Roger J.A. Laeven: Working Papers
Selected Working Papers / Work in Progress:
Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J.A. Laeven (2010). “Modeling financial contagion using mutually exciting jump processes,” working paper.
Laeven, Roger J.A. (2010). “Non-parametric estimation for multivariate Lévy processes,” working paper.
Einmahl, John H.J., Roger J.A. Laeven & Salvatore Stefanelli (2010). “Goodness-of-fit testing in dependence models,” working paper.
Ikefuji, Masako, Roger J.A. Laeven, Jan R. Magnus & Chris Muris (2010). “Expected utility and catastrophic risk,” working paper. Auxiliary website.
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 (2010). “Optimal dividends and ALM under unhedgeable risk,” working paper.
Goovaerts, Marc J. & Roger J.A. Laeven (2010). “On transition densities for general diffusion processes,” working paper.
Goovaerts, Marc J., Rob Kaas & Roger J.A. Laeven (2010). “Additive risk measures in rank-dependent utility,” working paper.
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Contact:
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