Roger J. A. Laeven

Full Professor, Chair of Risk and Insurance, 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.

Specializing in the Mathematics and Economics of Risk

Director and Co-Founder of ACRM.
Editor of Insurance: Mathematics and Economics.
Academic Member of the Advisory Board IRSG of EIOPA.
Professor of Quantitative Risk Management at Katholieke Universiteit Leuven.

NEWS

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.

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


ACRM

SEVERAL RECENT PUBLICATIONS:

FINANCIAL
CONTAGION


[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

CATASTROPHIC
RISK


[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

ROBUST RISK
MEASURES


[1.] Entropy Convex Risk Measures
(incl. 'Laeven-Stadje Theorem')
Mathematics of Operations Research
[2.] Robust Return Risk Measures
  Mathematics and Financial Economics
[3.] Robust Portfolio Choice
Mathematics of Operations Research
[4.] Robust Risk Sharing
Insurance: Mathematics and Economics
[5.] Robust Optimal Stopping
Mathematics of Operations Research

UNIVERSITY OF AMSTERDAM

DEPARTMENT OF QUANTITATIVE ECONOMICS

ContacT

 R.J.A.Laeven "at" uva.nl
  +31 20 525 4252 (S)
  +31 20 525 4219 (O)