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Roger J. A. Laeven

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This is information that was supplied by Roger Laeven in registering through RePEc. If you are Roger J. A. Laeven , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Roger
Middle Name: J. A.
Last Name: Laeven
Suffix:

RePEc Short-ID: pla400

Email:
Homepage: http://www.rogerlaeven.com/
Postal Address:
Phone:

Affiliation

(20%) Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Location: Amsterdam, Netherlands
Homepage: http://www.feb.uva.nl/
Email:
Phone:
Fax:
Postal: Valckenierstraat 65, NL - 1018 XE Amsterdam
Handle: RePEc:edi:feuvanl (more details at EDIRC)
(20%) Amsterdam School of Economics
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Location: Amsterdam, Netherlands
Homepage: http://feb.uva.nl/asehome/
Email:
Phone:
Fax:
Postal: Valckenierstraat 65, NL - 1018 XE Amsterdam
Handle: RePEc:edi:asuvanl (more details at EDIRC)
(20%) Afdeling Kwantitatieve Economie
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Location: Amsterdam, Netherlands
Homepage: http://www.uva.nl/over-de-uva/organisatie/organogram/content/faculteiten/faculteit-economie-en-bedrijfskunde/afdeling-kwantitatieve-economie-ke/afdeling-kwantitatieve-economie-ke.html
Email:
Phone: +31 20 525 4217
Fax: +31 20 525 4349
Postal: Roetersstraat 11, NL-1018 WB Amsterdam
Handle: RePEc:edi:keuvanl (more details at EDIRC)
(20%) Finance Group
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Location: Amsterdam, Netherlands
Homepage: http://absri.uva.nl/research-programmes/research-programmes/research-programmes/content/folder/finance-group/finance-group.html
Email:
Phone: +31 (0) 20 525 4256
Fax: +31 (0) 20 525 5285
Postal: Roetersstraat 11, 1018 WB Amsterdam
Handle: RePEc:edi:fguvanl (more details at EDIRC)
(20%) CentER for Economic Research
Universiteit van Tilburg
Location: Tilburg, Netherlands
Homepage: http://center.uvt.nl/
Email:
Phone: 31 13 4663050
Fax: 31 13 4663066
Postal: P.O. Box 90153, 5000 LE Tilburg
Handle: RePEc:edi:cekubnl (more details at EDIRC)

Works

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Working papers

  1. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
  2. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011. "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper 0825, Institute of Social and Economic Research, Osaka University.
  3. Laeven, R.J.A., 2011. "Liquidity premium in Solvency II," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4809120, Tilburg University.
  4. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper 2010-122, Tilburg University, Center for Economic Research.
  5. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Burr Utility," Discussion Paper 2010-81, Tilburg University, Center for Economic Research.
  6. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
  7. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Scrap Value Functions in Dynamic Decision Problems," Discussion Paper 2010-77, Tilburg University, Center for Economic Research.
  8. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004. "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers 04-030/4, Tinbergen Institute.

    RePEc:ner:leuven:urn:hdl:123456789/200581 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/200996 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/278383 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/200185 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/122216 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/118282 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/247205 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/85357 is not listed on IDEAS
    RePEc:ner:leuven:urn:hdl:123456789/200978 is not listed on IDEAS

Articles

  1. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
  2. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013. "Pareto utility," Theory and Decision, Springer, vol. 75(1), pages 43-57, July.
  3. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
  4. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.
  5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
  6. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "A note on additive risk measures in rank-dependent utility," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 187-189, October.
  7. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
  8. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
  9. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
  10. Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 540-547, April.
  11. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386.
  12. Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom, 2005. "Some asymptotic results for sums of dependent random variables, with actuarial applications," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 154-172, October.
  13. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004. "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 581-594, December.
  14. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2011-04-09
  2. NEP-CMP: Computational Economics (1) 2010-08-21
  3. NEP-DEV: Development (1) 2004-03-22
  4. NEP-DGE: Dynamic General Equilibrium (1) 2010-08-21
  5. NEP-ENE: Energy Economics (1) 2012-01-03
  6. NEP-ENV: Environmental Economics (1) 2012-01-03
  7. NEP-FIN: Finance (1) 2004-03-22
  8. NEP-RMG: Risk Management (1) 2011-04-09
  9. NEP-UPT: Utility Models & Prospect Theory (4) 2010-08-21 2010-08-21 2011-04-09 2012-01-03. Author is listed

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