"Fascinated by risk. Aims at developing: (i) probabilistic models and statistical & econometric methods to assess 21st-century insurance and financial, environmental, and technological risks; and (ii) measures & decision theories to economically evaluate and optimally manage them."

Contact and Coordinates: Full Details

Prof. dr. Roger J. A. Laeven 
University of Amsterdam
Faculty of Economics and Business
Amsterdam School of Economics
Department of Quantitative Economics 
Email: R.J.A.Laeven "AT" uva.nl
Webpage: https://www.rogerlaeven.nl/

Visiting Address:

Roetersstraat 11
1018 WB Amsterdam 
The Netherlands
Room:  E 4.23
Map: https://goo.gl/RS4bhR
Phone (S): +31 20 525 4252

Postal Address:

PO Box 15867
1001 NJ Amsterdam

I am visiting Princeton University from January to August 2007, November to December 2007, April to May 2008, in April 2009, February 2010, November 2010, January 2011, August 2011, October 2011, January 2012, August 2012, October 2012, February 2013, May 2013, August 2013, August 2014, August 2015, April 2016, April 2017, April 2018, April 2019, May 2019, March 2023 and April 2023:

Address:

Princeton University  
Bendheim Center for Finance  
Julis Romo Rabinowitz Building   
Princeton NJ, 08544, United States  

Expertise

Prof. dr. Roger J. A. Laeven (1979) has been a Full Professor, Chair of Mathematics and Economics of Risk, at the Department of Quantitative Economics of the University of Amsterdam since 2011. Furthermore, he has been a Visiting Research Professor at Princeton University, Bendheim Center for Finance, since 2007.

He serves as Editor of Insurance: Mathematics and Economics (Elsevier). He is the Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM).

Roger holds an MSc (Fields: Actuarial Science and Econometrics, With highest honors) and a PhD (Fields: Actuarial Science and Econometrics, With highest honors), both from the University of Amsterdam. In 2004, he was a visiting research fellow at the London School of Economics, Department of Statistics. From 2001-2005 he was a part-time consultant for Mercer Oliver Wyman, from 2007-2011 he was a tenured Associate Professor at Tilburg University, and from 2016-2021 he was a part-time Professor of Quantitative Risk Management at KU Leuven.

Selection of Prizes and Awards

Roger's PhD thesis was awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences (KNAW).

In 2006, he was awarded a VENI Grant by the Netherlands Organization for Scientific Research (NWO) for "Measurement of Multivariate Risk in Insurance and Finance"; in 2009 he was awarded a VIDI Grant by NWO for "Econometrics of Contagion in Insurance and Finance"; and in 2020 he was awarded a VICI Grant by NWO for "21st-Century Risks: Tackling the Complex Interplay of Risks in Time and Space".

Other recent research awards and grants include a VvV Grant (Risk and Insurance, 2012-2016), the FBdF Grant 2013/14, the ASX Prize 2014, a VvV Grant (Risk and Regulation, 2017-2021) and a VvV Grant (Risk and Resilience, 2022-2024).

Research

Roger's research spans the fields of Actuarial Science, Mathematical Finance, Probability Theory and Mathematical Statistics, Financial Econometrics, Operations Research, and (Micro) Economic Theory, and has appeared in the top academic journals in all these fields.

His areas of specialization include measurement of risk, decision under uncertainty, risk modeling in time and space and semi-martingale theory, and their ramifications in insurance and finance. His current research interests focus on the mathematics and economics of modern risks, including financial-economic risks, environmental risks, and technological risks.

Academic Ties

Roger is Director of the Risk and Macro Finance Research Focal Area at the University of Amsterdam; holds a courtesy appointment in the Department of Finance of the University of Amsterdam; is Scientific Advisor to Eurandom (Co-Director of the Multivariate Risk Modeling group); and Extramural Fellow of CentER (research groups Econometrics and Finance).

Corporate Ties

The Chair of Mathematics and Economics of Risk that Roger holds is sponsored by the Dutch Association of Insurers.

Other Activities

Roger's expertise has been called for e.g., by the European Systemic Risk Board (ESRB), the European Insurance and Occupational Pensions Authority (EIOPA), the European Parliament (EP), the Dutch Central Bank (DNB), the Dutch Ministry of Finance, the 2014/15 Commissie Verzekeraars and the Dutch Association of Insurers.

