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- Publications
- Influence

Mutual Excitation in Eurozone Sovereign CDS

- Yacine Aït-Sahalia, R. Laeven, Loriana Pelizzon
- Mathematics
- 14 May 2014

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to… Expand

Actuarial Risk Measures for Financial Derivative Pricing

- M. Goovaerts, R. Laeven
- Economics
- 1 April 2008

We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves a… Expand

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

- M. Goovaerts, R. Kaas, R. Laeven, Q. Tang, Raluca Vernic
- Mathematics
- 1 November 2005

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These… Expand

An optimization approach to the dynamic allocation of economic capital

- R. Laeven, M. Goovaerts
- Economics
- 11 October 2004

We propose an optimization approach to allocating economic capital, distinguishing between an allocation or raising principle and a measure for the risk residual. The approach is applied both at the… Expand

Asset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments

- H. Boswijk, R. Laeven, A. Lalu
- Economics
- 2015

We propose an option pricing model with a self-exciting jump component inducing jump clustering, a phenomenon that is empirically relevant when nancial markets are in turmoil. We develop a procedure… Expand

- 10
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- Open Access

Risk Measurement with Equivalent Utility Principles

- M. Denuit, J. Dhaene, M. Goovaerts, R. Kaas, R. Laeven
- Economics
- 16 March 2006

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures… Expand

Robust Portfolio Choice and Indifference Valuation

tl;dr

A comonotonic image of independence for additive risk measures

- M. Goovaerts, R. Kaas, R. Laeven, Q. Tang
- Mathematics
- 9 August 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees… Expand

Entropy Coherent and Entropy Convex Measures of Risk

tl;dr