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Roger J. A. Laeven

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Personal Details

First Name:Roger
Middle Name:J. A.
Last Name:Laeven
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RePEc Short-ID:pla400
Email:
Homepage:http://www.rogerlaeven.com/
Postal Address:
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Location: Amsterdam, Netherlands
Homepage: http://www.feb.uva.nl/
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Postal: Valckenierstraat 65, NL - 1018 XE Amsterdam
Handle: RePEc:edi:feuvanl (more details at EDIRC)
Location: Amsterdam, Netherlands
Homepage: http://feb.uva.nl/asehome/
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Handle: RePEc:edi:asuvanl (more details at EDIRC)
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)
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)
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  1. Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014. "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series 51, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  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. 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.
    RePEc:dgr:kubcen:2011031 is not listed on IDEAS
    RePEc:dgr:uvatin:20140133 is not listed on IDEAS
    RePEc:dgr:kubcen:201077 is not listed on IDEAS
    RePEc:dgr:uvatin:20040030 is not listed on IDEAS
    RePEc:dgr:kubcen:2010122 is not listed on IDEAS
    RePEc:dgr:kubcen:201081 is not listed on IDEAS
    RePEc:ner:tilbur:urn:nbn:nl:ui:12-4809120 is not listed on IDEAS
  1. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013. "Pareto utility," Theory and Decision, Springer, vol. 75(1), pages 43-57, July.
  2. 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.
  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. 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.
  9. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
  10. 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.
  11. 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.
  12. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 25, July.
  13. 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.
  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.
  15. 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.
7 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-EEC: European Economics (1) 2014-06-14
  6. NEP-ENE: Energy Economics (1) 2012-01-03
  7. NEP-ENV: Environmental Economics (1) 2012-01-03
  8. NEP-FIN: Finance (1) 2004-03-22
  9. NEP-IAS: Insurance Economics (1) 2014-11-22
  10. NEP-RMG: Risk Management (2) 2011-04-09 2014-11-22. Author is listed
  11. NEP-UPT: Utility Models & Prospect Theory (5) 2010-08-21 2010-08-21 2011-04-09 2012-01-03 2014-11-22. Author is listed

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