Roger has been a selected academic member of the European Insurance and Occupational Pensions Authority's Insurance and Reinsurance Stakeholder Group (IRSG, 1st mandate 2016-2018, 2nd mandate 2018-2020).

He serves on a regular basis as academic advisor to the insurance and financial industry.

Selected Working Papers

[18.] Laeven, Roger J. A. & Mitja Stadje (2024). A rank-dependent theory for decision under risk and ambiguity, Mimeo, University of Amsterdam and University of Ulm.

[17.] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2024). Geometric BSDEs, Mimeo, University of Amsterdam and University of Milano Biccoca.

[16.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2023). Saddlepoint approximations for Hawkes jump-diffusion processes with an application to risk management, Mimeo, Princeton University and University of Amsterdam. [Supplementary Material]

[15.] Aygün, Mücahit, Fabio Bellini & Roger J. A. Laeven (2024). Geometrically convex return risk measures and Orlicz premia, Mimeo, University of Amsterdam and University of Milano Bicocca.
[This paper replaces and substantially expands the first part of an earlier working paper entitled "Elicitability of return risk measures". ]

[14.] de Punder, Ramon F. A., Cees G. H. Diks, Roger J. A. Laeven & Dick J. C. van Dijk (2023). Localizing strictly proper scoring rules, Mimeo, Erasmus University Rotterdam and University of Amsterdam. [Supplementary Material]

[13.] Starreveld, Justin, Guanyu Jin, Dick den Hertog & Roger J. A. Laeven (2023). ROBIST: Robust optimization by iterative scenario sampling and statistical testing, Mimeo, University of Amsterdam.

[12.] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2023). Dynamic return and star-shaped risk measures via BSDEs, Mimeo, University of Amsterdam and University of Milano Biccoca.

[11.] Karim, Raviar S., Roger J. A. Laeven & Michel Mandjes (2023). Compound multivariate Hawkes processes: Large deviations and rare event simulation, Mimeo, University of Amsterdam.

[10.] Boswijk, H. Peter, Roger J. A. Laeven, Andrei Lalu & Evgenii Vladimirov (2023). Jump contagion among stock market indices: Evidence from option markets, Mimeo, University of Amsterdam. [Supplementary Material]

[9.] Aygün, Mücahit, Fabio Bellini & Roger J. A. Laeven (2024). On geometrically convex risk measures, Mimeo, University of Amsterdam and University of Milano Bicocca.

[8.] Eiling, Esther, Frank C. J. M. de Jong, Roger J. A. Laeven & Rob C. Sperna Weiland (2023). Medium-run labor income risk, Mimeo, University of Amsterdam and Tilburg University.

[7.] Laeven, Roger J. A. & Emanuela Rosazza Gianin (2022). Quasi-logconvex measures of risk, Mimeo, University of Amsterdam and University of Milano Bicocca.

[6.] Karim, Raviar S., Roger J. A. Laeven & Michel Mandjes (2021). Exact and asymptotic analysis of general multivariate Hawkes processes and induced population processes, Mimeo, University of Amsterdam.

[5.] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2021). Asymptotic analysis of risk premia induced by law-invariant risk measures, Mimeo, Leibniz University Hannover and University of Amsterdam.

[4.] Sperna Weiland, Rob C., Roger J. A. Laeven & Frank C. J. M. de Jong (2017). Feedback between credit and liquidity risk in the US corporate bond market, Mimeo, University of Amsterdam and Tilburg University.

[3.] Boswijk, H. Peter, Roger J. A. Laeven & Andrei Lalu (2016). Asset returns with self-exciting jumps: Option pricing and estimation with a continuum of moments, Mimeo, University of Amsterdam. [Supplementary Material]

[2.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2021). Probability premium and attitude towards probability, Mimeo, IESEG and University of Amsterdam.

[1.] Laeven, Roger J. A. (2022). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.

