[18.] Baars, Justin, Roger J. A. Laeven & Michel Mandjes (2024). Spatiotemporal Hawkes processes with a graphon-induced connectivity structure, Mimeo, University of Amsterdam and Leiden University.
[17.] Laeven, Roger J. A. & Mitja Stadje (2024). A rank-dependent theory for decision under risk and ambiguity, Mimeo, University of Amsterdam and University of Ulm.
[16.] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2024). Geometric BSDEs, Mimeo, University of Amsterdam and University of Milano Biccoca.
[15.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2023). Saddlepoint approximations for Hawkes jump-diffusion processes with an application to risk management, Mimeo, Princeton University and University of Amsterdam. [Supplementary Material]
[14.] Aygün, Mücahit, Fabio Bellini & Roger J. A. Laeven (2024). Geometrically convex return risk measures and Orlicz premia, Mimeo, University of Amsterdam and University of Milano Bicocca.
[This paper replaces and substantially expands the first part of an earlier working paper entitled "Elicitability of return risk measures". ]
[13.] de Punder, Ramon F. A., Cees G. H. Diks, Roger J. A. Laeven & Dick J. C. van Dijk (2023). Localizing strictly proper scoring rules, Mimeo, Erasmus University Rotterdam and University of Amsterdam. [Supplementary Material]
[12.] Starreveld, Justin, Guanyu Jin, Dick den Hertog & Roger J. A. Laeven (2023). ROBIST: Robust optimization by iterative scenario sampling and statistical testing, Mimeo, University of Amsterdam.
[11.] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2023). Dynamic return and star-shaped risk measures via BSDEs, Mimeo, University of Amsterdam and University of Milano Biccoca.
[10.] Boswijk, H. Peter, Roger J. A. Laeven, Andrei Lalu & Evgenii Vladimirov (2023). Jump contagion among stock market indices: Evidence from option markets, Mimeo, University of Amsterdam. [Supplementary Material]
[9.] Aygün, Mücahit, Fabio Bellini & Roger J. A. Laeven (2024). On geometrically convex risk measures, Mimeo, University of Amsterdam and University of Milano Bicocca.
[8.] Eiling, Esther, Frank C. J. M. de Jong, Roger J. A. Laeven & Rob C. Sperna Weiland (2023). Medium-run labor income risk, Mimeo, University of Amsterdam and Tilburg University.
[7.] Laeven, Roger J. A. & Emanuela Rosazza Gianin (2022). Quasi-logconvex measures of risk, Mimeo, University of Amsterdam and University of Milano Bicocca.
[6.] Karim, Raviar S., Roger J. A. Laeven & Michel Mandjes (2021). Exact and asymptotic analysis of general multivariate Hawkes processes and induced population processes, Mimeo, University of Amsterdam.
[5.] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2021). Asymptotic analysis of risk premia induced by law-invariant risk measures, Mimeo, Leibniz University Hannover and University of Amsterdam.
[4.] Sperna Weiland, Rob C., Roger J. A. Laeven & Frank C. J. M. de Jong (2017). Feedback between credit and liquidity risk in the US corporate bond market, Mimeo, University of Amsterdam and Tilburg University.
[3.] Boswijk, H. Peter, Roger J. A. Laeven & Andrei Lalu (2016). Asset returns with self-exciting jumps: Option pricing and estimation with a continuum of moments, Mimeo, University of Amsterdam. [Supplementary Material]
[2.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2021). Probability premium and attitude towards probability, Mimeo, IESEG and University of Amsterdam.
[1.] Laeven, Roger J. A. (2022). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.
Financial support from the NWO under grants No. 42511013, VENI-2006, VIDI-2009, VICI-2019/2020, the FBdF under grant 2013/14, and the VvV under grants 2012/16, 2017/21 and 2022/24 is gratefully acknowledged.
A. Edited Volumes
[A.2009.1] Genest, Christian, Hans U. Gerber, Marc J. Goovaerts & Roger J. A. Laeven (Eds.) (2009). Modeling and Measurement of Multivariate Risk in Insurance and Finance, Elsevier.
