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Roger J.A. Laeven: Publications

All articles below are the sole copyright of the respective publishers. Materials are provided for educational use only.

Financial support from the NWO under grants No. 42511013, VENI-2006 and VIDI-2009 is gratefully acknowledged.


Edited Volume:
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.

PhD Thesis:
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]

Selected Articles:
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.

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.

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

Laeven, Roger J.A. & Marc J. Goovaerts (2008). Premium calculation and insurance pricing, In: Melnick, Edward L. & Brian S. Everitt (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment, 1302-1314, Chisester: John Wiley & Sons.

Goovaerts, Marc J. & Roger J.A. Laeven (2008). Actuarial risk measures for financial derivative pricing, Insurance: Mathematics and Economics 42, 540-547.

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. 

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.

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. Slides.
 
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. 

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. Slides.

Policy and Popular:
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.

Laeven, Roger J.A. (2011). Liquidity premium in Solvency II, De Actuaris.

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