Roger J. A. Laeven : Citation Profile

Universiteit van Tilburg (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)
Universiteit van Amsterdam (20% share)

15

H index

20

i10 index

900

Citations

RESEARCH PRODUCTION:

40

Articles

48

Papers

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 42
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 54 (5.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2025-03-15    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Einmahl, John (2)

Ikefuji, Masako (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Roger J. A. Laeven.

Is cited by:

Ben Amar, Amine (14)

Righi, Marcelo (13)

Mierzejewski, Fernando (12)

Guillen, Montserrat (10)

Goutte, Stéphane (10)

Vanduffel, Steven (9)

Dhaene, Jan (7)

Forbes, Catherine (7)

Siu, Tak Kuen (7)

Linders, Daniël (6)

Neely, Christopher (6)

Cites to:

Dhaene, Jan (38)

Marinacci, Massimo (36)

Gilboa, Itzhak (29)

EECKHOUDT, LOUIS (27)

Maccheroni, Fabio (25)

Chateauneuf, Alain (21)

Rustichini, Aldo (20)

Strzalecki, Tomasz (16)

Epstein, Larry (15)

merton, robert (15)

Duffie, Darrell (15)

Main data

Production by document typearticlepaper2004200520062007200820092010201120122013201420152016201720182019202020212022202320242025051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 15Most cited documents12345678910111213141516170200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250305101520h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Roger J. A. Laeven has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics17
Journal of Econometrics5
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org20
Tinbergen Institute Discussion Papers / Tinbergen Institute5

Recent works citing Roger J. A. Laeven (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312.

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2024Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2024Monotone additive statistics. (2021). Strack, Philipp ; Mu, Xiaosheng ; Tamuz, Omer ; Pomatto, Luciano. In: Papers. RePEc:arx:papers:2102.00618.

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2024Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. (2021). Zhang, Qinyi ; Yu, Xiang ; Li, Xun . In: Papers. RePEc:arx:papers:2108.02648.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2025Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2024Monotonic mean-deviation risk measures. (2023). Wang, Ruodu ; Han, Xia ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2312.01034.

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2024Accounting for Financing Risks improves Intergenerational Equity of Climate Change Mitigation. (2023). Quante, Lennart ; Fries, Christian P. In: Papers. RePEc:arx:papers:2312.07614.

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2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2024Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024A note on continuity and consistency of measures of risk and variability. (2024). Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:2405.09766.

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2024Comparisons of multivariate contribution measures of risk contagion and their applications in cryptocurrency market. (2024). Pu, Tong ; Li, Junxue ; Wen, Limin ; Zhang, Yiying. In: Papers. RePEc:arx:papers:2411.13384.

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2024Option Pricing with a Compound CARMA(p,q)-Hawkes. (2024). Perchiazzo, Andrea ; Mercuri, Lorenzo ; Rroji, Edit. In: Papers. RePEc:arx:papers:2412.15172.

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2024Prudence and higher-order risk attitudes in the rank-dependent utility model. (2024). Wu, Qinyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2412.15350.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025Higher-Order Ambiguity Attitudes. (2025). Aygun, Mucahit ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2501.13143.

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2025Robust Optimization of Rank-Dependent Models with Uncertain Probabilities. (2025). Jin, Guanyu ; den Hertog, Dick. In: Papers. RePEc:arx:papers:2502.11780.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024.

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2024Political Economy of Climate Change Adaptation - Loss of Habitat and Rising Inequality. (2024). van der Ploeg, Frederick (Rick) ; Perotti, Enrico ; van der Straten, Yasmine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10961.

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2024Assessing fluctuations of long-memory environmental variables based on the robustified dynamic Orlicz risk. (2024). Yoshioka, Yumi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077923012389.

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2024Modeling stationary, periodic, and long memory processes by superposed jump-driven processes. (2024). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924009093.

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2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

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2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2024A gentle introduction to matrix calculus. (2024). Magnus, Jan R. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002070.

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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2025Time-consistent asset allocation for risk measures in a Lévy market. (2025). Stadje, Mitja ; Fiessinger, Felix. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:676-695.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Optimal dividend policy with self-exciting claims in the Gamma–Omega model. (2024). Jin, Zhuo ; Liu, Guo. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011917.

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2024Optimal annuitization and asset allocation under linear habit formation. (2024). Ma, Xingjian ; Liang, Zongxia ; Guan, Guohui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:176-191.

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2024Probability equivalent level for CoVaR and VaR. (2024). Suarez-Llorens, Alfonso ; Sordo, Miguel A ; Pellerey, Franco ; Ortega-Jimenez, Patricia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26.

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2024Random distortion risk measures. (2024). Yang, Jingping ; Xia, Chenxi ; Jiang, Fan ; Zang, Xin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:51-73.

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2024Stochastic orders and distortion risk contribution ratio measures. (2024). Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:104-122.

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2024Are reference measures of law-invariant functionals unique?. (2024). Liebrich, Felix-Benedikt. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:129-141.

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2024Comparing and quantifying tail dependence. (2024). Siburg, Karl Friedrich ; Weiss, Gregor ; Strothmann, Christopher. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:95-103.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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2024Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500. (2024). Bouri, Elie ; Zhang, Lei ; Chen, Yan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000709.

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2024Financial technology and ESG market: A wavelet-DCC GARCH approach. (2024). Shrestha, Keshab ; Naysary, Babak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002599.

