SELECTED WORKING PAPERS

[1.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2017). Modeling systemic risk, Mimeo, Princeton University and University of Amsterdam.

[2.] Laeven, Roger J. A. (2017). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.

[3.] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2017). Prudence, temperance (and other virtues): The dual story, Mimeo, IESEG, University of Amsterdam and University of Alabama.

[4.] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2017). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level, Mimeo, Tilburg University and University of Amsterdam.
[Awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.]

[5.] Laeven, Roger J. A. & Mitja Stadje (2015). A dual theory for decision under risk and ambiguity, Mimeo, University of Amsterdam and University of Ulm.

[6.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2015). Risk aversion in the small and in the large under rank-dependent utility, Mimeo, IESEG and University of Amsterdam.

[7.] 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]

[8.] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2017). Expected utility and catastrophic risk in a stochastic economy-climate model, Mimeo, University of Amsterdam and Vrije Universiteit Amsterdam.

[9.] Hooijsma, Jitze, Roger J. A. Laeven & Michel H. Vellekoop (2016). A note on the market price of correlation risk and optimal portfolio choice, Mimeo, University of Amsterdam.

[10.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2016). Dual moments and risk attitudes, Mimeo, IESEG and University of Amsterdam.

[11.] Li, Z. Merrick, Roger J. A. Laeven & Michel H. Vellekoop (2017). Dependent microstructure noise and integrated volatility estimation from high-frequency data, Mimeo, University of Amsterdam. [Supplementary Material]

[12.] 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.

[13.] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2017). Asymptotically distribution-free goodness-of-fit testing for copulas, Mimeo, University of Amsterdam and Tilburg University.


Selected publications

Financial support from the NWO under grants No. 42511013, VENI-2006 and VIDI-2009, the FBdF under grant 2013/14, and the VvV under grants 2012/16 and 2017/21 is gratefully acknowledged.

A. Edited Volume

[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. 

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 or Econometrics in the period 2002-2007]

C. Journal Articles

Ordered by year, most recent first.

C.2017

[C.2017.3.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2017). Testing for self-excitation in jumps, Journal of Econometrics, forthcoming. [Supplementary Material]

[C.2017.2] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2017). Editorial: IME's Editorial Board, Insurance: Mathematics and Economics, forthcoming.

[C.2017.1] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2017). Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, forthcoming.

C.2016

[C.2016.3] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2016). Estimation of the continuous and discontinuous leverage effects, Journal of the American Statistical Association, forthcoming. [Online Version] [Supplementary Material]

[C.2016.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2016). Robust return risk measures, Mathematics and Financial Economics, forthcoming.

[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. [BiBTeX]

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] [BiBTeX]

[C.2015.3] Eeckhoudt, Louis & Roger J. A. Laeven (2015). The probability premium: A graphical representation, Economics Letters 136, 39-41. [BiBTeX]

[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. [BiBTeX]

[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] [BiBTeX]

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]

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.

[C.2013.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2013). Pareto utility, Theory and Decision 75, 43-57.

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. [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. 

[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. 

[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]


RESEARCH SUPERVISION

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.]  

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)
[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)

Professional PhD
[1.] Gijs Kloek (2010-2018)
[2.] Frans de Weert (2012-2018)