R. Laeven

activity

20152026

most citedAsymptotically distribution-free goodness-of-fit testing for tail copulas

12 citations · 32 across the 31 of their papers we have counts for

collaborators

Showing math.OCShow all

3 papers · 1 filter

math.OC2025

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 $ϕ$ -divergences. The risk measures are allowed to be non-li…

math.OC2024

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $ϕ$ -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…

math.OC2023

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 $V ~$ of random v…

Robust Optimization of Rank-Dependent Models with Uncertain Probabilities

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of ϕ-Divergences Approach to Combat Tail Uncertainty

A Rank-Dependent Theory for Decision under Risk and Ambiguity

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $ϕ$ -Divergences Approach to Combat Tail Uncertainty