Research Supervision

Postdoc
[1.] Mitja Stadje (2009-2010; PhD from Princeton University)
[After his postdoc he took up a position as TT Assistant Professor at Tilburg University; currently Full Professor at Ulm University.]
[2.] Andrea Krajina (2010; PhD from Tilburg University)
[After her postdoc she took up a position as Junior Professor at Göttingen University.]
[3.] Sami Umut Can (2010-2015; PhD from Cornell University)
[After his postdoc he took up a position as TT Assistant Professor at the University of Amsterdam.]
[4.] Mihail Bazhba (2020-2023; PhD from CWI)
[5.] Xingyu Wang (2024-2026; PhD from Northwestern University)

PhD
[1.] Xiye Yang (2012-2014; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Rutgers University.]
[2.] Servaas van Bilsen (2010-2015; with Theo Nijman)
[After his PhD he took up a position as TT Assistant Professor at the University of Amsterdam.]
[3.] Zhenzhen Fan (2011-2016)
[After her PhD she took up a position as TT Assistant Professor at Nankai University.]
[4.] Andrei Lalu (2013-2017; with Peter Boswijk)
[5.] Jitze Hooijsma (2013-2017; with Michel Vellekoop)
[6.] Yuan Yue (2014-2018; with Jan Magnus)
[7.] Rob Sperna Weiland (2014-2018; with Frank de Jong and Peter Spreij)
[8.] Merrick Zhen Li (2015-2018; with Peter Boswijk and Michel Vellekoop)
[After his PhD he took up a position as Postdoctoral Researcher at Cambridge University.]
[9.] Evgenii Vladimirov (2019-2023; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Erasmus University.]
[10.] Raviar Karim (2019-2023; with Michel Mandjes)
[11.] Guanyu Jin (2021-2024; with Dick den Hertog)
[12.] Ramon de Punder (2021-2024; with Cees Diks and Dick van Dijk)
[13.] Mücahit Aygün (2021-2025)
[14.] Josha Dekker (2022-2025; with Michel Vellekoop)
[15.] Niels Marijnen (2022-2025; with Peter Boswijk)
[16.] Marco Zullino (2023-2025; with Emanuela Rosazza Gianin)
[17.] Justin Baars (2023-2027; with Michel Mandjes)

Selected Publications

Financial support from the NWO under grants No. 42511013, VENI-2006, VIDI-2009, VICI-2019/2020, the FBdF under grant 2013/14, and the VvV under grants 2012/16, 2017/21 and 2022/24 is gratefully acknowledged.

A. Edited Volumes

[A.2009.1] Genest, Christian, Hans U. Gerber, Marc J. Goovaerts & Roger J. A. Laeven (Eds.) (2009). Modeling and Measurement of Multivariate Risk in Insurance and Finance, Elsevier.

[A.2021.1] Laeven, Roger J. A., Moshe A. Milevsky, Matthias Scherer, Rudi Zagst & Xun Yu Zhou (Eds.) (2021). Behavioral Insurance: Mathematics and Economics, Elsevier. [Online Version]

[A.2022.1] Feng, Runhuan, Roger J. A. Laeven & X. Sheldon Lin (Eds.) (2022). Emerging Risks and Insurance Technology, Elsevier. [Online Version]

B. Ph.D. Thesis

[B.2005.1] Laeven, Roger J. A. (2005). Essays on Risk Measures and Stochastic Dependence, with Applications to Insurance and Finance, Tinbergen Institute Research Series 360. 
[Awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences for the best PhD thesis in Actuarial Science or Econometrics in the period 2002-2007]

C. Journal Articles

Ordered by year, most recent first.

C.2024

[C.2024.5] Boswijk, H. Peter, Roger J. A. Laeven & Evgenii Vladimirov (2024). Estimating option pricing models using a characteristic function-based linear state space representation, Journal of Econometrics, forthcoming. [Online Version] [Supplementary Material] [GitHub]

[C.2024.4] Bazhba, Mihail, Jose Blanchet, Roger J. A. Laeven & Bert Zwart (2024). Large deviations asymptotics for unbounded additive functionals of diffusion processes, Annales de l'Institut Henri Poincaré, forthcoming.

