Roger J. A. Laeven : Citation Profile


Are you Roger J. A. Laeven?

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

12

H index

13

i10 index

500

Citations

RESEARCH PRODUCTION:

29

Articles

21

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 31
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 30 (5.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2020-10-17    RAS profile: 2020-06-22    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

EECKHOUDT, LOUIS (4)

Magnus, Jan (3)

Yang, Xiye (2)

Einmahl, John (2)

Ait-Sahalia, Yacine (2)

Muris, Chris (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:

Guillen, Montserrat (10)

Goovaerts, Marc (8)

Dhaene, Jan (7)

Linders, Daniël (6)

Merigó, José M. (6)

Comerford, David (5)

Swanson, Norman (5)

Kalnina, Ilze (5)

Gzyl, Henryk (5)

Masih, Abul (5)

Mayoral, Silvia (4)

Cites to:

Goovaerts, Marc (76)

Dhaene, Jan (37)

Schmeidler, David (28)

Chateauneuf, Alain (25)

Gilboa, Itzhak (18)

EECKHOUDT, LOUIS (14)

merton, robert (12)

Marinacci, Massimo (12)

Ait-Sahalia, Yacine (11)

Magnus, Jan (11)

Quiggin, John (10)

Main data


Where Roger J. A. Laeven has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics15
Journal of Econometrics4
Mathematics of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6
Tinbergen Institute Discussion Papers / Tinbergen Institute3

Recent works citing Roger J. A. Laeven (2020 and 2019)


YearTitle of citing document
2019A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

Full description at Econpapers || Download paper

2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

Full description at Econpapers || Download paper

2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

Full description at Econpapers || Download paper

2020Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

Full description at Econpapers || Download paper

2020Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

Full description at Econpapers || Download paper

2020Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

Full description at Econpapers || Download paper

2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

Full description at Econpapers || Download paper

2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

Full description at Econpapers || Download paper

2019Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

Full description at Econpapers || Download paper

2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

Full description at Econpapers || Download paper

2019Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Papers. RePEc:arx:papers:1912.06426.

Full description at Econpapers || Download paper

2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

Full description at Econpapers || Download paper

2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

Full description at Econpapers || Download paper

2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

Full description at Econpapers || Download paper

2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

Full description at Econpapers || Download paper

2020Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686.

Full description at Econpapers || Download paper

2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

Full description at Econpapers || Download paper

2020A Bivariate Compound Dynamic Contagion Process for Cyber Insurance. (2020). Jang, Jiwook ; Oh, Rosy. In: Papers. RePEc:arx:papers:2007.04758.

Full description at Econpapers || Download paper

2020Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

Full description at Econpapers || Download paper

2020On linear combination of generalized logistic random variables with an application to financial returns. (2020). Genc, Murat ; Mijanovi, Andjela ; Popovi, Boidar V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:381:y:2020:i:c:s0096300320302800.

Full description at Econpapers || Download paper

2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

Full description at Econpapers || Download paper

2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

Full description at Econpapers || Download paper

2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

Full description at Econpapers || Download paper

2019Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?. (2019). Racicot, François-Éric ; Mesly, Olivier ; Chkir, Imed. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:11-31.

Full description at Econpapers || Download paper

2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

Full description at Econpapers || Download paper

2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

Full description at Econpapers || Download paper

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

Full description at Econpapers || Download paper

2020The dynamic factor network model with an application to international trade. (2020). Koopman, Siem Jan ; Brauning, Falk. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:494-515.

Full description at Econpapers || Download paper

2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

Full description at Econpapers || Download paper

2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

Full description at Econpapers || Download paper

2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

Full description at Econpapers || Download paper

2020Entropy based risk measures. (2020). Schlotter, Ruben ; Pichler, Alois. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:223-236.

Full description at Econpapers || Download paper

2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

Full description at Econpapers || Download paper

2020Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits. (2020). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70.

Full description at Econpapers || Download paper

2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

Full description at Econpapers || Download paper

2019How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244.

Full description at Econpapers || Download paper

2019Budget-constrained optimal insurance without the nonnegativity constraint on indemnities. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:22-39.

Full description at Econpapers || Download paper

2019An optimization approach to adaptive multi-dimensional capital management. (2019). Delsing, G A ; Winands, E. M. M., ; Spreij, P. J. C., ; Mandjes, M. R. H., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:87-97.

Full description at Econpapers || Download paper

2019Optimal initial capital induced by the optimized certainty equivalent. (2019). Nishide, Katsumasa ; Asano, Takao ; Arai, Takuji. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125.

Full description at Econpapers || Download paper

2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

Full description at Econpapers || Download paper

2019Mean-risk portfolio management with bankruptcy prohibition. (2019). Zeng, J ; Yam, S. C. P., ; Wong, K C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:153-172.

Full description at Econpapers || Download paper

2019Analysis of risk bounds in partially specified additive factor models. (2019). Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:115-121.

