Roger J. A. Laeven : Citation Profile

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

16

H index

22

i10 index

940

Citations

RESEARCH PRODUCTION:

41

Articles

51

Papers

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 44
   Journals where Roger J. A. Laeven has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 57 (5.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla400
   Updated: 2026-02-07    RAS profile: 2025-08-10    
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Relations with other researchers

Works with:

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)

Moresco, Marlon (13)

Mierzejewski, Fernando (12)

Guillen, Montserrat (10)

Goutte, Stéphane (10)

Siu, Tak Kuen (9)

Vanduffel, Steven (9)

Dhaene, Jan (7)

Forbes, Catherine (7)

Neely, Christopher (7)

Cites to:

Dhaene, Jan (39)

Marinacci, Massimo (36)

EECKHOUDT, LOUIS (29)

Gilboa, Itzhak (27)

Maccheroni, Fabio (25)

Chateauneuf, Alain (22)

Rustichini, Aldo (20)

Strzalecki, Tomasz (17)

Kahneman, Daniel (15)

Duffie, Darrell (15)

Epstein, Larry (15)

Main data

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.org22
Tinbergen Institute Discussion Papers / Tinbergen Institute6

Recent works citing Roger J. A. Laeven (2026 and 2025)

YearTitle of citing document
2026Utility maximization under endogenous pricing. (2024). Nguyen, Thai ; Stadje, Mitja. In: Papers. RePEc:arx:papers:2005.04312.

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

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

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

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2025Intergenerational Equitable Climate Change Mitigation: Negative Effects of Stochastic Interest Rates; Positive Effects of Financing. (2024). Fries, Christian ; Quante, Lennart. In: Papers. RePEc:arx:papers:2312.07614.

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2024Cash non-additive risk measures: horizon risk and generalized entropy. (2024). di Nunno, Giulia ; Gianin, Emanuela Rosazza. In: Papers. RePEc:arx:papers:2401.14443.

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2025Partial Law Invariance and Risk Measures. (2024). van Oosten, Zachary ; Shen, YI ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2401.17265.

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2025Set-valued Star-Shaped Risk Measures. (2025). Tian, Dejian ; Jiang, Long ; 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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2025Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences. (2024). Park, Kyunghyun ; Chen, Kexin ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2406.12305.

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2025Optimal consumption under loss-averse multiplicative habit-formation preferences. (2025). Yu, Xiang ; Yuan, Fengyi ; Angoshtari, Bahman. In: Papers. RePEc:arx:papers:2406.20063.

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2025Risk sharing with Lambda value at risk under heterogeneous beliefs. (2024). Wei, Yunran ; Liu, Peng ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2408.03147.

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2025Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach. (2024). Myrvoll, Tor A ; Matsui, Tomoko ; Shevchenko, Pavel V ; Murakami, Daisuke ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2408.09642.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2025Prudence 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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2025HedgeAgents: A Balanced-aware Multi-agent Financial Trading System. (2025). Li, Xiangyu ; Xing, Xiaofen ; Zeng, Yawen ; Xu, Xiangmin. In: Papers. RePEc:arx:papers:2502.13165.

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2025Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

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2025Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation. (2025). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:2502.13678.

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2025Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs. (2025). Sidorenko, Artur. In: Papers. RePEc:arx:papers:2505.01876.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2026On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025When risk defies order: On the limits of fractional stochastic dominance. (2025). Liebrich, Felix-Benedikt ; Laudag, Christian. In: Papers. RePEc:arx:papers:2509.24747.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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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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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Mind your language: Market responses to central bank speeches. (2025). Neely, Christopher ; Yang, Xiye ; Ahrens, Maximilian ; Erdemlioglu, Deniz ; McMahon, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002720.

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

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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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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2025Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment. (2025). Shen, Yang ; Dominic, Len Patrick. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:693-712.

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

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

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2024Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

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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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2024Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2025Pricing insurance contracts with an existing portfolio as background risk. (2025). de Vecchi, Corrado ; Scherer, Matthias. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:180-193.

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2025The principle of a single big jump from the perspective of tail moment risk measure. (2025). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000654.

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2025Cutting VAT rate on food products in a high-inflation environment. Does it work out?. (2025). Olipra, Jakub ; Jaworski, Krystian. In: Food Policy. RePEc:eee:jfpoli:v:131:y:2025:i:c:s030691922500020x.

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2025Measuring and testing tail equivalence. (2025). Koike, Takaaki ; Yoshiba, Toshinao ; Kato, Shogo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:209:y:2025:i:c:s0047259x25000557.

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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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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2025Modelling Insurance Claims During Financial Crises: A Systemic Approach. (2025). Mar, Eben ; Agana, Francis. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:6:p:307-:d:1672343.

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2025Risk Measure Examination for Large Losses. (2025). Yamashita, Miwaka. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1974-:d:1679513.

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2025Conditional Coherent and Convex Risk Measures Under Uncertainty. (2025). Hu, Yijun ; Gong, Shuo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1403-:d:1642231.

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2024Sustainable Energy Safety Management Utilizing an Industry-Relative Assessment of Enterprise Equipment Technical Condition. (2024). Koval, Viktor ; Palii, Svitlana ; Prokopenko, Olha ; Shmygol, Nadiia ; Cioca, Lucian-Ionel ; Filipishyna, Liliya ; Hrinchenko, Hanna. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:2:p:771-:d:1320156.

