SELECTED WORKING PAPERS

[1.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2021). Modeling systemic risk, Mimeo, Princeton University and University of Amsterdam.

[2.] Laeven, Roger J. A. (2021). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.

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

[4.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2021). Probability premium and attitude towards probability, Mimeo, IESEG and University of Amsterdam.

[5.] 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]

[6.] Hooijsma, Jitze, Roger J. A. Laeven & Michel H. Vellekoop (2019). A note on the market price of correlation risk and optimal portfolio choice, Mimeo, University of Amsterdam.

[7.] 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.

[8.] Eiling, Esther, Frank C. J. M. de Jong, Roger J. A. Laeven & Rob C. Sperna Weiland (2019). Labor income risk and stock returns: The role of horizon effects, Mimeo, University of Amsterdam and Tilburg University.

[9.] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2021). Asymptotic analysis of risk premia induced by law-invariant risk measures, Mimeo, Leibniz University Hannover and University of Amsterdam.

[10.] Karim, Raviar S., Roger J. A. Laeven & Michel Mandjes (2021). Exact and asymptotic analysis of general multivariate Hawkes processes and induced population processes, Mimeo, University of Amsterdam.

[11.] Laeven, Roger J. A., John G. M. Schoenmakers, Nikolaus F. F. Schweizer & Mitja Stadje (2021). Robust multiple stopping --- A pathwise duality approach, Mimeo, University of Amsterdam, Weierstrass Institute Berlin, Tilburg University and University of Ulm.

[12.] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2021). Two-sample testing for tail copulas with an application to equity indices, Mimeo, University of Amsterdam and Tilburg University. [Supplementary Material]

[13.] Boswijk, H. Peter, Roger J. A. Laeven, Andrei Lalu & Evgenii Vladimirov (2022). Jump contagion among stock market indices: Evidence from option markets, Mimeo, University of Amsterdam. [Supplementary Material]

[14.] Bazhba, Mihail, Jose Blanchet, Roger J. A. Laeven & Bert Zwart (2022). Large deviations asymptotics for unbounded additive functionals of diffusion processes, Mimeo, University of Amsterdam, Stanford University and CWI.


Selected publications

Financial support from the NWO under grants No. 42511013, VENI-2006, VIDI-2009, VICI-2019/2020, 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.
[A.2021.1] Laeven, Roger J. A., Moshe A. Milevsky, Matthias Scherer, Rudi Zagst & Xun Yu Zhou (Eds.) (2021). Behavioral Insurance: Mathematics and Economics, Elsevier. [Online Version]

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 and/or Econometrics in the period 2002-2007.]

C. Journal Articles

Ordered by year, most recent first.

C.2022

[C.2022.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2022). Jishin risk ga Nihon-no Fudoosan Kakaku-ni ataeru eikyo (The impact of earthquake risk on property prices in Japan). Kikan Jutaku Tochi Keizai, forthcoming.
[This is the Japanese translation of (a shortened version of) our 2021 paper published in the Journal of the American Statistical Association.]

C.2021

[C.2021.5] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2021). Earthquake risk embedded in property prices: Evidence from five Japanese cities, Journal of the American Statistical Association, forthcoming. [Online Version] [Supplementary Material] [Data Documentation] [Github]

[C.2021.4] Eeckhoudt, Louis R. & Roger J. A. Laeven (2021). Dual moments and risk attitudes, Operations Research, forthcoming. [Online Version] [Supplementary Material]
[This paper develops a local index of risk aversion under RDU and shows that the 'maxiance' stands on equal footing with the variance.]

[C.2021.3] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2021). Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, European Journal of Operational Research, 291, 438-446. [Online Version]
[This paper explores 'dynamic return risk measures'.]

[C.2021.2] Dhaene, Jan, Roger J. A. Laeven & Yiying Zhang (2021). Systemic risk: Conditional distortion risk measures, Insurance: Mathematics and Economics, forthcoming. [Online Version] [Supplementary Material]
[This paper introduces 'conditional distortion risk measures'.]

[C.2021.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2021). DICE simplified, Environmental Modeling and Assessment, 26, 1-12. [Online Version]

C.2020

[C.2020.7] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2020). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level, Management Science, 66, 3927-3955. [Online Version]
[Awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.]

[C.2020.6] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2020). Goodness-of-fit testing for copulas: A distribution-free approach, Bernoulli, 26, 3163-3190. [Online Version] [Supplementary Material]

[C.2020.5] Bilsen, Servaas van & Roger J. A. Laeven (2020). Dynamic consumption and portfolio choice under prospect theory, Insurance: Mathematics and Economics, 91, 224-237. [Online Version]

[C.2020.4] Bilsen, Servaas van, A. Lans Bovenberg & Roger J. A. Laeven (2020). Consumption and portfolio choice under internal multiplicative habit formation, Journal of Financial and Quantitative Analysis, 55, 2334-2371. [Online Version]

[C.2020.3] Li, Z. Merrick, Roger J. A. Laeven & Michel H. Vellekoop (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data, Journal of Econometrics, 215, 536-558. [Online Version] [Supplementary Material]

[C.2020.2] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2020). Risk apportionment: The dual story, Journal of Economic Theory, 185, 104971. [Online Version] [Extended Online Version]
[This paper introduces 'squeezing' and characterizes dual prudence and dual temperance.]

[C.2020.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2020). Expected utility and catastrophic risk in a stochastic economy-climate model, Journal of Econometrics, 214, 110-129. [Online Version].

C.2018

[C.2018.5] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: In Memoriam Marc Goovaerts, Insurance: Mathematics and Economics, 80, A1.

[C.2018.4.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2018). Testing for self-excitation in jumps, Journal of Econometrics, 203, 256-266. [Online Version] [Supplementary Material]

[C.2018.3] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: IME's Editorial Board, Insurance: Mathematics and Economics, 78, A1-A3.

[C.2018.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2018). Robust return risk measures, Mathematics and Financial Economics, 12, 5-32. [Online Version] [Illustration]
[This paper introduces the class of 'Return Risk Measures'.]

[C.2018.1] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2018). Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, 43, 1177-1209. [Online Version]

C.2017

[C.2017.1] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2017). Estimation of the continuous and discontinuous leverage effects, Journal of the American Statistical Association, 112, 1744-1758. [Online Version] [Supplementary Material]

C.2016

[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]
[This paper introduces the 'ACL Contagion Model'.]

[C.2015.3] Eeckhoudt, Louis & Roger J. A. Laeven (2015). The probability premium: A graphical representation, Economics Letters 136, 39-41. [Online Version] [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.
[This paper introduces 'entropy coherent/convex risk measures' and includes the 'Laeven-Stadje Theorem' (Theorem 6.2).]

[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. [Online Version] [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.
[This paper introduces the 'Esscher-Girsanov Transform'.]

[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.
[This paper introduces and axiomatizes the 'Mixture of Exponential Premia' or 'Mixture of Entropic Measures of Risk'.]

[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.]
[4.] Mihail Bazhba (2020-2023; PhD from CWI)

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; with Jan Magnus)
[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)
[After his PhD he took up a position as Postdoctoral Researcher at Cambridge University.]
[9.] Evgenii Vladimirov (2019-2022; with Peter Boswijk)
[10.] Raviar Karim (2019-2022; with Michel Mandjes)
[11.] Guanyu Jin (2021-2024; with Dick den Hertog)
[12.] Ramon de Punder (2021-2024; with Cees Diks and Dick van Dijk)
[13.] Mücahit Aygün (2021-2024)

Professional PhD
[1.] Gijs Kloek (2010-2018)
[2.] Frans de Weert (2012-2018)