[A.2021.1] Laeven, Roger J. A., Moshe A. Milevsky, Matthias Scherer, Rudi Zagst & Xun Yu Zhou (Eds.) (2021). Behavioral Insurance: Mathematics and Economics, Elsevier. [Online Version]
[A.2022.1] Feng, Runhuan, Roger J. A. Laeven & X. Sheldon Lin (Eds.) (2022). Emerging Risks and Insurance Technology, Elsevier. [Online Version]
B. Ph.D. Thesis
[B.2005.1] Laeven, Roger J. A. (2005). Essays on Risk Measures and Stochastic Dependence, with Applications to Insurance and Finance, Tinbergen Institute Research Series 360.
[Awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences for the best PhD thesis in Actuarial Science and/or Econometrics in the period 2002-2007.]
C. Journal Articles
Ordered by year, most recent first.
C.2024
[C.2024.6] Boswijk, H. Peter, Roger J. A. Laeven & Evgenii Vladimirov (2024). Estimating option pricing models using a characteristic function-based linear state space representation, Journal of Econometrics, forthcoming. [Online Version] [Supplementary Material] [GitHub]
[C.2024.5] Karim, Raviar S., Roger J. A. Laeven & Michel Mandjes (2024). Compound multivariate Hawkes processes: Large deviations and rare event simulation, Bernoulli, forthcoming. [Supplementary Material]
[C.2024.4] Bazhba, Mihail, Jose Blanchet, Roger J. A. Laeven & Bert Zwart (2024). Large deviations asymptotics for unbounded additive functionals of diffusion processes, Annales de l'Institut Henri Poincaré, forthcoming.
[C.2024.3] Laeven, Roger J. A., John G. M. Schoenmakers, Nikolaus F. F. Schweizer & Mitja Stadje (2024). Robust multiple stopping --- A duality approach, Mathematics of Operations Research, forthcoming. [Online Version] [Supplementary Material]
[C.2024.2] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2024). Law-invariant return and star-shaped risk measures, Insurance: Mathematics and Economics, 117, 140-153. [Online Version]
[C.2024.1] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2024). Two-sample testing for tail copulas with an application to equity indices, Journal of Business & Economic Statistics, 42 (1), 147-159. [Online Version] [Supplementary Material]
C.2022
[C.2022.4] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2022). Jishin risk ga Nihon-no Fudoosan Kakaku-ni ataeru eikyo (The impact of earthquake risk on property prices in Japan), Kikan Jutaku Tochi Keizai (The Quarterly Journal of Housing and Land Economics), 124 (Spring), 28-33.
[This is the Japanese translation of (a shortened version of) our 2022 paper published in the Journal of the American Statistical Association.]
[C.2022.3] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2022). Earthquake risk embedded in property prices: Evidence from five Japanese cities, Journal of the American Statistical Association, 117 (537), 82-93. [Online Version] [Supplementary Material] [Data Documentation] [GitHub]
[C.2022.2] Dhaene, Jan, Roger J. A. Laeven & Yiying Zhang (2022). Systemic risk: Conditional distortion risk measures, Insurance: Mathematics and Economics, 102, 126-145. [Online Version] [Supplementary Material]
[This paper introduces and analyzes 'Conditional distortion risk measures'.]
[C.2022.1] Eeckhoudt, Louis R. & Roger J. A. Laeven (2022). Dual moments and risk attitudes, Operations Research, 70 (3), 1330-1341. [Online Version] [Supplementary Material]
[This paper develops a local index of risk aversion under RDU and shows that the 'maxiance' stands on equal footing with the variance.]
C.2021
[C.2021.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2021). Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, European Journal of Operational Research, 291 (2), 438-446. [Online Version]
[This paper introduces and explores 'Dynamic return risk measures'.]
[C.2021.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2021). DICE simplified, Environmental Modeling and Assessment, 26, 1-12. [Online Version] [GitHub]
[This paper proposes a more parsimonious version of Nordhaus' DICE model.]
C.2020
[C.2020.7] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2020). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level, Management Science, 66, 3927-3955. [Online Version]
[Awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.]
[C.2020.6] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2020). Goodness-of-fit testing for copulas: A distribution-free approach, Bernoulli, 26, 3163-3190. [Online Version] [Supplementary Material]
[This paper introduces a procedure to obtain distribution-free copula GoF tests.]
