dhr. prof. dr. R.J.A. (Roger) Laeven
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Roetersstraat 11 Amsterdam
1001 NJ Amsterdam
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
1018 WB Amsterdam
Room: E 4.23
Phone (O): +31 20 525 4219
Phone (S): +31 20 525 4252
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, August 2014, August 2015, April 2016 and April 2017:
Bendheim Center for Finance
Julis Romo Rabinowitz Building
Princeton NJ, 08544, United States
Prof. dr. Roger J. A. Laeven (1979) has been Full Professor (Chair of Risk and Insurance) at the Department of Quantitative Economics, University of Amsterdam, since 2011. He is also Co-Director and Co-Founder of the Amsterdam Center of Excellence in Risk and Macro Finance (ACRM), hosting the activities of the associated research focal area. 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. Recent research awards include a VvV Grant (Risk and Insurance, 2012-2016), the FBdF Grant 2013/14, the ASX Prize 2014 and a VvV Grant (Risk and Regulation, 2017-2021).
Roger's research spans Probability and Mathematical Statistics, (Micro) Economic Theory, Actuarial Science and Quantitative Finance and has appeared in the top academic journals in all these fields. 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.
Roger is Co-Director of the Risk and Macro Finance Research Focal Area at the University of Amsterdam; 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); Associate Editor of Insurance: Mathematics and Economics, Statistics and Probability Letters, Dependence Modeling, and Insurance Markets and Companies: Analyses and Actuarial Computations; Research Fellow of ACIS, Netspar, STAR, StochModFin and WONDER (previously the Stieltjes Institute); and Extramural Fellow of CentER (research groups Econometrics and Finance).
The Chair of Risk and Insurance that Roger holds is sponsored by the Dutch Association of Insurers.
Roger's expertise on risk management, insurance and solvency has been called for e.g., by the ESRB, EIOPA, the European Parliament, the Dutch Central Bank, the 2014/15 Commissie Verzekeraars and the Dutch Association of Insurers, to which institutions he has served as academic advisor. Roger is a selected academic member of the European Insurance and Occupational Pensions Authority (EIOPA), Insurance and Reinsurance Stakeholder Group (IRSG). He 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.
Selected Working Papers / Work in Progress
[1.] Aït-Sahalia, Yacine & Roger J. A. Laeven (2016). Modeling systemic risk, Mimeo, Princeton University and University of Amsterdam.
[2.] Laeven, Roger J. A. (2016). Non-parametric estimation for multivariate Lévy processes, Mimeo, University of Amsterdam.
[3.] Eeckhoudt, Louis R., Roger J. A. Laeven & Harris Schlesinger (2016). Prudence, temperance (and other virtues): The dual story, Mimeo, IESEG, University of Amsterdam and University of Alabama.
[4.] Bilsen, Servaas van, Roger J. A. Laeven & Theo E. Nijman (2017). 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.]
[5.] Laeven, Roger J. A. & Mitja Stadje (2015). A dual theory for decision under risk and ambiguity, Mimeo, University of Amsterdam and University of Ulm.
[6.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2015). Risk aversion in the small and in the large under rank-dependent utility, Mimeo, IESEG and University of Amsterdam.
[7.] Boswijk, H. Peter, Roger J. A. Laeven & Xiye Yang (2017). Testing for self-excitation in jumps, Mimeo, University of Amsterdam and Rutgers University.
[8.] Boswijk, H. Peter, Roger J. A. Laeven & Andrei Lalu (2016). Asset returns with self-exciting jumps: Option pricing and estimation with a continuum of moments, Mimeo, University of Amsterdam.
[9.] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2017). Expected utility and catastrophic risk in a stochastic economy-climate model, Mimeo, University of Amsterdam and Vrije Universiteit Amsterdam.
[10.] Hooijsma, Jitze, Roger J. A. Laeven & Michel H. Vellekoop (2016). A note on the market price of correlation risk and optimal portfolio choice, Mimeo, University of Amsterdam.
[11.] Eeckhoudt, Louis R. & Roger J. A. Laeven (2016). Dual moments and risk attitudes, Mimeo, IESEG and University of Amsterdam.
[12.] Li, Z. Merrick, Roger J. A. Laeven & Michel H. Vellekoop (2017). Dependent microstructure noise and integrated volatility estimation from high-frequency data, University of Amsterdam.
[13.] Sperna Weiland, Rob C., Roger J. A. Laeven & Frank C. J. M. de Jong (2017). Feedback between credit and liquidity risk in the US corporate bond market, University of Amsterdam and Tilburg University.
