Roger J. A. Laeven
- Risk Aversion in the Small and in the Large under Rank-Dependent Utility
2015/12/25 by Louis Eeckhoudt, Roger J. A. Laeven, Eeckhoudt, Louis R. +1 · 12 citations
Decision Sciences · Mathematics · #Decision-Making and Behavioral Economics #FOS: Economics and business #FOS: Mathematics #Fuzzy Systems and Optimization #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization
- Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
2021/06/07 by Raviar Karim, Roger J. A. Laeven, Karim, Raviar +3 · 2 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Mathematics · #60E10 #60G55 #Bayesian Methods and Mixture Models #Diffusion and Search Dynamics #FOS: Economics and business #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Risk Management (q-fin.RM)
- Law-Invariant Return and Star-Shaped Risk Measures
2023/10/30 by Roger J. A. Laeven, Emanuela Rosazza Gianin, Laeven, Roger J. A. +3 · 2 citations
Decision Sciences · Mathematics · #60E15 #62P05 #91B30 #FOS: Economics and business #FOS: Mathematics #Fuzzy Systems and Optimization #Primary: 91B06 #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Secondary: 60H30
- Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation
2022/11/30 by Raviar Karim, Roger J. A. Laeven, Karim, Raviar S. +3 · 1 citation
Decision Sciences · Mathematics · #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Probability and Risk Models #Statistical Methods and Bayesian Inference
- Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
2025/03/02 by José Blanchet, Roger J. A. Laeven, Blanchet, Jose +5 · 1 citation
Mathematics · #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Random Matrices and Applications #Stochastic processes and statistical mechanics