CentER

Roger J.A. Laeven: Brief CV

Dr. Roger J.A. Laeven (1979) is Associate Professor at the Department of Econometrics and Operations Research, Tilburg University. 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, and from 2007-2011 he is a visiting research fellow at Princeton University, Bendheim Center for Finance. From 2001-2005, he was a part-time consultant for Mercer Oliver Wyman.

Roger's PhD thesis was awarded the Christiaan Huygens Prize 2007 by the Royal Netherlands Academy of Arts and Sciences (KNAW). In 2006, Roger was awarded a VENI grant by the Netherlands Organization for Scientific Research (NWO) for his research project Measurement of Multivariate Risk in Insurance and Finance, and in 2009 he was awarded a VIDI grant by NWO for his research project Econometrics of Contagion in Insurance and Finance.

Roger's research interests span Probability and Mathematical Statistics, (Micro) Economic Theory, Actuarial Science and Quantitative Finance. His areas of specialization include decision under uncertainty, (axiomatization and aggregation of) risk measures, modeling of stochastic dependence and extreme value theory; and their ramifications in insurance and finance, such as economic capital allocation, valuation in incomplete markets and multivariate asset pricing.

Roger is Scientific Advisor to Eurandom (Co-director of the Multivariate Risk Modeling group), Associate Editor of Insurance: Mathematics and Economics and Insurance Markets and Companies: Analyses and Actuarial Computations and a Fellow of CentER (research groups Econometrics and Finance), Netspar, STAR, StochModFin, ACFI and the Stieltjes Institute.

Roger advises on a regular basis the insurance and financial industry on issues in the broad area of quantitative risk management, such as economic capital allocation, (market-consistent) pricing and ALM.