14 papers
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We investigate the asymptotic behavior of the risk premium associated with a linear risk sharing contract in an infinitely expanding risk pool. We consider general preferences repr…
Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Matteo Ferrari, Roger J. A. Laeven, Emanuela Rosazza Gianin +1
Financial resilience concerns the rate at which a position recovers, or further deteriorates, in response to adverse conditions. As a first step, Laeven, Ferrari, Rosazza Gianin, a…
Goodness-of-Fit Testing for Point Processes in Large Populations
Sami Umut Can, Estate V. Khmaladze, Roger J. A. Laeven
Suppose we have an observed path from a point process counting event occurrences in a large population. Based on the observed path, we would like to test the null hypothesis that t…
A Rank-Dependent Theory for Decision under Risk and Ambiguity
Roger J. A. Laeven, Mitja Stadje
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation on the space of random v…
Measuring Financial Resilience Using Backward Stochastic Differential Equations
Roger J. A. Laeven, Matteo Ferrari, Emanuela Rosazza Gianin +1
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acc…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…