[1.] Mitja Stadje (2009-2010; PhD from Princeton University)
[After his postdoc he took up a position as TT Assistant Professor at Tilburg University; currently Full Professor at Ulm University.]
[2.] Andrea Krajina (2010; PhD from Tilburg University)
[After her postdoc she took up a position as Junior Professor at Göttingen University.]
[3.] 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.]
[1.] Xiye Yang (2012-2014; with Peter Boswijk)
[After his PhD he took up a position as TT Assistant Professor at Rutgers University.]
[2.] Servaas van Bilsen (2010-2015; with Theo Nijman)
[After his PhD he took up a position as TT Assistant Professor at the University of Amsterdam.]
[3.] Zhenzhen Fan (2011-2016)
[After her PhD she took up a position as TT Assistant Professor at Nankai University.]
[4.] Andrei Lalu (2013-2016; with Peter Boswijk)
[5.] Jitze Hooijsma (2013-2017; with Michel Vellekoop)
[6.] Yuan Yue (2014-2018)
[7.] Rob Sperna Weiland (2014-2018; with Frank de Jong and Peter Spreij)
[8.] Merrick Zhen Li (2015-2018; with Peter Boswijk and Michel Vellekoop)
[1.] Gijs Kloek (2010-2016)
[2.] Frans de Weert (2012-2018)
Financial support from the NWO under grants No. 42511013, VENI-2006 and VIDI-2009, the FBdF under grant 2013/14, and the VvV under grants 2012/16 and 2017/21 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.2017.3] Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers & Mitja Stadje (2017). Optimal stopping under uncertainty in drift and jump intensity, Mathematics of Operations Research, forthcoming.
[C.2017.2] Bellini, Fabio, Roger J. A. Laeven & Emanuela Rosazza Gianin (2017). Robust return risk measures, Mathematics and Financial Economics, forthcoming.
[C.2017.1] Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang & Xiye Yang (2017). Estimation of the continuous and discontinuous leverage effects, Journal of the American Statistical Association, forthcoming.
[C.2016.1] Knispel, Thomas, Roger J. A. Laeven & Gregor Svindland (2016). Robust optimal risk sharing and risk premia in expanding pools, Insurance: Mathematics and Economics 70, 182-195.
[C.2015.4] Aït-Sahalia, Yacine, Julio A. Cacho-Diaz & Roger J. A. Laeven (2015). Modeling financial contagion using mutually exciting jump processes, Journal of Financial Economics 117, 585-606.
[C.2015.3] Eeckhoudt, Louis & Roger J. A. Laeven (2015). The probability premium: A graphical representation, Economics Letters 136, 39-41.
[C.2015.2] Ikefuji, Masako, Roger J. A. Laeven, Jan R. Magnus & Chris Muris (2015). Expected utility and catastrophic consumption risk, Insurance: Mathematics and Economics 64, 306-312.
[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.2014.2] 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.2013.3] 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.2012.2] 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.2011.1] 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.2010.2] 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.2009.2] 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.2008.2] 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.2006.1] 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.2005.2] 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.2004.2] 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.2015.1] Can, S. Umut & Roger J. A. Laeven (2015). Determining the right tail dependence model using R, De Actuaris.
[D.2014.1] Laeven, Roger J. A. (2014). Kruisbestuiving tussen wetenschap en praktijk, De Actuaris.
[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.2012.3] 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.2011.2] 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.2010.1] Laeven, Roger J. A. (2010). Modeling financial contagion, Fiducie 17, 36-39.
[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.
Probability and Mathematical Statistics
(Micro) Economic Theory
Extreme Value Theory
Financial Economics, Models
Theory of Probability
Subfields and Topics
Economics of Risk and Uncertainty
Stochastic Dependence Modeling
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
In the academic year 2016-2017 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)
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.
I. BSc Actuariële Wetenschappen
II. MSc Actuarial Science and Mathematical Finance (ASMF):
II.1. MSc Actuarial Science and Mathematical Finance: General
II.2. MSc Actuarial Science and Mathematical Finance: Quantitative Risk Management
III. Amsterdam Executive Master in Actuarial Science (AEMAS)
Mini Symposium V
Mini symposium 9 December 2016:
Mini Symposium IV
Mini symposium 6 November 2015:
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 includes:
Associations and Societies
Relevant Associations and Societies include:
Katholieke Universiteit Leuven
Lid van de Adviesraad IRSG van EIOPA