[C.2020.5] Bilsen, Servaas van & Roger J. A. Laeven (2020). Dynamic consumption and portfolio choice under prospect theory, Insurance: Mathematics and Economics, 91, 224-237. [Online Version]
[C.2020.4] Bilsen, Servaas van, A. Lans Bovenberg & Roger J. A. Laeven (2020). Consumption and portfolio choice under internal multiplicative habit formation, Journal of Financial and Quantitative Analysis, 55, 2334-2371. [Online Version]
[C.2020.3] Li, Z. Merrick, Roger J. A. Laeven & Michel H. Vellekoop (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data, Journal of Econometrics, 215, 536-558. [Online Version] [Supplementary Material]
[C.2020.2] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2020). Risk apportionment: The dual story, Journal of Economic Theory, 185, 104971. [Online Version] [Extended Online Version]
[This paper introduces 'squeezing' and characterizes 'dual prudence' and 'dual temperance'.]
[C.2020.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2020). Expected utility and catastrophic risk in a stochastic economy-climate model, Journal of Econometrics, 214, 110-129. [Online Version].
C.2018
[C.2018.5] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: In Memoriam Marc Goovaerts, Insurance: Mathematics and Economics, 80, A1.
[C.2018.4.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2018). Testing for self-excitation in jumps, Journal of Econometrics, 203, 256-266. [Online Version] [Supplementary Material]
[C.2018.3] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: IME's Editorial Board, Insurance: Mathematics and Economics, 78, A1-A3.
[C.2018.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2018). Robust return risk measures, Mathematics and Financial Economics, 12, 5-32. [Online Version] [Illustration]
[This paper introduces and characterizes the class of 'Return risk measures'.]
[C.2018.1] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2018). Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, 43, 1177-1209. [Online Version]
C.2017
[C.2017.1] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2017). Estimation of the continuous and discontinuous leverage effects, Journal of the American Statistical Association, 112, 1744-1758. [Online Version] [Supplementary Material]
C.2016
[C.2016.1] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2016). Robust optimal risk sharing and risk premia in expanding pools, Insurance: Mathematics and Economics 70, 182-195.
C.2015
[C.2015.4] Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J. A. Laeven (2015). Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics 117, 585-606. [Online Version]
[This paper introduces 'Hawkes jump-diffusions' and the 'ACL Contagion Model'.]
[C.2015.3] Eeckhoudt, Louis & Roger J. A. Laeven (2015). The probability premium: A graphical representation, Economics Letters 136, 39-41. [Online Version]
[C.2015.2] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2015). Expected utility and catastrophic consumption risk, Insurance: Mathematics and Economics 64, 306-312.
[C.2015.1] Can, S. Umut, John H. J. Einmahl, Estate V. Khmaladze & Roger J. A. Laeven (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas, Annals of Statistics 43, 878-902. [Includes R Code]
C.2014
[C.2014.2] Aït-Sahalia, Yacine, Roger J. A. Laeven & Loriana Pelizzon (2014). Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics 183, 151-167.
[C.2014.1] Laeven, Roger J. A. & Mitja A. Stadje (2014). Robust portfolio choice and indifference valuation, Mathematics of Operations Research 39, 1109-1141. [Extended Online Version]
[The appendix of this paper establishes existence and uniqueness results for quadratic BSDEs in a possibly infinite activity jump setting.]
C.2013
[C.2013.3] Pelsser, Antoon A. J. & Roger J. A. Laeven (2013). Optimal dividends and ALM under unhedgeable risk, Insurance: Mathematics and Economics 53, 515-523.
[C.2013.2] Laeven, Roger J. A. & Mitja A. Stadje (2013). Entropy coherent and entropy convex measures of risk, Mathematics of Operations Research 38, 265-293.
[This paper introduces and axiomatizes 'Entropy coherent/convex risk measures' and includes the 'Laeven-Stadje Theorem' (Theorem 6.2).]
[C.2013.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2013). Pareto utility, Theory and Decision 75, 43-57.
[This paper introduces the two-parameter family of 'Pareto utility' functions.]
C.2012
[C.2012.2] Kaluszka, Marek, Roger J. A. Laeven & Andrzej Okolewski (2012). A note on weighted premium calculation principles, Insurance: Mathematics and Economics 51, 379-381.
