Edit Profile (opens in new tab) Laeven, Roger J. A. Co-Author Distance Author ID: laeven.roger-j-a Published as: Laeven, Roger J. A.; Laeven, R. J. A.; Laeven, Roger; Laevent, Roger J. A. more...less External Links: MGP Documents Indexed: 50 Publications since 2004, including 14 Additional arXiv Preprints 4 Contributions as Editor Co-Authors: 56 Co-Authors with 53 Joint Publications 1,397 Co-Co-Authors all top 5 Co-Authors 1 single-authored 11 Goovaerts, Marc J. 10 Kaas, Rob 5 Rosazza Gianin, Emanuela 5 Stadje, Mitja 4 Bellini, Fabio 4 Eeckhoudt, Louis R. 4 Ikefuji, Masako 4 Magnus, Jan R. 3 Can, Sami Umut 3 Einmahl, John H. J. 3 Mandjes, Michel Robertus Hendrikus 3 Muris, Chris 3 Schoenmakers, John G. M. 3 Tang, Qihe 2 Aygün, Mücahit 2 Dhaene, Jan 2 Karim, Raviar S. 2 Knispel, Thomas 2 Svindland, Gregor 2 Vellekoop, Michel H. 2 Zullino, Marco 1 Aït-Sahalia, Yacine 1 Baars, Justin 1 Bazhba, Mihail 1 Blanchet, Jose H. 1 Boswijk, H. Peter 1 Dekker, Josha A. 1 Denuit, Michel M. 1 Feng, Runhuan 1 Hoedemakers, Tom 1 Kałuszka, Marek 1 Khmaladze, Estate V. 1 Kratschmer, Volker 1 Ladkau, Marcel 1 Li, Z. Merrick 1 Lin, Sheldon 1 Lin, X. Sheldon 1 Milevsky, Moshe Arye 1 Nelsen, Roger B. 1 Okolewski, Andrzej 1 Pelizzon, Loriana 1 Pelsser, Antoon A. J. 1 Scherer, Matthias 1 Schlesinger, Harris 1 Schweizer, Nikolaus F. F. 1 van Bilsen, Servaas 1 van den Borre, Eddy 1 Vernic, Raluca 1 Willmot, Gordon E. 1 Yang, Hailiang 1 Yang, Xiye 1 Yue, Yuan 1 Zagst, Rudi 1 Zhang, Yiying 1 Zhou, Xunyu 1 Zwart, Bert P. all top 5 Serials 19 Insurance Mathematics & Economics 4 Journal of Econometrics 3 Mathematics of Operations Research 1 The Annals of Statistics 1 Journal of the American Statistical Association 1 Journal of Economic Theory 1 Operations Research 1 Theory and Decision 1 Statistics & Decisions 1 Economics Letters 1 European Journal of Operational Research 1 Bernoulli 1 Scandinavian Actuarial Journal 1 HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science 1 North American Actuarial Journal 1 Mathematics and Financial Economics 1 Journal of Business and Economic Statistics all top 5 Fields 38 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 22 Statistics (62-XX) 13 Probability theory and stochastic processes (60-XX) 3 General and overarching topics; collections (00-XX) 3 Operations research, mathematical programming (90-XX) 2 Geophysics (86-XX) 1 History and biography (01-XX) 1 Real functions (26-XX) 1 Convex and discrete geometry (52-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 28 Publications have been cited 474 times in 334 Documents Cited by ▼ Year ▼ The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca 56 2005 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444 Goovaerts, Marc J.; Laeven, Roger J. A. 46 2008 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037 Laeven, Roger J. A.; Goovaerts, Marc J. 41 2004 Decision principles derived from risk measures. Zbl 1231.91191 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 33 2010 A comonotonic image of independence for additive risk measures. Zbl 1122.91341 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe 31 2004 Robust portfolio choice and indifference valuation. Zbl 1310.91135 Laeven, Roger J. A.; Stadje, Mitja 30 2014 Worst VaR scenarios with given marginals and measures of association. Zbl 1162.91417 Kaas, Rob; Laeven, Roger J. A.; Nelsen, Roger B. 29 2009 Risk measurement with equivalent utility principles. Zbl 1171.91326 Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 28 2006 Mutual excitation in Eurozone sovereign CDS. Zbl 1312.91089 Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana 26 2014 Entropy coherent