon Effects

Number of pages: 67 Posted: 07 May 2019
University of Amsterdam - Amsterdam Business School, Tilburg University - Department of Finance, University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam Business School
Downloads 110 (268,503)

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Labor and Finance, Human Capital, Horizon Effects, Cross-Section of Stock Returns, Hedging Demand

13.

Optimal Dividends and ALM Under Unhedgeable Risk

Number of pages: 25 Posted: 15 Feb 2010
Roger J. A. Laeven and Antoon Pelsser
University of Amsterdam - Department of Quantitative Economics (KE) and Maastricht University
Downloads 105 (277,372)

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Optimal dividends, ALM, Unhedgeable risk, Stochastic control

14.

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

CentER Discussion Paper Series No. 2010-122
Number of pages: 42 Posted: 05 Dec 2010
Masako Ikefuji, Roger J. A. Laeven, Chris Muris and J.R. Magnus
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 99 (288,626)
Citation 5

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Economy-climate models, Catastrophe, Expected utility, Heavy tails, Power utility

15.

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

CentER Discussion Paper Series No. 2014-041
Number of pages: 28 Posted: 03 Jul 2014 Last Revised: 04 Jul 2014
University of Amsterdam - Faculty of Economics and Business (FEB), Tilburg University - Department of Econometrics & Operations Research, Victoria University of Wellington - School of Mathematical and Computing Sciences and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 88 (311,106)

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Extreme value theory, tail dependence, goodness-of-fit testing

16.

Modeling Financial Contagion Using Mutually Exciting Jump Processes

NBER Working Paper No. w15850
Number of pages: 50 Posted: 29 Mar 2010 Last Revised: 09 Apr 2010
Yacine Ait-Sahalia, Julio Cacho-Diaz and Roger J. A. Laeven
Princeton University - Department of Economics, Princeton University - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 83 (322,444)
Citation 15

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17.

Entropy Coherent and Entropy Convex Measures of Risk

CentER Discussion Paper No. 2011-031
Number of pages: 42 Posted: 16 Mar 2011 Last Revised: 20 Apr 2011
Roger J. A. Laeven and Mitja Stadje
University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Department of Econometrics & Operations Research
Downloads 79 (332,028)
Citation 5

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Multiple priors, Variational and homothetic preferences, Robustness, Convex

18.

Weitzman Meets Nordhaus: Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model

ISER Discussion Paper No. 825
Number of pages: 36 Posted: 20 Dec 2011
Masako Ikefuji, Roger J. A. Laeven, J.R. Magnus and Chris Muris
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), Vrije Universiteit Amsterdam, School of Business and Economics and affiliation not provided to SSRN
Downloads 54 (404,893)
Citation 2

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economy-climate models, catastrophe, expected utility, heavytails, power utility

19.

Scrap Value Functions in Dynamic Decision Problems

CentER Discussion Paper Series No. 2010-77
Number of pages: 18 Posted: 30 Jul 2010
Masako Ikefuji, Roger J. A. Laeven, J.R. Magnus and Chris Muris
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), Vrije Universiteit Amsterdam, School of Business and Economics and affiliation not provided to SSRN
Downloads 51 (415,242)
Citation 2

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Scrap value function, Dynamic optimization, Computation, Short horizon

20.

Dynamic Consumption and Portfolio Choice under Prospect Theory

Number of pages: 39 Posted: 16 Jun 2019
Servaas van Bilsen and Roger J. A. Laeven
University of Amsterdam - Department of Quantitative Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 47 (429,914)

Abstract:

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Loss Aversion, Endogenous Reference Level, Optimal Consumption Choice, Optimal Portfolio Choice, Probability Weighting, Optimal Annuity Design

21.

Expected Utility and Catastrophic Risk

Tinbergen Institute Discussion Paper 14-133/III
Number of pages: 18 Posted: 07 Oct 2014
Masako Ikefuji, Roger J. A. Laeven, J.R. Magnus and Chris Muris
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), Vrije Universiteit Amsterdam, School of Business and Economics and Simon Fraser University (SFU)
Downloads 47 (429,914)
Citation 3

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Expected utility, Catastrophe, Cost-benefit analysis, Risk management, Power utility, Exponential utility, Heavy tails

22.

Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 29 Oct 2019
Z. Merrick Li, Roger J. A. Laeven and Michel Vellekoop
University of Cambridge, University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 24 (538,088)

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dependent microstructure noise, realized volatility, bias correction, integrated volatility, pre-averaging method

23.

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

CentER Discussion Paper Series No. 2017-052
Number of pages: 33 Posted: 21 Dec 2017
Sami Can, John H. J. Einmahl and Roger J. A. Laeven
University of Amsterdam - Faculty of Economics and Business (FEB), Tilburg University - Department of Econometrics & Operations Research and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 17 (582,021)

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Khmaladze transform, copula estimation, empirical process

24.

Earthquake Risk Embedded in Property Prices: Evidence from Five Japanese Cities

Tinbergen Institute Discussion Paper 2018-061/III
Number of pages: 43 Posted: 01 Aug 2018
Masako Ikefuji, Roger J. A. Laeven, J.R. Magnus and Yuan Yue
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), Vrije Universiteit Amsterdam, School of Business and Economics and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 16 (588,295)
Citation 1

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Earthquake risk, House price, Seismic excitation, Probability weighting, Hedonic pricing, Multivariate error components

25.

Asymmetric Excitation and the US Bias in Portfolio Choice

Number of pages: 68 Posted: 25 Nov 2019 Last Revised: 10 Mar 2020
Zhenzhen Fan, Roger J. A. Laeven and Rob van den Goorbergh
Nankai University - School of Finance, University of Amsterdam - Department of Quantitative Economics (KE) and APG Asset Management
Downloads 13 (608,213)

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Portfolio choice; US bias; International diversification; Asymmetric excitation; Mutually exciting jumps

26.

Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

Number of pages: 32 Posted: 29 Oct 2019
Z. Merrick Li, Michel Vellekoop and Roger J. A. Laeven
University of Cambridge, University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 7 (649,743)

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27.

Burr Utility

CentER Discussion Paper Series No. 2010-81
Posted: 08 Aug 2010
Masako Ikefuji, Roger J. A. Laeven, J.R. Magnus and Chris Muris
University of Tsukuba, University of Amsterdam - Department of Quantitative Economics (KE), Vrije Universiteit Amsterdam, School of Business and Economics and affiliation not provided to SSRN

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Cardinal scale, Utility function, Harmonic absolute risk aversion

28.

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

Scandinavian Actuarial Journal, Vol. 6, pp. 446-461, 2005
Posted: 18 Dec 2005
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven, Qihe Tang and Raluca Vernic
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Ovidius University of Constanta

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Asymptotics, (Log) elliptical distribution, (Log) normal variance-mean mixed distribution, Pareto-like distribution, Tail probability

A Comonotonic Image of Independence for Additive Risk Measures

Insurance: Mathematics and Economics, Vol. 35, No. 3, pp. 581-594, 2005
Posted: 27 Jan 2005
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven and Qihe Tang
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity

A Comonotonic Image of Independence for Additive Risk Measures

Tinbergen Institute Discussion Paper No. 2004-030/4
Posted: 22 Mar 2004
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven and Qihe Tang
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity