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
# My PhD student Danjun Xu has received the Netspar Thesis Award 2023.
# 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 rank-dependent utility (RDU).
# My PhD student Merrick Zhen Li takes up a postdoctoral position at Cambridge University.
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/
1018 WB Amsterdam, The Netherlands
Room: E 4.23
Phone (O): +31 20 525 4219
Phone (S): +31 20 525 4252
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, May 2019, March 2023 and April 2023:
Bendheim Center for Finance
Julis Romo Rabinowitz Building
Princeton NJ, 08544, United States
SEVERAL RECENT PUBLICATIONS:
[1.] Modeling Financial Contagion
(incl. 'ACL Contagion Model')
[2.] Eurozone Mutual Excitation
[3.] Continuous and Discontinuous Leverage
[4.] Testing for Self-Excitation
[5.] Dependent Microstructure Noise
[1.] Entropy Convex Risk Measures
(incl. 'Laeven-Stadje Theorem')
[2.] Robust Return Risk Measures
[3.] Dynamic Robust Return Risk Measures
[4.] Robust Portfolio Choice
[5.] Robust Risk Sharing
[6.] Robust Optimal Stopping
[1.] Risk Premium under RDU
[2.] Dual Risk Apportionment
[3.] Consumption and Loss Aversion
[4.] Consumption and Probability Weighting
[5.] Consumption and Multiplicative Habits