12 citations · 32 across the 31 of their papers we have counts for
3 papers · 1 filter
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…
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
Raviar Karim, Roger J. A. Laeven, Michel Mandjes
This paper considers population processes in which general, not necessarily Markovian, multivariate Hawkes processes dictate the stochastic arrivals. We establish results to determ…
Probability Premium and Attitude Towards Probability
Louis R. Eeckhoudt, Roger J. A. Laeven
Employing a generalized definition of Pratt (1964) and Arrow's (1965, 1971) probability premium, we introduce a new concept of attitude towards probability. We illustrate in a prob…