[C.2012.1] Goovaerts, Marc J., Roger J. A. Laeven & Zhaoning Shang (2012). Transform analysis and asset pricing for diffusion processes: A recursive approach, Journal of Computational Finance 16, 47-81. [Online Version] [Matlab Program]
C.2011
[C.2011.1] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2011). Worst case risk measurement: Back to the future?, Insurance: Mathematics and Economics 49, 380-392.
C.2010
[C.2010.2] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2010). Decision principles derived from risk measures, Insurance: Mathematics and Economics 47, 294-302.
[C.2010.1] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2010). A note on additive risk measures in rank-dependent utility, Insurance: Mathematics and Economics 47, 187-189.
C.2009
[C.2009.2] Laeven, Roger J. A. (2009). Worst VaR scenarios: A remark, Insurance: Mathematics and Economics 44, 159-163.
[C.2009.1] Kaas, Rob, Roger J. A. Laeven & Roger B. Nelsen (2009). Worst VaR scenarios with given marginals and measures of association, Insurance: Mathematics and Economics 44, 146-158. [Slides]
C.2008
[C.2008.2] Goovaerts, Marc J. & Roger J. A. Laeven (2008). Actuarial risk measures for financial derivative pricing, Insurance: Mathematics and Economics 42, 540-547.
[This paper introduces the 'Esscher-Girsanov transform'.]
[C.2008.1] Dhaene, Jan, Roger J. A. Laeven, Steven Vanduffel, Gregory Darkiewicz & Marc J. Goovaerts (2008). Can a coherent risk measure be too subadditive?, Journal of Risk and Insurance 75, 365-386.
C.2006
[C.2006.1] Denuit, Michel, Jan Dhaene, Marc J. Goovaerts, Rob Kaas & Roger J. A. Laeven (2006). Risk measurement with equivalent utility principles, In: Rüschendorf, Ludger (Ed.), Risk Measures: General Aspects and Applications, Statistics and Decisions 24, 1-26.
C.2005
[C.2005.2] Goovaerts, Marc J., Rob Kaas, Roger J. A. Laeven, Qihe Tang & Raluca Vernic (2005). The tail probability of discounted sums of Pareto-like losses in insurance, Scandinavian Actuarial Journal 6, 446-461.
[C.2005.1] Laeven, Roger J. A., Marc J. Goovaerts & Tom Hoedemakers (2005). Some asymptotic results for sums of dependent random variables, with actuarial applications, Insurance: Mathematics and Economics 37, 154-172.
C.2004
[C.2004.2] Goovaerts, Marc J., Rob Kaas, Roger J. A. Laeven & Qihe Tang (2004). A comonotonic image of independence for additive risk measures, Insurance: Mathematics and Economics 35, 581-594.
[This paper introduces and axiomatizes the 'Mixture of exponential premia' or 'Weighted entropic measure of risk'.]
[C.2004.1] Laeven, Roger J. A. & Marc J. Goovaerts (2004). An optimization approach to the dynamic allocation of economic capital, Insurance: Mathematics and Economics 35, 299-319.
D. Policy and Popular
Ordered by year, most recent first.
D.2015
[D.2015.1] Can, S. Umut & Roger J. A. Laeven (2015). Determining the right tail dependence model using R, De Actuaris. [Online Version]
D.2014
[D.2014.1] Laeven, Roger J. A. (2014). Kruisbestuiving tussen wetenschap en praktijk, De Actuaris.
D.2013
[D.2013.6] Laeven, Roger J. A. (2013). Econom(etr)ische aspecten van verzekeringsfraude, ACIS-Symposium 29 november 2013.
[D.2013.5] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Three principles for Solvency II insurance rules, Financial Times.
[D.2013.4] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Solvency II: Three principles to respect, VOXEU.
[D.2013.3] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2013). Escalerende garantietoezeggingen: Een alternatief voor het StAr RAM-contract?, Netspar Design Paper. [Supplementary Material]
[D.2013.2] Laeven, Roger J. A. (2013). Van Johan de Witt naar Solvency II: Waerdije van Lyfrenten, AG/AI Mini-Symposium 24 april 2013.