and entropy convex measures of risk. Zbl 1297.91090 Laeven, Roger J. A.; Stadje, Mitja 20 2013 Worst case risk measurement: back to the future? Zbl 1228.91037 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 17 2011 Some asymptotic results for sums of dependent random variables, with actuarial applications. Zbl 1099.91068 Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom 14 2005 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 13 2010 Worst VaR scenarios: A remark. Zbl 1160.91370 Laeven, Roger J. A. 13 2009 Robust return risk measures. Zbl 1404.91134 Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 12 2018 Asymptotically distribution-free goodness-of-fit testing for tail copulas. Zbl 1312.62072 Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; Laeven, Roger J. A. 11 2015 Optimal stopping under uncertainty in drift and jump intensity. Zbl 1440.60035 Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; Schoenmakers, John G. M.; Stadje, Mitja 8 2018 Testing for self-excitation in jumps. Zbl 1386.62025 Boswijk, H. Peter; Laeven, Roger J. A.; Yang, Xiye 7 2018 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442 Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 7 2005 Risk apportionment: the dual story. Zbl 1457.91341 Eeckhoudt, Louis R.; Laeven, Roger J. A.; Schlesinger, Harris 5 2020 Dynamic consumption and portfolio choice under prospect theory. Zbl 1435.91174 van Bilsen, Servaas; Laeven, Roger J. A. 5 2020 Robust optimal risk sharing and risk premia in expanding pools. Zbl 1371.91095 Knispel, Thomas; Laeven, Roger J. A.; Svindland, Gregor 4 2016 Pareto utility. Zbl 1273.91173 Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris 4 2013 Systemic risk: conditional distortion risk measures. Zbl 1484.91504 Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 4 2022 Expected utility and catastrophic consumption risk. Zbl 1348.91152 Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris 3 2015 Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 1487.91025 Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 3 2021 Dual moments and risk attitudes. Zbl 1497.91113 Eeckhoudt, Louis R.; Laeven, Roger J. A. 2 2022 Dependent microstructure noise and integrated volatility estimation from high-frequency data. Zbl 1456.62253 Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. 2 2020 Systemic risk: conditional distortion risk measures. Zbl 1484.91504 Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 4 2022 Dual moments and risk attitudes. Zbl 1497.91113 Eeckhoudt, Louis R.; Laeven, Roger J. A. 2 2022 Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures. Zbl 1487.91025 Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 3 2021 Risk apportionment: the dual story. Zbl 1457.91341 Eeckhoudt, Louis R.; Laeven, Roger J. A.; Schlesinger, Harris 5 2020 Dynamic consumption and portfolio choice under prospect theory. Zbl 1435.91174 van Bilsen, Servaas; Laeven, Roger J. A. 5 2020 Dependent microstructure noise and integrated volatility estimation from high-frequency data. Zbl 1456.62253 Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. 