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:
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.
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.
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.
See also:
Contact:
CentERPO Box 90153
5000 LE Tilburg
The Netherlands