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Laeven, Roger J. A.

Author ID: laeven.roger-j-a Recent zbMATH articles by "Laeven, Roger J. A."
Published as: Laeven, Roger J. A.; Laeven, R. J. A.; Laeven, Roger; Laevent, Roger J. A.
External Links: MGP

Publications by Year

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 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

Citations by Year