[C.2024.3] Laeven, Roger J. A., John G. M. Schoenmakers, Nikolaus F. F. Schweizer & Mitja Stadje (2024). Robust multiple stopping --- A duality approach, Mathematics of Operations Research, forthcoming. [Online Version] [Supplementary Material]

[C.2024.2] Laeven, Roger J. A., Emanuela Rosazza Gianin & Marco Zullino (2024). Law-invariant return and star-shaped risk measures, Insurance: Mathematics and Economics, 117, 140-153. [Online Version]

[C.2024.1] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2024). Two-sample testing for tail copulas with an application to equity indices, Journal of Business & Economic Statistics, 42 (1), 147-159. [Online Version] [Supplementary Material]

C.2022

[C.2022.4] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2022). Jishin risk ga Nihon-no Fudoosan Kakaku-ni ataeru eikyo (The impact of earthquake risk on property prices in Japan), Kikan Jutaku Tochi Keizai (The Quarterly Journal of Housing and Land Economics), 124 (Spring), 28-33.
[This is the Japanese translation of (a shortened version of) our 2022 paper published in the Journal of the American Statistical Association.]

[C.2022.3] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Yuan Yue (2022). Earthquake risk embedded in property prices: Evidence from five Japanese cities, Journal of the American Statistical Association, 117 (537), 82-93. [Online Version] [Supplementary Material] [Data Documentation] [GitHub]

[C.2022.2] Dhaene, Jan, Roger J. A. Laeven & Yiying Zhang (2022). Systemic risk: Conditional distortion risk measures, Insurance: Mathematics and Economics, 102, 126-145. [Online Version] [Supplementary Material]
[This paper introduces and analyzes 'Conditional distortion risk measures'.]

[C.2022.1] Eeckhoudt, Louis R. & Roger J. A. Laeven (2022). Dual moments and risk attitudes, Operations Research, 70 (3), 1330-1341. [Online Version] [Supplementary Material]
[This paper develops a local index of risk aversion under RDU and shows that the 'maxiance' stands on equal footing with the variance.]

C.2021

[C.2021.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2021). Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, European Journal of Operational Research, 291 (2), 438-446. [Online Version]
[This paper introduces and explores 'Dynamic return risk measures'.]

[C.2021.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2021). DICE simplified, Environmental Modeling and Assessment, 26, 1-12. [Online Version] [GitHub]
[This paper proposes a more parsimonious version of Nordhaus' DICE model.]

C.2020

[C.2020.7] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2020). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level, Management Science, 66, 3927-3955. [Online Version]
[Awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.]

[C.2020.6] Can, S. Umut, John H. J. Einmahl & Roger J. A. Laeven (2020). Goodness-of-fit testing for copulas: A distribution-free approach, Bernoulli, 26, 3163-3190. [Online Version] [Supplementary Material]
[This paper introduces a procedure to obtain distribution-free copula GoF tests.]

[C.2020.5] Bilsen, Servaas van & Roger J. A. Laeven (2020). Dynamic consumption and portfolio choice under prospect theory, Insurance: Mathematics and Economics, 91, 224-237. [Online Version]

[C.2020.4] Bilsen, Servaas van, A. Lans Bovenberg & Roger J. A. Laeven (2020). Consumption and portfolio choice under internal multiplicative habit formation, Journal of Financial and Quantitative Analysis, 55, 2334-2371. [Online Version]

[C.2020.3] Li, Z. Merrick, Roger J. A. Laeven & Michel H. Vellekoop (2020). Dependent microstructure noise and integrated volatility estimation from high-frequency data, Journal of Econometrics, 215, 536-558. [Online Version] [Supplementary Material]

[C.2020.2] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2020). Risk apportionment: The dual story, Journal of Economic Theory, 185, 104971. [Online Version] [Extended Online Version]
[This paper introduces 'squeezing' and characterizes 'dual prudence' and 'dual temperance'.]

[C.2020.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2020). Expected utility and catastrophic risk in a stochastic economy-climate model, Journal of Econometrics, 214, 110-129. [Online Version].

C.2018

[C.2018.5] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: In Memoriam Marc Goovaerts, Insurance: Mathematics and Economics, 80, A1.

[C.2018.4.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2018). Testing for self-excitation in jumps, Journal of Econometrics, 203, 256-266. [Online Version] [Supplementary Material]

[C.2018.3] Kaas, Rob, Roger J. A. Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot & Hailiang Yang (2018). Editorial: IME's Editorial Board, Insurance: Mathematics and Economics, 78, A1-A3.

[C.2018.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2018). Robust return risk measures, Mathematics and Financial Economics, 12, 5-32. [Online Version] [Illustration]
[This paper introduces and characterizes the class of 'Return risk measures'.]

