contact

dhr. prof. dr. R.J.A. (Roger) Laeven


  • Faculteit Economie en Bedrijfskunde
    Sectie Actuarial Science
  • Valckenierstraat  65-67
    1018 XE  Amsterdam
  • R.J.A.Laeven@uva.nl
    T:  +31 20 525 4219

Contact and Coordinates: Full Details

Prof. dr. Roger J. A. Laeven 
University of Amsterdam
Faculty of Economics and Business
Amsterdam School of Economics
Department of Quantitative Economics 
Email: R.J.A.Laeven "AT" uva.nl
Webpage: http://www.rogerlaeven.com/

Visiting Address:

Valckenierstraat 65-67 
1018 XE Amsterdam 
The Netherlands
Room:  J/K 2.25A
Map: http://g.co/maps/fvbqw     
Phone (O):  +31 20 525 4219 
Phone (S): +31 20 525 4252

Mailing Address:

PO Box 15867
1001 NJ Amsterdam

 

I am visiting Princeton University from January to August 2007, November to December 2007, April to May 2008, in April 2009, February 2010, November 2010, January 2011, August 2011, October 2011, January 2012, August 2012, October 2012, February 2013, May 2013, August 2013 and August 2014:

Address:

Princeton University  
Bendheim Center for Finance  
Dial Lodge  
26 Prospect Avenue  
Princeton NJ, 08540-5296  
United States

Expertise

Prof. dr. Roger J. A. Laeven (1979) is Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam. 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-date 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, and from 2007-2011, he was a tenured Associate Professor at Tilburg University.

Selection of Prizes and Awards

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.

Research Interests

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 semi-martingale theory; and their ramifications in insurance and finance, such as economic capital allocation, valuation in incomplete markets and multivariate asset pricing.

Academic Ties

Roger holds a courtesy appointment in the Department of Finance of the University of Amsterdam; is Scientific Advisor to Eurandom (Co-Director of the Multivariate Risk Modeling group); Co-Director of the Risk and Macro Finance Research Focal Area at the University of Amsterdam; Associate Editor of Insurance: Mathematics and Economics, Insurance Markets and Companies: Analyses and Actuarial Computations, and Dependence Modeling; Research Fellow of ACIS, Netspar, STAR, StochModFin and WONDER (previously the Stieltjes Institute); and Extramural Fellow of CentER (research groups Econometrics and Finance).

Corporate Ties

The Chair of Risk and Insurance that Roger holds is sponsored by the Dutch Association of Insurers.

Other Activities

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.

Brief CV

Selected Working Papers / Work in Progress

[1.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2014). Modeling systemic risk, Mimeo, Princeton University and University of Amsterdam.

[2.] Laeven, Roger J. A. (2012). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.

[3.] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2014).  Expected utility and catastrophic risk, Mimeo, University of Amsterdam and Free University Amsterdam.

[4.] Laeven, Roger J. A. (2013). An axiomatic characterization of the upper and lower Choquet expectation, Mimeo, University of Amsterdam.

[5.] Eeckhoudt, Louis, Roger J. A. Laeven and Harris Schlesinger (2014). Stochastic ordering in rank-dependent utility theory and prospect theory, Mimeo, IESEG, University of Amsterdam, and University of Alabama.

[6.] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2014). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level, Mimeo, Tilburg University and University of Amsterdam.

[Awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.]

[7.] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2014). Estimation of the continuous and discontinuous leverage effects, Mimeo, Princeton University and University of Amsterdam.

Research Supervision

Postdoc
Mitja Stadje  (2009-2010; PhD from Princeton University)
[After his postdoc he took up a position as TT Assistant Professor at Tilburg University]  
Andrea Krajina (2010; PhD from Tilburg University)
[After her postdoc she took up a position as Junior Professor at Göttingen University]  
Sami Umut Can (2010-2015; PhD from Cornell University)
[After his postdoc he took up a position as TT Assistant Professor at the University of Amsterdam]  

 

PhD
Xiye Yang (2012-2014; with Peter Boswijk) 
[After his PhD he took up a position as TT Assistant Professor at Rutgers University]
Servaas van Bilsen (2010-2015; with Theo Nijman)
Zhenzhen Fan (2011-2015)
Andrei Lalu (2013-2016; with Peter Boswijk)
Jitze Hooijsma (2013-2017; with Michel Vellekoop)
Yuan Yue (2014-2018)
Rob Sperna Weiland (2014-2018; with Frank de Jong and Peter Spreij)

 

Professional PhD
Gijs Kloek (2010-2016)
Frans de Weert (2012-2018)

Selected Publications

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

A. Edited Volume

[A.2009.1] 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.

