NEWS

There is an opening for a PhD position. If interested in the mathematics and economics of risk and qualified (holding an MSc in Mathematics or Quantitative Economics with excellent grades), please send me your cv and a description of your research interests. [June 1, 2020.]

Our approximation to the RDU risk premium is forthcoming in Operations Research. It reveals that the maxiance stands on equal footing with the variance as a fundamental measure of risk. It also provides a local index of absolute risk aversion in RDU. [May 15, 2020.]

Our paper on distribution-free goodness-of-fit testing for copulas is forthcoming in Bernoulli. [March 19, 2020.]

Awarded a VICI grant by the Netherlands Organization for Scientific Research (NWO) to Model and Measure 21st-Century Risks. [February 17, 2020.]

Former PhD student Merrick Zhen Li has been awarded the Joop Hartog Dissertation Award. [January 16, 2020.]

Our paper on dual risk apportionment is forthcoming in the Journal of Economic Theory. [November 16, 2019.] In this paper, we introduce the concept of squeezing:

(Annemaartje Laeven, 2015)

Our paper on dependent microstructure noise and IV estimation is forthcoming in the Journal of Econometrics. [October 12, 2019.]

Our paper on loss aversion and endogenous updating of the reference level is forthcoming in Management Science. [May 1, 2019.]

Our call for papers on Behavioral Insurance: Mathematics and Economics has been published. Gold open access publication by Elsevier.

Our paper on internal multiplicative habit formation is forthcoming in the Journal of Financial and Quantitative Analysis. [April 28, 2019.]

Our paper on catastrophic risk in economy-climate modeling is forthcoming in the Journal of Econometrics. [March, 15, 2019.]

Our modeling financial contagion paper is shortlisted as most cited (#4) in the Journal of Financial Economics.

My PhD student Merrick Zhen Li takes up a postdoctoral position at Cambridge University.

Appointed to a second mandate as Academic Member of the Advisory Board IRSG of EIOPA.

Our paper on testing for self-excitation is forthcoming in the Journal of Econometrics.

Our paper on robust optimal stopping is forthcoming in Mathematics of Operations Research.

Appointed Editor of Insurance: Mathematics and Economics.

Our paper on continuous and discontinuous leverage is forthcoming in the Journal of the American Statistical Association.

Photo Credit: Dingena Mol

DETAILED Contact INFORMATION

Prof. dr. Roger J. A. Laeven
University of Amsterdam, Economics and Business
Amsterdam School of Economics, Department of Quantitative Economics
Email: R.J.A.Laeven "AT" uva.nl
Webpage (this page): http://www.rogerlaeven.nl/

Visiting Address:

Roetersstraat 11
1018 WB Amsterdam, The Netherlands
Room: E 4.23
Map: https://goo.gl/RS4bhR
Phone (O):  +31 20 525 4219
Phone (S): +31 20 525 4252

Postal Address:

PO Box 15867
1001 NJ Amsterdam, The Netherlands

I am visiting Princeton University from January to August 2007, November to December 2007, April to May 2008, in April 2009, February 2010, November 2010, January 2011, August 2011, October 2011, January 2012, August 2012, October 2012, February 2013, May 2013, August 2013, August 2014, August 2015, April 2016, April 2017, April 2018, April 2019 and May 2019:

Address:

Princeton University  
Bendheim Center for Finance  
Julis Romo Rabinowitz Building
Princeton NJ, 08544, United States

Risk and Macro Finance Center