Full description at Econpapers || Download paper

2019Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. (2019). Kim, So-Yeun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:145-157.

Full description at Econpapers || Download paper

2019On a family of risk measures based on proportional hazards models and tail probabilities. (2019). Sordo, Miguel A ; Psarrakos, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:232-240.

Full description at Econpapers || Download paper

2019Dynamic risk measures for processes via backward stochastic differential equations. (2019). Wang, Shijie ; Shi, Xuejun ; Ji, Ronglin ; Zhou, Jinming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:43-50.

Full description at Econpapers || Download paper

2019Risk-adjusted Bowley reinsurance under distorted probabilities. (2019). Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:64-72.

Full description at Econpapers || Download paper

2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

Full description at Econpapers || Download paper

2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

Full description at Econpapers || Download paper

2019Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142.

Full description at Econpapers || Download paper

2019Optimal robust insurance with a finite uncertainty set. (2019). Hu, Junlei ; Asimit, Alexandru V ; Xie, Yuantao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:67-81.

Full description at Econpapers || Download paper

2019Stochastic ordering of Gini indexes for multivariate elliptical risks. (2019). Kim, Jeongsim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:151-158.

Full description at Econpapers || Download paper

2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:159-180.

Full description at Econpapers || Download paper

2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory. (2019). Barigou, Karim ; Dhaene, Jan ; Delong, Ukasz. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:196-208.

Full description at Econpapers || Download paper

2019Optimal XL-insurance under Wasserstein-type ambiguity. (2019). Ch, Georg ; Birghila, Corina. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:30-43.

Full description at Econpapers || Download paper

2019Budget-constrained optimal insurance with belief heterogeneity. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:79-91.

Full description at Econpapers || Download paper

2020Copula-based Markov process. (2020). Fang, Jun ; Yang, Jingping ; Liu, Yong ; Jiang, Fan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:166-187.

Full description at Econpapers || Download paper

2020On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69.

Full description at Econpapers || Download paper

2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

Full description at Econpapers || Download paper

2020Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261.

Full description at Econpapers || Download paper

2020The participation puzzle with reference-dependent expected utility preferences. (2020). Neilson, William ; Liu, Liqun ; Wang, Jianli. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:278-287.

Full description at Econpapers || Download paper

2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

Full description at Econpapers || Download paper

2019Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115.

Full description at Econpapers || Download paper

2019Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

Full description at Econpapers || Download paper

2019Financial contagion and economic development: An epidemiological approach. (2019). Bucci, Alberto ; Marsiglio, Simone ; Liuzzi, Danilo ; la Torre, Davide. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:211-228.

Full description at Econpapers || Download paper

2020Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265.

Full description at Econpapers || Download paper

2019Do idiosyncratic jumps matter?. (2019). Zekhnini, Morad ; Kapadia, Nishad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:666-692.

Full description at Econpapers || Download paper

2020Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims. (2020). Madadi, Mohsen ; Rezapour, Mohsen ; Tata, Mahbanoo ; Ariyafar, Saeed. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19304841.

Full description at Econpapers || Download paper

2019I shouldn’t eat this donut: Self-control, body weight, and health in a life cycle model. (2019). Strulik, Holger. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:14:y:2019:i:c:s2212828x18300707.

Full description at Econpapers || Download paper

2020Does foreign portfolio investment strengthen stock-commodity markets connection?. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719303617.

Full description at Econpapers || Download paper

2019Aristotle vs. Ringelmann: On superlinear production in open source software. (2019). Sornette, Didier ; Maillart, Thomas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:964-972.

Full description at Econpapers || Download paper

2019A jump model for credit default swaps with hierarchical clustering. (2019). Zeitsch, Peter J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:737-775.

Full description at Econpapers || Download paper

2020Pricing and hedging foreign equity options under Hawkes jump–diffusion processes. (2020). Xu, Weidong ; Shrestha, Keshab ; Pan, Dongtao ; Ma, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315110.

Full description at Econpapers || Download paper

2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

Full description at Econpapers || Download paper

2020Investment and financing for SMEs with bank-tax interaction and public-private partnerships. (2020). Luo, Pengfei ; Chen, Biao ; Song, Dandan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:163-172.

Full description at Econpapers || Download paper

2019Change-point inference on volatility in noisy Itô semimartingales. (2019). Madensoy, Mehmet ; Bibinger, Markus. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:12:p:4878-4925.

Full description at Econpapers || Download paper

2019Estimation of the stochastic leverage effect using the Fourier transform method. (2019). Curato, Imma Valentina. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3207-3238.

Full description at Econpapers || Download paper

2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

Full description at Econpapers || Download paper

2019A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. (2019). Zhao, Hongbiao ; Jang, Jiwook ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102043.

