SELECTED WORKING PAPERS

[1.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2016). Modeling systemic risk, Mimeo, Princeton University and University of Amsterdam.

[2.] Laeven, Roger J. A. (2016). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.

[3.] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2016). 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.] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2015). Robust optimal stopping, Mimeo, University of Amsterdam, University of Ulm and WIAS.

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

[7.] 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.

[8.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2017). Testing for self-excitation in jumps, Mimeo, University of Amsterdam and Rutgers University. [Supplementary Material]

[9.] 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]

[10.] 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.

[11.] 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.

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

[13.] 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]

[14.] 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.


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.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)