Prof. dr. Roger J. A. Laeven (1979) has been Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam, since 2011. He is also Co-Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM), hosting the activities of the associated research focal area. Roger holds an MSc (Fields: Actuarial Science and Econometrics, With highest honors) and a PhD (Fields: Actuarial Science and Econometrics, With highest honors), both from the University of Amsterdam. In 2004, he was a visiting research fellow at the London School of Economics, Department of Statistics, and from 2007-date he is a visiting research fellow at Princeton University, Bendheim Center for Finance. From 2001-2005, he was a part-time consultant for Mercer Oliver Wyman, and from 2007-2011, he was a tenured Associate Professor at Tilburg University.
SELECTION OF GRANTS AND PRIZES
Roger's PhD thesis was awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences (KNAW). In 2006, Roger was awarded a VENI Grant by the Netherlands Organization for Scientific Research (NWO) for his research project Measurement of Multivariate Risk in Insurance and Finance, and in 2009 he was awarded a VIDI Grant by NWO for his research project Econometrics of Contagion in Insurance and Finance. Recent research awards and grants include a VvV Grant (Risk and Insurance, 2012-2016), the FBdF Grant 2013/14, the ASX Prize 2014 and a VvV Grant (Risk and Regulation, 2017-2021).
Roger's research spans Probability and Mathematical Statistics, (Micro) Economic Theory, Actuarial Science and Quantitative Finance and has appeared in the top academic journals in all these fields. His areas of specialization include decision under uncertainty, (axiomatization and aggregation of) risk measures, modeling of stochastic dependence and semi-martingale theory; and their ramifications in insurance and finance, such as economic capital allocation, valuation in incomplete markets and multivariate asset pricing.
Roger is Co-Director of the Risk and Macro Finance Research Focal Area at the University of Amsterdam; holds a courtesy appointment in the Department of Finance of the University of Amsterdam; is Scientific Advisor to Eurandom (Co-Director of the Multivariate Risk Modeling group); Associate Editor of Insurance: Mathematics and Economics (Elsevier), Statistics and Probability Letters (Elsevier), Dependence Modeling (De Gruyter), and Insurance Markets and Companies: Analyses and Actuarial Computations; Research Fellow of ACIS, Netspar, STAR, StochModFin and WONDER (previously the Stieltjes Institute); and Extramural Fellow of CentER (research groups Econometrics and Finance).
The Chair of Risk and Insurance that Roger holds is sponsored by the Dutch Association of Insurers.
Roger's expertise on risk management, insurance and solvency has been called for e.g., by the European Systemic Risk Board (ESRB), the European Insurance and Occupational Pensions Authority (EIOPA), the European Parliament, the Dutch Central Bank, the 2014/15 Commissie Verzekeraars and the Dutch Association of Insurers, to which institutions he has served as academic advisor. Roger is a selected academic member of the European Insurance and Occupational Pensions Authority's Insurance and Reinsurance Stakeholder Group (IRSG, 2016-2018). He advises on a regular basis the insurance and financial industry on issues in the broad area of quantitative risk management, such as economic capital allocation, (market-consistent) pricing and ALM.