2 2020 Robust return risk measures. Zbl 1404.91134 Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 12 2018 Optimal stopping under uncertainty in drift and jump intensity. Zbl 1440.60035 Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; Schoenmakers, John G. M.; Stadje, Mitja 8 2018 Testing for self-excitation in jumps. Zbl 1386.62025 Boswijk, H. Peter; Laeven, Roger J. A.; Yang, Xiye 7 2018 Robust optimal risk sharing and risk premia in expanding pools. Zbl 1371.91095 Knispel, Thomas; Laeven, Roger J. A.; Svindland, Gregor 4 2016 Asymptotically distribution-free goodness-of-fit testing for tail copulas. Zbl 1312.62072 Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; Laeven, Roger J. A. 11 2015 Expected utility and catastrophic consumption risk. Zbl 1348.91152 Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris 3 2015 Robust portfolio choice and indifference valuation. Zbl 1310.91135 Laeven, Roger J. A.; Stadje, Mitja 30 2014 Mutual excitation in Eurozone sovereign CDS. Zbl 1312.91089 Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana 26 2014 Entropy coherent and entropy convex measures of risk. Zbl 1297.91090 Laeven, Roger J. A.; Stadje, Mitja 20 2013 Pareto utility. Zbl 1273.91173 Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris 4 2013 Worst case risk measurement: back to the future? Zbl 1228.91037 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 17 2011 Decision principles derived from risk measures. Zbl 1231.91191 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 33 2010 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 13 2010 Worst VaR scenarios with given marginals and measures of association. Zbl 1162.91417 Kaas, Rob; Laeven, Roger J. A.; Nelsen, Roger B. 29 2009 Worst VaR scenarios: A remark. Zbl 1160.91370 Laeven, Roger J. A. 13 2009 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444 Goovaerts, Marc J.; Laeven, Roger J. A. 46 2008 Risk measurement with equivalent utility principles. Zbl 1171.91326 Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 28 2006 The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca 56 2005 Some asymptotic results for sums of dependent random variables, with actuarial applications. Zbl 1099.91068 Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom 14 2005 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442 Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 7 2005 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037 Laeven, Roger J. A.; Goovaerts, Marc J. 41 2004 A comonotonic image of independence for additive risk measures. Zbl 1122.91341 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe 31 2004 all cited Publications top 5 cited Publications all top 5 Cited by 561 Authors 23 Laeven, Roger J. A. 13 Yang, Yang 8 Stadje, Mitja 7 Balbás, Alejandro 7 Furman, Edward 7 Goovaerts, Marc J. 7 Sordo, Miguel Ángel 6 Cheung, Ka Chun 6 Rosazza Gianin, Emanuela 6 Siu, Tak Kuen 5 Balbás, Beatriz 5 Chen, Yiqing 5 Dhaene, Jan 5 Li, Xiaohu 5 Wang, Ruodu 5 Yuen, Kam Chuen 4 Balbás, Raquel 4 Bellini, Fabio 4 Einmahl, John H. J. 4 Hainaut, Donatien 4 Kaas, Rob 4 Mao, Tiantian 4 Suarez-Llorens, Alfonso 4 Svindland, Gregor 4 Tang, Qihe 4 Tsanakas, Andreas 4 Vanduffel, Steven 4 You, Yinping 4 Zhang, Yiying 3 Bernard, Carole L. 3 Can, Sami Umut 3 Cheng, Dongya 3 Embrechts, Paul 3 Hu, Taizhong 3 Ikefuji, Masako 3 Kałuszka, Marek 3 Madan, Dilip B. 3 Magnus, Jan R. 3 Pelsser, Antoon A. J. 3 Peng, Liang 3 Pistorius, Martijn R. 3 Rüschendorf, Ludger 3 Sarabia, José María 3 Shen, Xinmei 3 Wang, Yuebao 3 Yam, Sheung Chi Phillip 3 Yang, Jingping 3 Zhang, Yi 3 Zitikis, Ričardas 2 Asimit, Alexandru V. 2 Bignozzi, Valeria 2 Castaño-Martínez, Antonia 2 Chen, Shaoying 2 Chen, Yu 2 Chong, Wing Fung 2 Chudziak, Jacek 2 Cominetti, Roberto 2 Cornilly, Dries 2 Corradi, Valentina 2 Cossette, Hélène 2 Dassios, Angelos 2 Durante, Fabrizio 2 Elliott, Robert James 2 Gao, Fuqing 2 Gao, Niushan 2 Ghossoub, Mario 2 Girard, Stéphane 2 Godin, Frédéric 2 Guillen, Montserrat 2 Hashorva, Enkelejd 2 Jin, Xing 2 Jin, Zhuo 2 Källblad, Sigrid 2 Kamiya, Shinichi 2 Kim, Joseph Hyun Tae 2 Krzeszowiec, Michał 2 Kupper, Michael 2 Lai, Van Son 2 Landsman, Zinoviy M. 2 Li, Jinzhu 2 