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2025Improving Price Generation: A Novel Agent-Based Model for Capturing Persistent Jumps in Asset Prices. (2025). Song, Shijia ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10724-z.

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2025Life at the brink: Livelihood portfolios of the food insecure. (2025). Martin, Vance L ; Leroux, Anke D. In: Monash Economics Working Papers. RePEc:mos:moswps:2025-11.

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2025Portfolio choice under loss aversion and diminishing sensitivity: a theoretical extension. (2025). Nguyen, Duc Khuong ; Xiong, Xiong ; Wang, Hongxia ; Dai, Peng-Fei. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-022-05081-9.

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2025Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938–9 November 2023). (2025). Chen, Jing. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00661-7.

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2025The complex nature of financial market microstructure: the case of a stock market crash. (2025). Booth, Geoffrey G ; Broussard, John Paul ; Shi, Feng. 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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2025Probabilistic risk aversion for generalized rank-dependent functions. (2025). Wu, Qinyu ; Wang, Ruodu. In: Economic Theory. RePEc:spr:joecth:v:79:y:2025:i:3:d:10.1007_s00199-024-01610-8.

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2025A fractional Hawkes process for illiquidity modeling. (2025). Dupret, Jean-Loup ; Hainaut, Donatien. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:1:d:10.1007_s11579-024-00379-7.

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2025Set-valued star-shaped risk measures. (2025). Jiang, Long ; Nie, Bingchu ; Tian, Dejian. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00384-4.

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2025Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes. (2025). Tardelli, Paola ; Pasricha, Puneet ; Selvamuthu, Dharmaraja. In: OPSEARCH. RePEc:spr:opsear:v:62:y:2025:i:2:d:10.1007_s12597-024-00830-9.

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2025Analytically Pricing Variance Swaps Under the Hawkes Jump‐Diffusion Process With Liquidity Risks. (2025). Zhang, Hongyu ; Wang, Yangyang ; Guo, Xunxiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1388-1408.

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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]		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]		paper3
2022Dual Moments and Risk Attitudes.(2022) In: Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2017Risk Apportionment: The Dual Story In: Papers.
[Full Text][Citation analysis]		paper7
2020Risk apportionment: The dual story.(2020) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
[Full Text][Citation analysis]		paper19
2022Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		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.
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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]		paper4
2023Law-Invariant Return and Star-Shaped Risk Measures In: Papers.
[Full Text][Citation analysis]		paper6
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: 6		article
2025A 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]		paper1
2025Geometric 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]		paper1
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
2026Measuring Financial Resilience Using Backward Stochastic Differential Equations In: Papers.
[Full Text][Citation analysis]		paper0
2025Generalized Orlicz premia 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]		article37
2019Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper5
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: 5		article
2020Consumption and Portfolio Choice under Internal Multiplicative Habit Formation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article4
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]		article62
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2020Expected utility and catastrophic risk in a stochastic economy–climate model In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Discussion Paper.
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This paper has nother version. Agregated cites: 24		paper
2010Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model.(2010) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 24		paper
2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article46
2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article34
2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 34		paper
2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article40
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]		article6
2009Worst VaR scenarios with given marginals and measures of association In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article21
2009Worst VaR scenarios: A remark In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2010Decision principles derived from risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article34
2011Worst case risk measurement: Back to the future? In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
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]		article10
2020Dynamic consumption and portfolio choice under prospect theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article309
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 309		paper
2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level In: Management Science.
[Full Text][Citation analysis]		article21
2013Entropy Coherent and Entropy Convex Measures of Risk In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article14
2014Robust Portfolio Choice and Indifference Valuation In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article31
2018Optimal Stopping Under Uncertainty in Drift and Jump Intensity In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article2
2025Robust Multiple Stopping—A Duality Approach In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article0
2025Robust multiple stopping — A duality approach.(2025) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2013Pareto utility In: Theory and Decision.
[Full Text][Citation analysis]		article8
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article36
2022Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article5
2018Earthquake risk embedded in property prices: Evidence from five Japanese cities.(2018) In: Tinbergen Institute Discussion Papers.
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2024Two-Sample Testing for Tail Copulas with an Application to Equity Indices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Discussion Paper.
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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices.(2021) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 2		paper
2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance In: Scandinavian Actuarial Journal.
[Full Text][Citation analysis]		article2
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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2023Localizing Strictly Proper Scoring Rules In: Tinbergen Institute Discussion Papers.
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2025Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
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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This paper has nother version. Agregated cites: 8		paper
2014Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas In: Discussion Paper.
[Full Text][Citation analysis]		paper0
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 In: Discussion Paper.
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2010Scrap Value Functions in Dynamic Decision Problems.(2010) In: Other publications TiSEM.
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2024Higher-Order Risk Attitudes for Non-Expected Utility In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2024Higher-Order Risk Attitudes for Non-Expected Utility.(2024) In: Other publications TiSEM.
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2010Burr Utility In: Discussion Paper.
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2010Burr Utility.(2010) In: Other publications TiSEM.
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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas In: Discussion Paper.
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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas.(2017) In: Other publications TiSEM.
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2020Goodness-of-fit testing for copulas: A distribution-free approach In: Other publications TiSEM.
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2011Liquidity premium in Solvency II In: Other publications TiSEM.
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