[D.2013.1] Laeven, Roger J. A. (2013). De zorgverzekering: Enige verzekeringseconomische opmerkingen, ACIS-Symposium 15 maart 2013.
D.2012
[D.2012.3] Laeven, Roger J. A. (2012). Actuaris maakt garanties waar?!, Actuarisdag oktober 2012.
[D.2012.2] Laeven, Roger J. A. (2012). Verzekeraars en pensioenen: Aantrekkelijke alternatieven voor het StAr RAM-contract, ACIS-VvV bundel juni 2012.
[D.2012.1] Ayadi, Rym, Jon Danielsson, Roger J. A. Laeven, Antoon A. J. Pelsser, Enrico C. Perotti & Mario V. Wüthrich (2012). Countercyclical regulation in Solvency II: Merits and flaws, VOXEU. [Slides]
D.2011
[D.2011.2] Danielsson, Jon, Frank C. J. M. de Jong, Roger J. A. Laeven, Christian Laux, Enrico C. Perotti & Mario V. Wüthrich (2011). A prudential regulatory issue at the heart of Solvency II, VOXEU.
[D.2011.1] Laeven, Roger J. A. (2011). Liquidity premium in Solvency II, De Actuaris. [Slides]
D.2010
[D.2010.1] Laeven, Roger J. A. (2010). Modeling financial contagion, Fiducie 17, 36-39.
D.2002
[D.2002.1] Laeven, Roger J. A. (2002). Catastrofe derivaten: Een alternatief voor traditionele herverzekering?, De Actuaris.
E. Inaugural Lecture
[E.2012.1] Laeven, Roger J. A. (2012). Contagion: Challenges in Risk and Insurance, Inaugural Lecture, Amsterdam: Vossiuspers. [Slides]
Postdoc
[1.] Mitja Stadje (2009-2010; PhD from Princeton University)
[After his postdoc he took up a position as TT Assistant Professor at Tilburg University; currently Full Professor at Ulm University.]
[2.] Andrea Krajina (2010; PhD from Tilburg University)
[After her postdoc she took up a position as Junior Professor at Göttingen University.]
[3.] Sami Umut Can (2010-2015; PhD from Cornell University)
[After his postdoc he took up a position as TT Assistant Professor at the University of Amsterdam.]
[4.] Mihail Bazhba (2020-2023; PhD from CWI)
[5.] Xingyu Wang (2024-2026; PhD from Northwestern University)
[6.] Matteo Ferrari (2024-2025; PhD from University of Pavia)
PhD
[1.] Xiye Yang (2012-2014; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Rutgers University.]
[2.] Servaas van Bilsen (2010-2015; with Theo Nijman)
[After his PhD he took up a position as TT Assistant Professor at the University of Amsterdam.]
[3.] Zhenzhen Fan (2011-2016)
[After her PhD she took up a position as TT Assistant Professor at Nankai University.]
[4.] Andrei Lalu (2013-2017; with Peter Boswijk)
[5.] Jitze Hooijsma (2013-2017; with Michel Vellekoop)
[6.] Yuan Yue (2014-2018; with Jan Magnus)
[7.] Rob Sperna Weiland (2014-2018; with Frank de Jong and Peter Spreij)
[8.] Merrick Zhen Li (2015-2018; with Peter Boswijk and Michel Vellekoop)
[After his PhD he took up a position as Postdoctoral Researcher at Cambridge University.]
[9.] Evgenii Vladimirov (2019-2023; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Erasmus University.]
[10.] Raviar Karim (2019-2023; with Michel Mandjes)
[11.] Guanyu Jin (2021-2024; with Dick den Hertog)
[12.] Ramon de Punder (2021-2024; with Cees Diks and Dick van Dijk)
[13.] Mücahit Aygün (2021-2025)
[14.] Josha Dekker (2022-2025; with Michel Vellekoop)
[15.] Niels Marijnen (2022-2025; with Peter Boswijk)
[16.] Danjun Xu (2022-2026; with Aleks Andonov and Esther Eiling)
[17.] Marco Zullino (2023-2025; with Emanuela Rosazza Gianin)
[18.] Justin Baars (2023-2027; with Michel Mandjes)