Li, Shuanming 2 Linders, Daniël 2 Liu, Haiyan 2 Liu, Jingzhen 2 Marceau, Étienne 2 Mayoral, Silvia 2 Mazo, Gildas 2 Moresco, Marlon Ruoso 2 Munari, Cosimo 2 Muris, Chris 2 Papapantoleon, Antonis 2 Pflug, Georg Ch. 2 Pigueiras, Gema 2 Prieto, Faustino 2 Psarrakos, Georgios 2 Puccetti, Giovanni 2 Righi, Marcelo Brutti 2 Salahnejhad Ghalehjooghi, Ahmad 2 Shen, Yang 2 Su, Jianxi ...and 461 more Authors all top 5 Cited in 74 Serials 130 Insurance Mathematics & Economics 15 Journal of Computational and Applied Mathematics 13 European Journal of Operational Research 9 Journal of Econometrics 8 ASTIN Bulletin 7 Communications in Statistics. Theory and Methods 6 Finance and Stochastics 6 Methodology and Computing in Applied Probability 6 Scandinavian Actuarial Journal 5 Mathematics of Operations Research 5 Statistics & Probability Letters 5 Quantitative Finance 5 North American Actuarial Journal 5 European Actuarial Journal 4 Advances in Applied Probability 4 Annals of Operations Research 4 Extremes 4 SIAM Journal on Financial Mathematics 3 Lithuanian Mathematical Journal 3 Journal of Applied Probability 3 Stochastic Analysis and Applications 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Economic Dynamics & Control 3 Bernoulli 3 Mathematics and Financial Economics 2 Journal of Mathematical Analysis and Applications 2 The Annals of Statistics 2 Journal of the American Statistical Association 2 Journal of Multivariate Analysis 2 Operations Research 2 Theory and Decision 2 Stochastic Processes and their Applications 2 Complexity 2 International Journal of Theoretical and Applied Finance 2 CEJOR. Central European Journal of Operations Research 2 Probability in the Engineering and Informational Sciences 2 Decisions in Economics and Finance 2 Stochastic Models 2 Journal of Industrial and Management Optimization 2 Science China. Mathematics 2 Annals of Finance 2 Statistics & Risk Modeling 1 Computers & Mathematics with Applications 1 Metrika 1 Applied Mathematics and Computation 1 Journal of Optimization Theory and Applications 1 Mathematics and Computers in Simulation 1 SIAM Journal on Control and Optimization 1 Acta Mathematicae Applicatae Sinica 1 Statistics 1 Journal of Economics 1 Econometric Reviews 1 The Annals of Applied Probability 1 Communications in Statistics. Simulation and Computation 1 SIAM Review 1 Mathematical Programming. Series A. Series B 1 Applied Mathematics. Series B (English Edition) 1 Electronic Journal of Probability 1 International Transactions in Operational Research 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Discrete Dynamics in Nature and Society 1 Brazilian Journal of Probability and Statistics 1 The ANZIAM Journal 1 Nonlinear Analysis. Modelling and Control 1 Journal of Systems Science and Complexity 1 Stochastics 1 Electronic Journal of Statistics 1 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 1 Journal of Business and Economic Statistics 1 Bayesian Analysis 1 Communications in Mathematics and Statistics 1 Dependence Modeling 1 Transactions of A. Razmadze Mathematical Institute all top 5 Cited in 23 Fields 270 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 133 Statistics (62-XX) 115 Probability theory and stochastic processes (60-XX) 26 Operations research, mathematical programming (90-XX) 13 Systems theory; control (93-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 8 Numerical analysis (65-XX) 5 Computer science (68-XX) 4 Functional analysis (46-XX) 2 Measure and integration (28-XX) 2 Difference and functional equations (39-XX) 2 Integral transforms, operational calculus (44-XX) 2 Geophysics (86-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year