CentER

Roger J.A. Laeven: Working Papers

Selected Working Papers / Work in Progress:
Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J.A. Laeven (2011). Modeling financial contagion using mutually exciting jump processes, working paper.

Laeven, Roger J.A. (2011). Non-parametric estimation for multivariate Lévy processes, working paper.

Laeven, Roger J.A. & Mitja Stadje (2011). Entropy coherent and entropy convex measures of risk, working paper. Slides.

Ikefuji, Masako, Roger J.A. Laeven, Jan R. Magnus & Chris Muris (2011). Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model, working paper. Auxiliary website.

Can, S. Umut, John H.J. Einmahl & Roger J.A. Laeven (2011). Goodness-of-fit testing in dependence models, working paper.

Laeven, Roger J.A. (2010). An axiomatic characterization of the upper and lower Choquet expectation, working paper.

Laeven, Roger J.A. (2010). Notions for stochastic ordering in rank-dependent utility theory and cumulative prospect theory, working paper.

Pelsser, Antoon A.J. & Roger J.A. Laeven (2011). Optimal dividends and ALM under unhedgeable risk, working paper.

Goovaerts, Marc J., Roger J.A. Laeven & Zhaoning Shang (2011). Transform analysis and asset pricing for diffusion processes: a recursive approach, working paper.

Aït-Sahalia, Yacine & Roger J.A. Laeven (2011). Modeling systemic risk, working paper.

Laeven, Roger J.A. & Mitja Stadje (2011). Robust portfolio choice and indifference valuation, working paper.

Ikefuji, Masako, Roger J.A. Laeven, Jan R. Magnus & Chris Muris (2011). Pareto utility, working paper.