[C.2018.1] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2018). Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, 43, 1177-1209. [Online Version]

C.2017

[C.2017.1] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2017). Estimation of the continuous and discontinuous leverage effects, Journal of the American Statistical Association, 112, 1744-1758. [Online Version] [Supplementary Material]

C.2016

[C.2016.1] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2016). Robust optimal risk sharing and risk premia in expanding pools, Insurance: Mathematics and Economics 70, 182-195. 

C.2015

[C.2015.4] Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J. A. Laeven (2015). Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics 117, 585-606. [Online Version] 
[This paper introduces 'Hawkes jump-diffusions' and the 'ACL Contagion Model'.]

[C.2015.3] Eeckhoudt, Louis & Roger J. A. Laeven (2015). The probability premium: A graphical representation, Economics Letters 136, 39-41. [Online Version] 

[C.2015.2] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2015). Expected utility and catastrophic consumption risk, Insurance: Mathematics and Economics 64, 306-312. 

[C.2015.1] Can, S. Umut, John H. J. Einmahl, Estate V. Khmaladze & Roger J. A. Laeven (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas, Annals of Statistics 43, 878-902. [Includes R Code] 

C.2014

[C.2014.2] Aït-Sahalia, Yacine, Roger J. A. Laeven & Loriana Pelizzon (2014). Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics 183, 151-167.

[C.2014.1] Laeven, Roger J. A. & Mitja A. Stadje (2014). Robust portfolio choice and indifference valuation, Mathematics of Operations Research 39, 1109-1141. [Extended Online Version]
[The appendix of this paper establishes existence and uniqueness results for quadratic BSDEs in a possibly infinite activity jump setting.]

C.2013

[C.2013.3] Pelsser, Antoon A. J. & Roger J. A. Laeven (2013). Optimal dividends and ALM under unhedgeable risk, Insurance: Mathematics and Economics 53, 515-523.

[C.2013.2] Laeven, Roger J. A. & Mitja A. Stadje (2013). Entropy coherent and entropy convex measures of risk, Mathematics of Operations Research 38, 265-293.
[This paper introduces and axiomatizes 'Entropy coherent/convex risk measures' and includes the 'Laeven-Stadje Theorem' (Theorem 6.2).]

[C.2013.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2013). Pareto utility, Theory and Decision 75, 43-57.
[This paper introduces the two-parameter family of 'Pareto utility' functions.]

C.2012

[C.2012.2] Kaluszka, Marek, Roger J. A. Laeven & Andrzej Okolewski (2012). A note on weighted premium calculation principles, Insurance: Mathematics and Economics 51, 379-381.

[C.2012.1] Goovaerts, Marc J., Roger J. A. Laeven & Zhaoning Shang (2012). Transform analysis and asset pricing for diffusion processes: A recursive approach, Journal of Computational Finance 16, 47-81. [Online Version] [Matlab Program]

C.2011

[C.2011.1] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2011). Worst case risk measurement: Back to the future?, Insurance: Mathematics and Economics 49, 380-392.

C.2010

[C.2010.2] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2010). Decision principles derived from risk measures, Insurance: Mathematics and Economics 47, 294-302.

[C.2010.1] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2010). A note on additive risk measures in rank-dependent utility, Insurance: Mathematics and Economics 47, 187-189.

C.2009

[C.2009.2] Laeven, Roger J. A. (2009). Worst VaR scenarios: A remark, Insurance: Mathematics and Economics 44, 159-163.  

[C.2009.1] Kaas, Rob, Roger J. A. Laeven & Roger B. Nelsen (2009). Worst VaR scenarios with given marginals and measures of association, Insurance: Mathematics and Economics 44, 146-158. [Slides]

C.2008

[C.2008.2] Goovaerts, Marc J. & Roger J. A. Laeven (2008). Actuarial risk measures for financial derivative pricing, Insurance: Mathematics and Economics 42, 540-547.
[This paper introduces the 'Esscher-Girsanov transform'.]

[C.2008.1] Dhaene, Jan, Roger J. A. Laeven, Steven Vanduffel, Gregory Darkiewicz & Marc J. Goovaerts (2008). Can a coherent risk measure be too subadditive?, Journal of Risk and Insurance 75, 365-386.

