12 citations · 32 across the 31 of their papers we have counts for
37 papers
Graphon Hawkes Processes: Sparse Estimation and Network Recovery
Justin R. Baars, Roger J. A. Laeven, Michel R. H. Mandjes
Learning interaction structures from spatiotemporal event data is a key statistical problem in fields such as neuroscience, epidemiology, and seismology. We study this problem for…
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…
Generalized Orlicz premia
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
We introduce a generalized class of Orlicz premia based on possibly nonconvex loss functions, extending the classical framework of Haezendonck and Goovaerts (1982). Without the usu…
Markovian multivariate Hawkes population processes: Efficient evaluation of moments
R. S. Karim, R. J. A. Laeven, M +1
We provide probabilistic and computational results on Markovian multivariate Hawkes processes and induced population processes. By applying the Markov property, we characterize in…
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…
Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
In this paper, we develop sample path large deviations for multivariate Hawkes processes with heavy-tailed mutual excitation rates. Our results address a broad class of rare events…
Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes
Jose Blanchet, Roger J. A. Laeven, Xingyu Wang +1
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes.…
Asymptotically distribution-free goodness-of-fit testing for point processes
Justin Baars, Justin R. Baars, Sami Umut Can +1
Consider an observed path from a multivariate temporal point process with law on the time interval . To test the null hypothesis that belongs to…
Robust Optimization of Rank-Dependent Models with Uncertain Probabilities
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by -divergences. The risk measures are allowed to be non-li…
Higher-Order Ambiguity Attitudes
Mücahit Aygün, Roger J. A. Laeven, Mitja Stadje
We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, e…
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of -Divergences Approach to Combat Tail Uncertainty
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog +1
Risk measures, which typically evaluate the impact of extreme losses, are highly sensitive to misspecification in the tails. This paper studies a robust optimization approach to co…
Spatiotemporal Hawkes processes with a graphon-induced connectivity structure
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce a spatiotemporal self-exciting point process , boundedly finite both over time and space , with excitation structure determined by a…
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…
On Geometrically Convex Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As rec…
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…
Optimal Stopping with Randomly Arriving Stopping Opportunities
Josha A. Dekker, Roger J. A. Laeven, John G. M. Schoenmakers +1
We develop simulation-based methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in a wide variety of a…
Law-Invariant Return and Star-Shaped Risk Measures
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and s…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
Delayed Hawkes birth-death processes
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not incre…
Elicitability of Return Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we…
Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation
Raviar S. Karim, Roger J. A. Laeven, Michel R. H. Mandjes
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing…
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…