Full Professor, Chair of Mathematics and Economics of Risk, at the Amsterdam School of Economics, Department of Quantitative Economics, and professor by courtesy at the Amsterdam Business School, Department of Finance, University of Amsterdam.
Editor of Insurance: Mathematics and Economics.
Specializing in the Mathematics and Economics of Risk
Our paper on two sample testing for tail copulas is forthcoming in the Journal of Business & Economic Statistics. [Dec 1, 2022]
Our paper on earthquake risk valuation is forthcoming in the Journal of the American Statistical Association.
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.
Our paper on distribution-free goodness-of-fit testing for copulas is forthcoming in Bernoulli.
Awarded a VICI grant by the Netherlands Organization for Scientific Research (NWO) to Model and Measure 21st-Century Risks.
Former PhD student Merrick Zhen Li has been awarded the Joop Hartog Dissertation Award.
Our paper on dual risk apportionment is forthcoming in the Journal of Economic Theory. In this paper, we introduce the concept of squeezing.
Our paper on dependent microstructure noise and IV estimation is forthcoming in the Journal of Econometrics.
Our paper on loss aversion and endogenous updating of the reference level is forthcoming in Management Science.
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.
Our paper on catastrophic risk in economy-climate modeling is forthcoming in the Journal of Econometrics.
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
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): https://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
[1.] Modeling Financial Contagion
(incl. 'ACL Contagion Model')
Journal of Financial Economics
[2.] Eurozone Mutual Excitation
Journal of Econometrics
[3.] Continuous and Discontinuous Leverage
Journal of the American Statistical Association
[4.] Testing for Self-Excitation
Journal of Econometrics
[5.] Dependent Microstructure Noise
Journal of Econometrics
[1.] Tail Copulas
Annals of Statistics
[2.] EU and Cat Risk
Insurance: Mathematics and Economics
[3.] Pareto Utility
Theory and Decision
[4.] Cat Risk in Economy-Climate
Journal of Econometrics
[5.] Earthquake Risk Valuation
Journal of the American Statistical Association
[1.] Entropy Convex Risk Measures
(incl. 'Laeven-Stadje Theorem')
Mathematics of Operations Research
[2.] Robust Return Risk Measures
Mathematics and Financial Economics
[3.] Dynamic Robust Return Risk Measures
European Journal of Operational Research
[4.] Robust Portfolio Choice
Mathematics of Operations Research
[5.] Robust Risk Sharing
Insurance: Mathematics and Economics
[6.] Robust Optimal Stopping
Mathematics of Operations Research
[1.] RDU Risk Premium
Operations Research
[2.] Dual Risk Apportionment
Journal of Economic Theory
[3.] Consumption and Loss Aversion
Management Science
[4.] Consumption and Probability Weighting
Insurance: Mathematics and Economics
[5.] Consumption and Multiplicative Habits
Journal of Financial & Quantitative Analysis