B. Ph.D. Thesis

[B.2005.1] 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]

C. Journal Articles

Ordered by year, most recent first.

C.2015

[C.2015.2] Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J. A. Laeven (2014). Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics, forthcoming.

[C.2015.1] Can, S. Umut, John H. J. Einmahl, Estate V. Khmaladze & Roger J. A. Laeven (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas, Annals of Statistics 43, 878-902.

C.2014

[C.2014.2] Aït-Sahalia, Yacine, Roger J. A. Laeven & Loriana Pelizzon (2014). Mutual excitation in Eurozone sovereign CDS, Journal of Econometrics 183, 151-167.

[C.2014.1] Laeven, Roger J. A. & Mitja A. Stadje (2014). Robust portfolio choice and indifference valuation, Mathematics of Operations Research 39, 1109-1141.

C.2013

[C.2013.3] Pelsser, Antoon A. J. & Roger J. A. Laeven (2013). Optimal dividends and ALM under unhedgeable risk, Insurance: Mathematics and Economics 53, 515-523.

[C.2013.2] Laeven, Roger J. A. & Mitja A. Stadje (2013).  Entropy coherent and entropy convex measures of risk, Mathematics of Operations Research 38, 265-293.

[C.2013.1] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2013). Pareto utility, Theory and Decision 75, 43-57.

C.2012

[C.2012.2] Kaluszka, Marek, Roger J. A. Laeven & Andrzej Okolewski (2012). A note on weighted premium calculation principles, Insurance: Mathematics and Economics 51, 379-381.

[C.2012.1] Goovaerts, Marc J., Roger J. A. Laeven & Zhaoning Shang (2012). Transform analysis and asset pricing for diffusion processes: A recursive approach, The Journal of Computational Finance 16, 47-81.

C.2011

[C.2011.1] Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2011). Worst case risk measurement: Back to the future?, Insurance: Mathematics and Economics 49, 380-392.

C.2010

[C.2010.2]  Goovaerts, Marc J., Rob Kaas & Roger J. A. Laeven (2010). Decision principles derived from risk measures,  Insurance: Mathematics and Economics 47, 294-302. 

[C.2010.1] 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.

C.2009

[C.2009.2] Laeven, Roger J. A. (2009). Worst VaR scenarios: A remark, Insurance: Mathematics and Economics 44, 159-163.  

[C.2009.1] 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.

C.2008

[C.2008.2] Goovaerts, Marc J. & Roger J. A. Laeven (2008). Actuarial risk measures for financial derivative pricing, Insurance: Mathematics and Economics 42, 540-547. 

[C.2008.1] 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.

C.2006

[C.2006.1] 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.

C.2005

[C.2005.2] 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.  

[C.2005.1] 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.

C.2004

[C.2004.2] 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. 

[C.2004.1] Laeven, Roger J. A. & Marc J. Goovaerts (2004). An optimization approach to the dynamic allocation of economic capital, Insurance: Mathematics and Economics 35, 299-319. 

D. Policy and Popular

Ordered by year, most recent first.

D.2014

[D.2014.1] Laeven, Roger J. A. (2014). Kruisbestuiving tussen wetenschap en praktijk, De Actuaris.

D.2013

[D.2013.6] Laeven, Roger J. A. (2013). Econom(etr)ische aspecten van verzekeringsfraude, ACIS-Symposium 29 november 2013.

[D.2013.5] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Three principles for Solvency II insurance rules, Financial Times.

[D.2013.4] Danielsson, Jon, Ralph S. J. Koijen, Roger J. A. Laeven, & Enrico C. Perotti (2013). Solvency II: Three principles to respect, VOXEU.

[D.2013.3] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2013). Escalerende garantietoezeggingen: Een alternatief voor het StAr RAM-contract?, Netspar Design Paper.