C.2006

[C.2006.1] Denuit, Michel, Jan Dhaene, Marc J. Goovaerts, Rob Kaas & Roger J. A. Laeven (2006). Risk measurement with equivalent utility principles, In: Rüschendorf, Ludger (Ed.), Risk Measures: General Aspects and Applications, Statistics and Decisions 24, 1-26.

C.2005

[C.2005.2] Goovaerts, Marc J., Rob Kaas, Roger J. A. Laeven, Qihe Tang & Raluca Vernic (2005). The tail probability of discounted sums of Pareto-like losses in insurance, Scandinavian Actuarial Journal 6, 446-461.

[C.2005.1] Laeven, Roger J. A., Marc J. Goovaerts & Tom Hoedemakers (2005). Some asymptotic results for sums of dependent random variables, with actuarial applications, Insurance: Mathematics and Economics 37, 154-172.

C.2004

[C.2004.2] Goovaerts, Marc J., Rob Kaas, Roger J. A. Laeven & Qihe Tang (2004). A comonotonic image of independence for additive risk measures, Insurance: Mathematics and Economics 35, 581-594.
[This paper introduces and axiomatizes the 'Mixture of exponential premia' or 'Weighted entropic measure of risk'.]

[C.2004.1] Laeven, Roger J. A. & Marc J. Goovaerts (2004). An optimization approach to the dynamic allocation of economic capital, Insurance: Mathematics and Economics 35, 299-319.

D. Policy and Popular

Ordered by year, most recent first.

D.2015

[D.2015.1] Can, S. Umut & Roger J. A. Laeven (2015). Determining the right tail dependence model using R, De Actuaris. [Online Version]

D.2014

[D.2014.1] Laeven, Roger J. A. (2014). Kruisbestuiving tussen wetenschap en praktijk, De Actuaris.

D.2013

[D.2013.6] Laeven, Roger J. A. (2013). Econom(etr)ische aspecten van verzekeringsfraude, ACIS-Symposium 29 november 2013.

[D.2013.5] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Three principles for Solvency II insurance rules, Financial Times.

[D.2013.4] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Solvency II: Three principles to respect, VOXEU.

[D.2013.3] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2013). Escalerende garantietoezeggingen: Een alternatief voor het StAr RAM-contract?, Netspar Design Paper. [Supplementary Material]

[D.2013.2] Laeven, Roger J. A. (2013). Van Johan de Witt naar Solvency II: Waerdije van Lyfrenten, AG/AI Mini-Symposium 24 april 2013.

[D.2013.1] Laeven, Roger J. A. (2013). De zorgverzekering: Enige verzekeringseconomische opmerkingen, ACIS-Symposium 15 maart 2013.

D.2012

[D.2012.3] Laeven, Roger J. A. (2012). Actuaris maakt garanties waar?!, Actuarisdag oktober 2012.

[D.2012.2] Laeven, Roger J. A. (2012). Verzekeraars en pensioenen: Aantrekkelijke alternatieven voor het StAr RAM-contract, ACIS-VvV bundel juni 2012.

[D.2012.1] Ayadi, Rym, Jon Danielsson, Roger J. A. Laeven, Antoon A. J. Pelsser, Enrico C. Perotti & Mario V. Wüthrich (2012). Countercyclical regulation in Solvency II: Merits and flaws, VOXEU. [Slides]

D.2011

[D.2011.2] Danielsson, Jon, Frank C. J. M. de Jong, Roger J. A. Laeven, Christian Laux, Enrico C. Perotti & Mario V. Wüthrich (2011). A prudential regulatory issue at the heart of Solvency II, VOXEU.   

[D.2011.1] Laeven, Roger J. A. (2011). Liquidity premium in Solvency II, De Actuaris. [Slides]

D.2010

[D.2010.1] Laeven, Roger J. A. (2010). Modeling financial contagion, Fiducie 17, 36-39.

D.2002

[D.2002.1] Laeven, Roger J. A. (2002). Catastrofe derivaten: Een alternatief voor traditionele herverzekering?, De Actuaris.