Full description at Econpapers || Download paper

2020A two-phase dynamic contagion model for Covid-19. (2020). Zhao, Hongbiao ; Surya, Budhi ; Qu, Yan ; Lim, Jia Wei ; Kuan, Valerie ; Dassios, Angelos ; Chen, Zezhun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105064.

Full description at Econpapers || Download paper

2019US Equity Tail Risk and Currency Risk Premia. (2019). Xiao, Xiao ; Londono, Juan M ; Fan, Zhenzhen. In: International Finance Discussion Papers. RePEc:fip:fedgif:1253.

Full description at Econpapers || Download paper

2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

Full description at Econpapers || Download paper

2019A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance. (2019). Zhao, Hongbiao ; Jang, Jiwook ; Dassios, Angelos. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:103-:d:276169.

Full description at Econpapers || Download paper

2020General Compound Hawkes Processes in Limit Order Books. (2020). Huffman, Aiden ; Swishchuk, Anatoliy. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:28-:d:332592.

Full description at Econpapers || Download paper

2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

Full description at Econpapers || Download paper

2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

Full description at Econpapers || Download paper

2019Optimal nuclear liability insurance. (2019). Picard, Pierre ; Louaas, Alexis. In: Working Papers. RePEc:hal:wpaper:hal-01996648.

Full description at Econpapers || Download paper

2020Optimal insurance coverage of low-probability catastrophic risks. (2020). Picard, Pierre ; Louaas, Alexis. In: Working Papers. RePEc:hal:wpaper:hal-02875534.

Full description at Econpapers || Download paper

2019The Pricing of Jump Propagation: Evidence from Spot and Options Markets. (2019). Luo, Dan ; Du, Du. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2360-2387.

Full description at Econpapers || Download paper

2019Dynamic Credit-Collections Optimization. (2019). Weber, Thomas ; Glynn, Peter W ; Chehrazi, Naveed. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2737-2769.

Full description at Econpapers || Download paper

2019Alternative Approaches to Comparative n th-Degree Risk Aversion. (2019). Neilson, William ; Liu, Liqun. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3824-3834.

Full description at Econpapers || Download paper

2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level. (2020). Nijman, Theo E ; van Bilsen, Servaas. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3927-3955.

Full description at Econpapers || Download paper

2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

Full description at Econpapers || Download paper

2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

Full description at Econpapers || Download paper

2020Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate. (2020). Ma, Chaoqun ; Wu, Hui ; Yue, Shengjie. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09929-4.

Full description at Econpapers || Download paper

2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

Full description at Econpapers || Download paper

2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

Full description at Econpapers || Download paper

2020The distortion principle for insurance pricing: properties, identification and robustness. (2020). Escobar, Debora Daniela ; Ch, Georg. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-018-3119-1.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Roger J. A. Laeven:


YearTitleTypeCited
2015Risk Aversion in the Small and in the Large under Rank-Dependent Utility In: Papers.
[Full Text][Citation analysis]
paper0
2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools In: Papers.
[Full Text][Citation analysis]
paper3
2016Robust optimal risk sharing and risk premia in expanding pools.(2016) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2018Dual Moments and Risk Attitudes In: Papers.
[Full Text][Citation analysis]
paper1
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]
paper2
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]
paper1
2020Robust Multiple Stopping -- A Pathwise Duality Approach In: Papers.
[Full Text][Citation analysis]
paper0
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article19
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]
article24
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2020Dependent microstructure noise and integrated volatility estimation from high-frequency data.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2011Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model In: ISER Discussion Paper.
[Full Text][Citation analysis]
paper2
2015The probability premium: A graphical representation In: Economics Letters.
[Full Text][Citation analysis]
article1
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]
article36
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article35
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article25
2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article8
2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article34
2009Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article5
2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article15
2009Worst VaR scenarios: A remark In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article5
2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2010Decision principles derived from risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article24
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2012A note on weighted premium calculation principles In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2013Optimal dividends and ALM under unhedgeable risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2015Expected utility and catastrophic consumption risk In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article6
2020Dynamic consumption and portfolio choice under prospect theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article2
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]
article167
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 167
paper
2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article11
2011Entropy Coherent and Entropy Convex Measures of Risk.(2011) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
[Full Text][Citation analysis]
article16
2013Pareto utility In: Theory and Decision.
[Full Text][Citation analysis]
article7
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article16
2005Managing Economic and Virtual Economic Capital Within Financial Conglomerates In: North American Actuarial Journal.
[Full Text][Citation analysis]
article2
2014Expected Utility and Catastrophic Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper3
2018Earthquake risk embedded in property prices: Evidence from five Japanese cities In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2010Scrap Value Functions in Dynamic Decision Problems In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2010Burr Utility In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas In: Discussion Paper.
[Full Text][Citation analysis]
paper0
2020Goodness-of-fit testing for copulas: A distribution-free approach In: Other publications TiSEM.
[Full Text][Citation analysis]
paper0
2011Liquidity premium in Solvency II In: Other publications TiSEM.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team