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2024Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271.

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2024A mean field game approach to equilibrium consumption under external habit formation. (2024). Yu, Xiang ; Wang, Shihua ; Bo, Lijun. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001674.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2025Multivariate Hawkes process allowing for common shocks. (2025). Zhang, Zhehao ; Xing, Ruina. In: Statistics & Probability Letters. RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002396.

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2024Mind Your Language: Market Responses to Central Bank Speeches. (2023). Yang, Xiye ; Neely, Christopher J ; McMahon, Michael ; Erdemlioglu, Deniz ; Ahrens, Maximilian. In: Working Papers. RePEc:fip:fedlwp:96270.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2024.

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2024Quantum Majorization in Market Crash Prediction. (2024). Souto, Luis A ; Montana, Rhet J ; Oosterlee, Cornelis W ; Cirillo, Pasquale. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:204-:d:1545469.

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2024Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence. (2024). Ben Amar, Amine ; Boubrahimi, Nabil ; Bellalah, Makram ; Dkhissi, Ilham ; Hasnaoui, Amir. In: Post-Print. RePEc:hal:journl:hal-04643053.

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2024Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework. (2024). Geiger, Gebhard. In: Annals of Operations Research. RePEc:spr:annopr:v:343:y:2024:i:1:d:10.1007_s10479-024-06259-z.

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2024Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej ; Nagy, Odett. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1.

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2025The complex nature of financial market microstructure: the case of a stock market crash. (2025). Broussard, John Paul ; Shi, Feng ; Booth, Geoffrey G. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:1:d:10.1007_s11403-021-00343-4.

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Works by Roger J. A. Laeven:

Year  ↓Title  ↓Type  ↓Cited  ↓
2015Risk Aversion in the Small and in the Large under Rank-Dependent Utility In: Papers.
[Full Text][Citation analysis]		paper1
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
[Full Text][Citation analysis]		paper4
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2018Dual Moments and Risk Attitudes In: Papers.
[Full Text][Citation analysis]		paper2
2022Dual Moments and Risk Attitudes.(2022) In: Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]		paper9
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]		paper17
2022Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2021Robust Multiple Stopping -- A Pathwise Duality Approach In: Papers.
[Full Text][Citation analysis]		paper0
2021Probability Premium and Attitude Towards Probability In: Papers.
[Full Text][Citation analysis]		paper0
2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes In: Papers.
[Full Text][Citation analysis]		paper0
2021Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2022Quasi-Logconvex Measures of Risk In: Papers.
[Full Text][Citation analysis]		paper0
2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation In: Papers.
[Full Text][Citation analysis]		paper1
2024Estimating option pricing models using a characteristic function-based linear state space representation.(2024) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2022Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation.(2022) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Elicitability of Return Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2023Dynamic Return and Star-Shaped Risk Measures via BSDEs In: Papers.
[Full Text][Citation analysis]		paper5
2023Law-Invariant Return and Star-Shaped Risk Measures In: Papers.
[Full Text][Citation analysis]		paper4
2024Law-invariant return and star-shaped risk measures.(2024) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2024A Rank-Dependent Theory for Decision under Risk and Ambiguity In: Papers.
[Full Text][Citation analysis]		paper0
2024On Geometrically Convex Risk Measures In: Papers.
[Full Text][Citation analysis]		paper0
2024Geometric BSDEs In: Papers.
[Full Text][Citation analysis]		paper0
2024Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $\phi$-Divergences Approach to Combat Tail Uncertainty In: Papers.
[Full Text][Citation analysis]		paper0
2025Higher-Order Ambiguity Attitudes In: Papers.
[Full Text][Citation analysis]		paper0
2025Robust Optimization of Rank-Dependent Models with Uncertain Probabilities In: Papers.
[Full Text][Citation analysis]		paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article26
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article36
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper4
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2020Consumption and Portfolio Choice under Internal Multiplicative Habit Formation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2011Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model In: ISER Discussion Paper.
[Full Text][Citation analysis]		paper4
2015The probability premium: A graphical representation In: Economics Letters.
[Full Text][Citation analysis]		article3
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article61
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
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2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Other publications TiSEM.
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2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
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2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
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2009Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance In: Insurance: Mathematics and Economics.
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2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
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[Full Text][Citation analysis]		article34
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
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2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
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2015Expected utility and catastrophic consumption risk In: Insurance: Mathematics and Economics.
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2020Dynamic consumption and portfolio choice under prospect theory In: Insurance: Mathematics and Economics.
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2018Earthquake risk embedded in property prices: Evidence from five Japanese cities.(2018) In: Tinbergen Institute Discussion Papers.
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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Discussion Paper.
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2005Managing Economic and Virtual Economic Capital Within Financial Conglomerates In: North American Actuarial Journal.
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2014Expected Utility and Catastrophic Risk In: Tinbergen Institute Discussion Papers.
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2011Entropy Coherent and Entropy Convex Measures of Risk In: Discussion Paper.
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2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Other publications TiSEM.
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2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas.(2014) In: Other publications TiSEM.
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2010Scrap Value Functions in Dynamic Decision Problems.(2010) In: Other publications TiSEM.
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2010Burr Utility.(2010) In: Other publications TiSEM.
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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas.(2017) In: Other publications TiSEM.
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