[D.2013.2] Laeven, Roger J. A. (2013). Van Johan de Witt naar Solvency II: Waerdije van Lyfrenten, AG/AI Mini-Symposium 24 april 2013.

[D.2013.1] Laeven, Roger J. A. (2013). De zorgverzekering: Enige verzekeringseconomische opmerkingen, ACIS-Symposium 15 maart 2013.

D.2012

[D.2012.3] Laeven, Roger J. A. (2012). Actuaris maakt garanties waar?!, Actuarisdag oktober 2012.

[D.2012.2] Laeven, Roger J. A. (2012). Verzekeraars en pensioenen: Aantrekkelijke alternatieven voor het StAr RAM-contract, ACIS-VvV bundel juni 2012.

[D.2012.1] Ayadi, Rym, Jon Danielsson, Roger J. A. Laeven, Antoon A. J. Pelsser, Enrico C. Perotti & Mario V. Wüthrich (2012). Countercyclical regulation in Solvency II: Merits and flaws, VOXEU.

D.2011

[D.2011.2] 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.    

[D.2011.1] Laeven, Roger J. A. (2011). Liquidity premium in Solvency II, De Actuaris.

D.2010

[D.2010.1] Laeven, Roger J. A. (2010).  Modeling financial contagion, Fiducie 17, 36-39.

D.2002

[D.2002.1] Laeven, Roger J. A. (2002). Catastrofe derivaten: Een alternatief voor traditionele herverzekering?, De Actuaris.

E. Inaugural Lecture

[E.2012.1] Laeven, Roger J. A. (2012). Contagion: Challenges in Risk and Insurance, Inaugural Lecture, Amsterdam: Vossiuspers.

Research Interests

General
Probability and  Mathematical Statistics  
(Micro) Economic Theory  
Actuarial Science  
Quantitative Finance

 

Fields    
Actuarial Mathematics  
Asset Pricing  
Econometrics  
Extreme Value Theory  
Financial Econometrics  
Financial Economics, Models  
Financial Mathematics  
Insurance  
Mathematical Statistics  
Microeconomics
Optimization  
Risk Management  
Risk Modeling  
Theory of Probability 

 

Subfields and Topics     
Economics of Risk and Uncertainty  
Risk Measures  
Stochastic Dependence Modeling  
Semi-Martingales  

Their Ramifications in Insurance and Finance:  

(Economic, Solvency) Capital Allocation 
Solvency Regulation and Supervision 
Risk Management and Model Risk 
Financial Derivative Pricing in Incomplete Markets 
(Re)Insurance and Pension Pricing 
Connections between Actuarial and Financial Pricing of Insurance 
Multivariate Asset Pricing 
Systemic Risk and Financial Contagion 
Optimal Portfolio Choice and Asset Liability Management
Optimal Stopping

Teaching

In the academic year 2013-2014 I teach the following courses:  
1. Asset Pricing (MPhil TI)
2. Risk and Insurance (Exec. MSc IS) 
3. Risk and Regulation (Exec. MSc AS) 
4. Risk Management for Insurers and Pensions (MSc ASMF)

Teaching Awards

Best Teacher Award 2012. Awarded by Tias Nimbas to the teacher with the highest student evaluations in the Tias Nimbas Executive Master of Actuarial Science Program.

 

Teacher of Excellence 2011. Awarded by the Department of Econometrics and Operations Research, Tilburg University, to the teacher with the highest student evaluations.

 

Best Teacher Award 2008. Awarded by Asset | Econometrics to the best teacher of the Department of Econometrics and Operations Research, Tilburg University.

Programs

BSc Actuariële Wetenschappen
MSc Actuarial Science and Mathematical Finance (ASMF)
Amsterdam Executive Master in Actuarial Science (AEMAS)

Mini Symposium III

Mini symposium 5 September 2014:

Mini Symposium II

Mini symposium 6 September 2013:

Inaugural Lecture and Mini Symposium

Inaugural lecture and mini symposium  6  September 2012:  

Press Coverage

Press coverage includes:

Associations and Societies

Relevant Associations and Societies include:

Roger J. A. Laeven (photo: Allard Timmermans)

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