E. Inaugural Lecture

[E.2012.1] Laeven, Roger J. A. (2012). Contagion: Challenges in Risk and Insurance, Inaugural Lecture, Amsterdam: Vossiuspers. [Slides]

Teaching

In the academic year 2023-2024, I teach the following courses:   
1. Asset Pricing (MPhil Tinbergen Institute)
2. Principles of the Mathematics and Economics of Risk (MSc ASMF)
3. Advanced Mathematics and Economics of Risk (MSc ASMF)
4. Risk and Insurance (Executive MSc IR)  
5. Risk and Regulation (Executive MSc AS)

Teaching Awards

Best Teacher Award 2012. Awarded by Tias Nimbas to the teacher with the highest student evaluations in the Tias Nimbas Executive Master of Actuarial Science Program.

Teacher of Excellence 2011. Awarded by the Department of Econometrics and Operations Research, Tilburg University, to the teacher with the highest student evaluations.

Best Teacher Award 2008. Awarded by Asset | Econometrics to the best teacher of the Department of Econometrics and Operations Research, Tilburg University.

Press Coverage

Press coverage includes:

Note: Older links may be broken.

li) Awarded NWO Vici Grant 2019/2020

l) Awarded NWO Vici Grant 2019/2020

xlix) Behavioral Insurance (in Dutch)

xlviii) Re-Appointed Academic Advisor to EIOPA

xlvii) IME 2018 in Sydney

xlvi) Excitation at National Bank of Belgium

xlv) Perspectives on Fraud

xliv) Risk, Regulation and Behavioral Insurance

xliii) Appointed Editor of Insurance: Mathematics and Economics

xlii) Eenvandaag TV: Hurricane Irma and St. Maarten (in Dutch)

xli) NRC Checkt: Nederland is wereldkampioen verzekeren (in Dutch)

xl) VvV Research Grant Risk and Regulation 2017-2021

xxxix) VvV Research Grant Risk and Regulation 2017-2021 (in Dutch)

xxxviii) Eureka 2016 on Systemic Risk and Insurance

xxxvii) Quest: Voor Elk Risico een Verzekering? (in Dutch)

xxxvi) Understanding Insurance Fraud

xxxv) Zurich-Hannover Workshop on Insurance and Financial Mathematics

xxxiv) Appointed Member of EIOPA Advisory Body

xxxiii) St. Petersburg Spring School in Risk Management, Insurance, and Finance 2016

xxxii) Vijf Jaar op Rij het Beste Beroepsperspectief van Nederland (in Dutch)

xxxi) De Wetenschap Vooruit Helpen (in Dutch)

xxx) Nominated Most Promising Scientist under Age 40

xxix) International Conference on Probability Theory and Statistics in Tbilisi

xxviii) Vrij Nederland on Insurance (in Dutch)

xxvii) Eureka 2015 on Solvency II

xxvi) Vijf Professoren over Wetenschap en Praktijk (in Dutch)

xxv) ASX Prize 2014

xxiv) Eureka 2014 on Financial Contagion

xxiii) Stormschade Oktober 2013 (copyright LC; in Dutch)

xxii) Solvency II and the Trialogue

xxi) Welles Nietes in Verzekerd! (in Dutch)

xx) Johan de Witt Lezing 2013 (in Dutch)

xix) Fondation Banque de France Research Grant 2013-2014 (in Dutch)

xviii) Van Ameyde Research Grant Insurance Fraud

xvii) Inaugural Lecture and Mini Symposium

xvi) Inaugural Lecture and Mini Symposium (in Dutch)

xv) Full Professor Appointment (in Dutch)

xiv) Full Professor Appointment (in Dutch)

xiii) Full Professor Appointment (in Dutch)

xii) Full Professor Appointment (in Dutch)

xi) Full Professor Appointment

x) NWO Vidi Grant 2009 Univers (in Dutch)

ix) NWO Vidi Grant 2009 CP

viii) NWO Vidi Grant 2009 (in Dutch)

vii) Lecturer of the Year Award 2008 Nekst

vi) Lecturer of the Year Award 2008

v) Christiaan Huygens Prize 2007 (in Dutch)

iv) Christiaan Huygens Prize 2007 DNB (in Dutch)

iii) Christiaan Huygens Prize 2007 AG (in Dutch)

ii) Christiaan Huygens Prize 2007 (in Dutch)

i) Christiaan Huygens Prize 2007 (in Dutch)

Inaugural Lecture and Mini Symposium

Inaugural lecture and mini symposium 6 September 2012: